| Metric | SPY | AVDV |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 14.39% | 24.46% |
| CAGR﹪ | 14.51% | 24.67% |
| Sharpe | 0.83 | 1.16 |
| Prob. Sharpe Ratio | 79.61% | 87.54% |
| Smart Sharpe | 0.82 | 1.09 |
| Sortino | 1.22 | 1.71 |
| Smart Sortino | 1.2 | 1.61 |
| Sortino/√2 | 0.86 | 1.21 |
| Smart Sortino/√2 | 0.85 | 1.14 |
| Omega | 1.2 | 1.26 |
| 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.) | 12.86% | 17.08% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 1.63 | 1.87 |
| Skew | -0.02 | -0.08 |
| Kurtosis | 0.78 | 1.24 |
| Ulcer Performance Index | 6.68 | 6.05 |
| Risk-Adjusted Return | 14.51% | 24.92% |
| Risk-Return Ratio | 0.07 | 0.09 |
| Avg. Return | 0.06% | 0.09% |
| Avg. Win | 0.72% | 0.96% |
| Avg. Loss | -0.73% | -0.96% |
| Win/Loss Ratio | 0.99 | 1.0 |
| Profit Ratio | 1.02 | 0.73 |
| Expected Daily | 0.05% | 0.09% |
| Expected Monthly | 1.04% | 1.7% |
| Expected Yearly | 6.95% | 11.56% |
| Kelly Criterion | 3.57% | 12.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.68% |
| Expected Shortfall (cVaR) | -1.66% | -2.28% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.2 | 0.26 |
| Gain/Pain (1M) | 1.83 | 1.13 |
| Payoff Ratio | 0.99 | 1.0 |
| Profit Factor | 1.2 | 1.26 |
| Common Sense Ratio | 1.19 | 1.19 |
| CPC Index | 0.62 | 0.71 |
| Tail Ratio | 0.99 | 0.94 |
| Outlier Win Ratio | 2.84 | 3.55 |
| Outlier Loss Ratio | 3.01 | 3.5 |
| MTD | 1.47% | 0.98% |
| 3M | 1.46% | 1.24% |
| 6M | 6.94% | 2.31% |
| YTD | 13.33% | 15.12% |
| 1Y | 14.39% | 24.46% |
| 3Y (ann.) | 14.51% | 24.67% |
| 5Y (ann.) | 14.51% | 24.67% |
| 10Y (ann.) | 14.51% | 24.67% |
| All-time (ann.) | 14.51% | 24.67% |
| Best Day | 2.91% | 3.82% |
| Worst Day | -2.58% | -3.43% |
| Best Month | 10.51% | 8.87% |
| Worst Month | -4.94% | -9.19% |
| Best Year | 13.33% | 15.12% |
| Worst Year | 0.94% | 8.11% |
| Avg. Drawdown | -1.74% | -2.06% |
| Avg. Drawdown Days | 14 | 13 |
| Recovery Factor | 1.61 | 1.77 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.94 | 0.61 |
| Avg. Up Month | 2.8% | 4.46% |
| Avg. Down Month | -1.8% | -5.16% |
| Win Days | 52.0% | 56.28% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.98 |
| Alpha | - | 0.09 |
| Correlation | - | 73.55% |
| Treynor Ratio | - | 25.04% |
| Year | SPY | AVDV | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 8.11 | 8.64 | + |
| 2026 | 13.33 | 15.12 | 1.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-05-12 | -13.19 | 72 |
| 2026-09-08 | 2026-11-04 | -7.56 | 58 |
| 2026-05-27 | 2026-08-06 | -6.28 | 72 |
| 2025-11-13 | 2025-11-25 | -3.75 | 13 |
| 2026-05-15 | 2026-05-22 | -3.01 | 8 |
| 2026-01-30 | 2026-02-06 | -2.85 | 8 |
| 2026-08-28 | 2026-09-02 | -1.48 | 6 |
| 2026-08-18 | 2026-08-20 | -1.32 | 3 |
| 2025-12-12 | 2025-12-18 | -0.97 | 7 |
| 2025-12-01 | 2025-12-03 | -0.78 | 3 |