| Metric | ISVL | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 86.61% | 111.81% |
| CAGR﹪ | 12.35% | 15.04% |
| Sharpe | 0.78 | 0.9 |
| Prob. Sharpe Ratio | 96.52% | 98.09% |
| Smart Sharpe | 0.77 | 0.88 |
| Sortino | 1.15 | 1.31 |
| Smart Sortino | 1.13 | 1.29 |
| Sortino/√2 | 0.81 | 0.92 |
| Smart Sortino/√2 | 0.8 | 0.91 |
| Omega | 1.14 | 1.17 |
| 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.) | 16.69% | 17.25% |
| R^2 | 0.94 | 0.94 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.41 | 0.54 |
| Skew | 0.22 | -0.06 |
| Kurtosis | 5.33 | 4.25 |
| Ulcer Performance Index | 9.3 | 13.78 |
| Risk-Adjusted Return | 12.35% | 15.19% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.83% | 0.87% |
| Avg. Loss | -0.86% | -0.9% |
| Win/Loss Ratio | 0.96 | 0.97 |
| Profit Ratio | 0.88 | 0.75 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 0.95% | 1.14% |
| Expected Yearly | 10.96% | 13.32% |
| Kelly Criterion | 4.68% | 8.18% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.68% | -1.73% |
| Expected Shortfall (cVaR) | -2.31% | -2.44% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 11 | 7 |
| Gain/Pain Ratio | 0.14 | 0.17 |
| Gain/Pain (1M) | 0.72 | 0.9 |
| Payoff Ratio | 0.96 | 0.97 |
| Profit Factor | 1.14 | 1.17 |
| Common Sense Ratio | 1.13 | 1.16 |
| CPC Index | 0.59 | 0.62 |
| Tail Ratio | 0.99 | 1.0 |
| Outlier Win Ratio | 3.53 | 3.54 |
| Outlier Loss Ratio | 3.39 | 3.42 |
| MTD | 2.2% | 4.75% |
| 3M | 4.33% | 1.44% |
| 6M | 3.22% | 3.47% |
| YTD | 14.32% | 18.33% |
| 1Y | 26.33% | 35.49% |
| 3Y (ann.) | 24.7% | 28.78% |
| 5Y (ann.) | 11.65% | 14.64% |
| 10Y (ann.) | 12.35% | 15.04% |
| All-time (ann.) | 12.35% | 15.04% |
| 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 | -2.29% | -2.35% |
| Avg. Drawdown Days | 28 | 25 |
| Recovery Factor | 2.29 | 2.96 |
| Ulcer Index | 0.09 | 0.08 |
| Serenity Index | 0.35 | 0.55 |
| Avg. Up Month | 4.07% | 4.24% |
| Avg. Down Month | -4.37% | -4.15% |
| Win Days | 53.3% | 54.84% |
| Win Month | 63.64% | 65.15% |
| Win Quarter | 73.91% | 78.26% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 1.0 |
| Alpha | - | 0.02 |
| Correlation | - | 96.72% |
| Treynor Ratio | - | 111.89% |
| Year | ISVL | Strategy | 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 | 14.32 | 18.33 | 1.28 | + |
| 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 |
| 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 |
| 2024-06-04 | 2024-07-10 | -4.21 | 37 |