DIVD[Strategy] vs INav[Benchmark]

27 Jan, 2021 - 3 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	12.69%	13.15%
CAGR﹪	2.49%	2.58%
Sharpe	-0.08	-0.02
Prob. Sharpe Ratio	2.65%	3.03%
Smart Sharpe	-0.07	-0.02
Sortino	-0.1	-0.03
Smart Sortino	-0.1	-0.03
Sortino/√2	-0.07	-0.02
Smart Sortino/√2	-0.07	-0.02
Omega	0.99	0.99
Max Drawdown	-48.48%	-48.21%
Longest DD Days	681	680
Volatility (ann.)	22.54%	26.08%
R^2	0.5	0.5
Information Ratio	-0.0	-0.0
Calmar	0.05	0.05
Skew	-0.85	-3.03
Kurtosis	7.71	89.58
Expected Daily	0.01%	0.01%
Expected Monthly	0.2%	0.21%
Expected Yearly	2.42%	2.5%
Kelly Criterion	-0.78%	1.22%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.32%	-2.68%
Expected Shortfall (cVaR)	-2.32%	-2.68%
Max Consecutive Wins	9	11
Max Consecutive Losses	8	14
Gain/Pain Ratio	0.04	0.05
Gain/Pain (1M)	0.17	0.22
Payoff Ratio	0.86	0.85
Profit Factor	1.04	1.05
Common Sense Ratio	0.95	0.96
CPC Index	0.48	0.49
Tail Ratio	0.91	0.91
Outlier Win Ratio	3.79	3.96
Outlier Loss Ratio	3.62	3.67
MTD	-0.63%	-0.74%
3M	-6.97%	-6.51%
6M	-1.73%	-2.1%
YTD	-6.45%	-6.6%
1Y	7.0%	7.44%
3Y (ann.)	13.01%	13.29%
5Y (ann.)	2.49%	2.58%
10Y (ann.)	2.49%	2.58%
All-time (ann.)	2.49%	2.58%
Best Day	7.71%	19.38%
Worst Day	-10.29%	-28.26%
Best Month	15.57%	16.77%
Worst Month	-24.16%	-21.61%
Best Year	55.98%	56.9%
Worst Year	-32.19%	-32.47%
Avg. Drawdown	-3.59%	-3.28%
Avg. Drawdown Days	43	40
Recovery Factor	0.26	0.27
Ulcer Index	0.2	0.2
Serenity Index	0.01	0.01
Avg. Up Month	4.94%	4.8%
Avg. Down Month	-5.88%	-5.61%
Win Days	53.28%	54.74%
Win Month	60.0%	56.67%
Win Quarter	50.0%	50.0%
Win Year	40.0%	40.0%
Beta	0.61	-
Alpha	0.01	-
Correlation	70.54%	-
Treynor Ratio	9.33%	-