DIVD[Strategy] vs INav[Benchmark]

27 Jan, 2021 - 6 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	22.89%	22.94%
CAGR﹪	4.12%	4.13%
Sharpe	-0.01	0.03
Prob. Sharpe Ratio	3.45%	3.74%
Smart Sharpe	-0.01	0.03
Sortino	-0.01	0.04
Smart Sortino	-0.01	0.04
Sortino/√2	-0.01	0.03
Smart Sortino/√2	-0.01	0.03
Omega	1.0	1.0
Max Drawdown	-48.48%	-48.21%
Longest DD Days	681	680
Volatility (ann.)	22.19%	25.61%
R^2	0.5	0.5
Information Ratio	-0.0	-0.0
Calmar	0.08	0.09
Skew	-0.85	-3.06
Kurtosis	7.88	91.9
Expected Daily	0.02%	0.02%
Expected Monthly	0.33%	0.33%
Expected Yearly	3.49%	3.5%
Kelly Criterion	0.12%	1.92%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.27%	-2.62%
Expected Shortfall (cVaR)	-2.27%	-2.62%
Max Consecutive Wins	9	11
Max Consecutive Losses	8	14
Gain/Pain Ratio	0.05	0.06
Gain/Pain (1M)	0.23	0.29
Payoff Ratio	0.87	0.86
Profit Factor	1.05	1.06
Common Sense Ratio	0.96	0.99
CPC Index	0.49	0.5
Tail Ratio	0.91	0.93
Outlier Win Ratio	3.81	3.97
Outlier Loss Ratio	3.66	3.7
MTD	3.24%	2.74%
3M	7.26%	6.62%
6M	-0.53%	-0.52%
YTD	5.62%	5.74%
1Y	-5.48%	-6.74%
3Y (ann.)	10.45%	10.24%
5Y (ann.)	3.09%	3.04%
10Y (ann.)	4.12%	4.13%
All-time (ann.)	4.12%	4.13%
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	45	42
Recovery Factor	0.47	0.48
Ulcer Index	0.2	0.2
Serenity Index	0.03	0.04
Avg. Up Month	4.8%	4.65%
Avg. Down Month	-5.91%	-5.62%
Win Days	53.41%	54.75%
Win Month	61.9%	58.73%
Win Quarter	57.14%	57.14%
Win Year	50.0%	50.0%
Beta	0.61	-
Alpha	0.02	-
Correlation	70.83%	-
Treynor Ratio	25.88%	-