| Metric | ISVL | AVDV |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 77.37% | 101.64% |
| CAGR﹪ | 12.22% | 15.15% |
| Sharpe | 0.54 | 0.68 |
| Prob. Sharpe Ratio | 88.76% | 93.48% |
| Smart Sharpe | 0.54 | 0.67 |
| Sortino | 0.79 | 0.98 |
| Smart Sortino | 0.79 | 0.97 |
| Sortino/√2 | 0.56 | 0.69 |
| Smart Sortino/√2 | 0.56 | 0.68 |
| Omega | 1.14 | 1.17 |
| Max Drawdown | -30.03% | -27.86% |
| Max DD Date | 2022-09-27 | 2022-09-27 |
| Max DD Period Start | 2021-11-09 | 2021-11-09 |
| Max DD Period End | 2024-03-05 | 2023-12-21 |
| Longest DD Days | 848 | 773 |
| Volatility (ann.) | 16.87% | 17.41% |
| R^2 | 0.93 | 0.93 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.41 | 0.54 |
| Skew | 0.24 | -0.04 |
| Kurtosis | 5.49 | 4.39 |
| Ulcer Performance Index | 8.3 | 12.33 |
| Risk-Adjusted Return | 12.22% | 15.3% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.84% | 0.88% |
| Avg. Loss | -0.87% | -0.9% |
| Win/Loss Ratio | 0.97 | 0.97 |
| Profit Ratio | 0.9 | 0.76 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 0.94% | 1.16% |
| Expected Yearly | 10.02% | 12.4% |
| Kelly Criterion | 4.32% | 8.38% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.7% | -1.74% |
| Expected Shortfall (cVaR) | -2.36% | -2.45% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 11 | 7 |
| Gain/Pain Ratio | 0.14 | 0.17 |
| Gain/Pain (1M) | 0.69 | 0.86 |
| Payoff Ratio | 0.97 | 0.97 |
| Profit Factor | 1.14 | 1.17 |
| Common Sense Ratio | 1.15 | 1.19 |
| CPC Index | 0.58 | 0.62 |
| Tail Ratio | 1.0 | 1.02 |
| Outlier Win Ratio | 3.55 | 3.6 |
| Outlier Loss Ratio | 3.45 | 3.5 |
| MTD | -0.02% | 0.5% |
| 3M | 7.87% | 5.91% |
| 6M | 20.99% | 19.96% |
| YTD | 17.38% | 22.01% |
| 1Y | 25.82% | 32.55% |
| 3Y (ann.) | 28.54% | 32.87% |
| 5Y (ann.) | 12.18% | 15.43% |
| 10Y (ann.) | 12.22% | 15.15% |
| All-time (ann.) | 12.22% | 15.15% |
| Best Day | 8.33% | 7.52% |
| Worst Day | -6.88% | -7.56% |
| Best Month | 11.75% | 12.82% |
| Worst Month | -10.77% | -10.69% |
| Best Year | 42.84% | 49.37% |
| Worst Year | -13.69% | -11.47% |
| Avg. Drawdown | -2.22% | -2.27% |
| Avg. Drawdown Days | 26 | 23 |
| Recovery Factor | 2.14 | 2.79 |
| Ulcer Index | 0.09 | 0.08 |
| Serenity Index | 0.33 | 0.51 |
| Avg. Up Month | 4.39% | 4.63% |
| Avg. Down Month | -4.41% | -4.26% |
| Win Days | 52.96% | 54.8% |
| Win Month | 60.66% | 63.93% |
| Win Quarter | 71.43% | 76.19% |
| Win Year | 66.67% | 66.67% |
| Beta | - | 1.0 |
| Alpha | - | 0.03 |
| Correlation | - | 96.6% |
| Treynor Ratio | - | 102.01% |
| Year | ISVL | AVDV | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.30 | -1.58 | 5.26 | - |
| 2022 | -13.69 | -11.47 | 0.84 | + |
| 2023 | 17.56 | 16.85 | 0.96 | - |
| 2024 | 4.58 | 8.67 | 1.89 | + |
| 2025 | 42.84 | 49.37 | 1.15 | + |
| 2026 | 17.38 | 22.01 | 1.27 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2023-12-21 | -27.86 | 773 |
| 2025-03-20 | 2025-04-25 | -14.17 | 37 |
| 2026-03-02 | 2026-05-12 | -13.19 | 72 |
| 2024-09-27 | 2025-03-04 | -8.17 | 159 |
| 2024-07-17 | 2024-08-16 | -8.10 | 31 |
| 2026-05-27 | 2026-08-06 | -6.28 | 72 |
| 2024-08-28 | 2024-09-18 | -4.65 | 22 |
| 2023-12-28 | 2024-02-29 | -4.39 | 64 |
| 2024-06-04 | 2024-07-10 | -4.21 | 37 |
| 2024-04-10 | 2024-05-08 | -4.00 | 29 |