TDIV[Strategy] vs INav[Benchmark]

5 Dec, 2023 - 30 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	100.0%
Cumulative Return	-1.33%	-1.15%
CAGR﹪	-0.9%	-0.77%
Sharpe	-0.25	-0.26
Prob. Sharpe Ratio	10.03%	10.03%
Smart Sharpe	-0.23	-0.25
Sortino	-0.36	-0.38
Smart Sortino	-0.34	-0.36
Sortino/√2	-0.26	-0.27
Smart Sortino/√2	-0.24	-0.25
Omega	0.96	0.96
Max Drawdown	-29.94%	-29.79%
Longest DD Days	378	375
Volatility (ann.)	21.69%	20.77%
R^2	0.63	0.63
Information Ratio	0.0	0.0
Calmar	-0.03	-0.03
Skew	0.71	0.65
Kurtosis	4.43	4.67
Expected Daily	-0.0%	-0.0%
Expected Monthly	-0.07%	-0.06%
Expected Yearly	-0.45%	-0.38%
Kelly Criterion	-2.65%	-0.67%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.24%	-2.15%
Expected Shortfall (cVaR)	-2.24%	-2.15%
Max Consecutive Wins	8	9
Max Consecutive Losses	8	14
Gain/Pain Ratio	0.01	0.01
Gain/Pain (1M)	0.05	0.05
Payoff Ratio	0.91	0.91
Profit Factor	1.01	1.01
Common Sense Ratio	0.98	0.89
CPC Index	0.47	0.48
Tail Ratio	0.97	0.88
Outlier Win Ratio	3.97	4.07
Outlier Loss Ratio	2.93	3.14
MTD	-3.02%	-2.89%
3M	-9.23%	-10.72%
6M	10.93%	9.95%
YTD	-3.6%	-3.78%
1Y	-15.14%	-15.27%
3Y (ann.)	-0.9%	-0.77%
5Y (ann.)	-0.9%	-0.77%
10Y (ann.)	-0.9%	-0.77%
All-time (ann.)	-0.9%	-0.77%
Best Day	8.47%	8.33%
Worst Day	-4.14%	-4.67%
Best Month	15.07%	14.28%
Worst Month	-11.31%	-11.06%
Best Year	2.56%	3.04%
Worst Year	-3.6%	-3.78%
Avg. Drawdown	-2.86%	-2.5%
Avg. Drawdown Days	30	26
Recovery Factor	-0.04	-0.04
Ulcer Index	0.14	0.14
Serenity Index	-0.03	-0.03
Avg. Up Month	5.25%	5.09%
Avg. Down Month	-5.63%	-5.33%
Win Days	51.1%	51.99%
Win Month	55.56%	50.0%
Win Quarter	57.14%	57.14%
Win Year	33.33%	33.33%
Beta	0.83	-
Alpha	0.0	-
Correlation	79.58%	-
Treynor Ratio	-10.02%	-