| Metric | ISVL | AVDV |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 86.29% | 106.07% |
| CAGR﹪ | 11.76% | 13.79% |
| Sharpe | 0.55 | 0.64 |
| Prob. Sharpe Ratio | 90.34% | 93.51% |
| Smart Sharpe | 0.55 | 0.63 |
| Sortino | 0.8 | 0.92 |
| Smart Sortino | 0.8 | 0.91 |
| Sortino/√2 | 0.57 | 0.65 |
| Smart Sortino/√2 | 0.56 | 0.64 |
| Omega | 1.14 | 1.15 |
| Max Drawdown | -30.48% | -28.08% |
| Max DD Date | 2022-09-27 | 2022-09-27 |
| Max DD Period Start | 2021-09-07 | 2021-09-07 |
| Max DD Period End | 2024-03-06 | 2023-12-22 |
| Longest DD Days | 912 | 837 |
| Volatility (ann.) | 16.5% | 17.07% |
| R^2 | 0.93 | 0.93 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.39 | 0.49 |
| Skew | 0.22 | -0.06 |
| Kurtosis | 5.37 | 4.27 |
| Ulcer Performance Index | 9.44 | 13.3 |
| Risk-Adjusted Return | 11.76% | 13.93% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.82% | 0.86% |
| Avg. Loss | -0.85% | -0.89% |
| Win/Loss Ratio | 0.96 | 0.96 |
| Profit Ratio | 0.88 | 0.74 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.91% | 1.05% |
| Expected Yearly | 10.93% | 12.81% |
| Kelly Criterion | 4.35% | 7.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.66% | -1.71% |
| Expected Shortfall (cVaR) | -2.28% | -2.4% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 11 | 7 |
| Gain/Pain Ratio | 0.14 | 0.15 |
| Gain/Pain (1M) | 0.69 | 0.82 |
| Payoff Ratio | 0.96 | 0.96 |
| Profit Factor | 1.14 | 1.15 |
| Common Sense Ratio | 1.13 | 1.12 |
| CPC Index | 0.58 | 0.61 |
| Tail Ratio | 0.99 | 0.97 |
| Outlier Win Ratio | 3.54 | 3.51 |
| Outlier Loss Ratio | 3.39 | 3.34 |
| MTD | 1.52% | 0.98% |
| 3M | 1.18% | 1.24% |
| 6M | 6.16% | 2.31% |
| YTD | 14.13% | 15.12% |
| 1Y | 22.75% | 23.19% |
| 3Y (ann.) | 22.58% | 26.08% |
| 5Y (ann.) | 13.01% | 15.54% |
| 10Y (ann.) | 11.76% | 13.79% |
| All-time (ann.) | 11.76% | 13.79% |
| 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 | -2.23% | -2.34% |
| Avg. Drawdown Days | 27 | 24 |
| Recovery Factor | 2.29 | 2.87 |
| Ulcer Index | 0.09 | 0.08 |
| Serenity Index | 0.36 | 0.54 |
| Avg. Up Month | 4.07% | 4.23% |
| Avg. Down Month | -4.18% | -4.06% |
| Win Days | 53.16% | 54.85% |
| Win Month | 62.32% | 63.77% |
| Win Quarter | 70.83% | 75.0% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 1.0 |
| Alpha | - | 0.02 |
| Correlation | - | 96.55% |
| Treynor Ratio | - | 106.19% |
| Year | ISVL | AVDV | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.69 | 6.60 | 0.86 | - |
| 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 | 14.13 | 15.12 | 1.07 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-07 | 2023-12-22 | -28.08 | 837 |
| 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 |
| 2026-09-08 | 2026-11-04 | -7.56 | 58 |
| 2021-06-08 | 2021-09-02 | -7.37 | 87 |
| 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 |