| Metric | SPY | AVDV |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 31.53% |
| CAGR﹪ | 18.02% | 31.82% |
| Sharpe | 1.04 | 1.48 |
| Prob. Sharpe Ratio | 84.73% | 92.78% |
| Smart Sharpe | 1.01 | 1.39 |
| Sortino | 1.51 | 2.19 |
| Smart Sortino | 1.47 | 2.07 |
| Sortino/√2 | 1.07 | 1.55 |
| Smart Sortino/√2 | 1.04 | 1.46 |
| Omega | 1.25 | 1.33 |
| Max Drawdown | -8.88% | -13.19% |
| Max DD Date | 2026-03-30 | 2026-03-20 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-05-12 |
| Longest DD Days | 76 | 72 |
| Volatility (ann.) | 12.99% | 17.0% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 2.03 | 2.41 |
| Skew | -0.15 | -0.13 |
| Kurtosis | 1.05 | 1.32 |
| Ulcer Performance Index | 8.3 | 8.58 |
| Risk-Adjusted Return | 18.02% | 31.82% |
| Risk-Return Ratio | 0.08 | 0.11 |
| Avg. Return | 0.07% | 0.12% |
| Avg. Win | 0.72% | 0.95% |
| Avg. Loss | -0.74% | -0.97% |
| Win/Loss Ratio | 0.97 | 0.98 |
| Profit Ratio | 0.94 | 0.72 |
| Expected Daily | 0.07% | 0.11% |
| Expected Monthly | 1.27% | 2.13% |
| Expected Yearly | 8.57% | 14.69% |
| Kelly Criterion | 5.52% | 13.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.65% |
| Expected Shortfall (cVaR) | -1.72% | -2.3% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.25 | 0.33 |
| Gain/Pain (1M) | 2.6 | 1.98 |
| Payoff Ratio | 0.97 | 0.98 |
| Profit Factor | 1.25 | 1.33 |
| Common Sense Ratio | 1.24 | 1.26 |
| CPC Index | 0.65 | 0.75 |
| Tail Ratio | 0.99 | 0.94 |
| Outlier Win Ratio | 2.88 | 3.52 |
| Outlier Loss Ratio | 3.19 | 3.54 |
| MTD | 1.08% | 0.5% |
| 3M | 3.82% | 5.91% |
| 6M | 19.85% | 19.96% |
| YTD | 14.3% | 22.01% |
| 1Y | 17.87% | 31.53% |
| 3Y (ann.) | 18.02% | 31.82% |
| 5Y (ann.) | 18.02% | 31.82% |
| 10Y (ann.) | 18.02% | 31.82% |
| All-time (ann.) | 18.02% | 31.82% |
| Best Day | 2.91% | 3.82% |
| Worst Day | -2.7% | -3.43% |
| Best Month | 10.51% | 8.87% |
| Worst Month | -4.94% | -9.19% |
| Best Year | 14.3% | 22.01% |
| Worst Year | 3.13% | 7.8% |
| Avg. Drawdown | -1.71% | -1.91% |
| Avg. Drawdown Days | 13 | 11 |
| Recovery Factor | 1.94 | 2.19 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.16 | 0.85 |
| Avg. Up Month | 2.41% | 3.49% |
| Avg. Down Month | -2.98% | -7.23% |
| Win Days | 53.6% | 57.26% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.95 |
| Alpha | - | 0.13 |
| Correlation | - | 72.65% |
| Treynor Ratio | - | 33.16% |
| Year | SPY | AVDV | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 7.80 | 2.50 | + |
| 2026 | 14.30 | 22.01 | 1.54 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-05-12 | -13.19 | 72 |
| 2026-05-27 | 2026-08-06 | -6.28 | 72 |
| 2025-11-13 | 2025-11-25 | -3.75 | 13 |
| 2025-10-28 | 2025-11-11 | -3.29 | 15 |
| 2025-10-07 | 2025-10-23 | -3.20 | 17 |
| 2026-05-15 | 2026-05-22 | -3.01 | 8 |
| 2026-01-30 | 2026-02-06 | -2.85 | 8 |
| 2026-09-08 | 2026-09-22 | -2.45 | 15 |
| 2026-08-28 | 2026-09-02 | -1.48 | 6 |
| 2026-08-18 | 2026-08-20 | -1.32 | 3 |