| Metric | SPY | AVDV |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 74.99% | 88.84% |
| CAGR﹪ | 11.91% | 13.64% |
| Sharpe | 0.52 | 0.6 |
| Prob. Sharpe Ratio | 87.6% | 90.88% |
| Smart Sharpe | 0.5 | 0.59 |
| Sortino | 0.74 | 0.86 |
| Smart Sortino | 0.72 | 0.85 |
| Sortino/√2 | 0.53 | 0.61 |
| Smart Sortino/√2 | 0.51 | 0.6 |
| Omega | 1.14 | 1.15 |
| Max Drawdown | -24.5% | -27.86% |
| Max DD Date | 2022-10-12 | 2022-09-27 |
| Max DD Period Start | 2022-01-04 | 2021-11-09 |
| Max DD Period End | 2023-12-12 | 2023-12-21 |
| Longest DD Days | 708 | 773 |
| Volatility (ann.) | 17.19% | 17.46% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.49 | 0.49 |
| Skew | 0.33 | -0.04 |
| Kurtosis | 8.98 | 4.32 |
| Ulcer Performance Index | 8.86 | 10.74 |
| Risk-Adjusted Return | 11.91% | 13.78% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.88% | 0.93% |
| Avg. Loss | -0.93% | -0.98% |
| Win/Loss Ratio | 0.95 | 0.96 |
| Profit Ratio | 0.86 | 0.76 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.92% | 1.05% |
| Expected Yearly | 9.77% | 11.18% |
| Kelly Criterion | 4.35% | 7.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.75% |
| Expected Shortfall (cVaR) | -2.58% | -2.44% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.15 |
| Gain/Pain (1M) | 0.79 | 0.75 |
| Payoff Ratio | 0.95 | 0.96 |
| Profit Factor | 1.14 | 1.15 |
| Common Sense Ratio | 1.15 | 1.16 |
| CPC Index | 0.58 | 0.6 |
| Tail Ratio | 1.0 | 1.01 |
| Outlier Win Ratio | 3.4 | 3.6 |
| Outlier Loss Ratio | 3.8 | 3.47 |
| MTD | 1.47% | 0.98% |
| 3M | 1.46% | 1.24% |
| 6M | 6.94% | 2.31% |
| YTD | 13.33% | 15.12% |
| 1Y | 13.43% | 23.19% |
| 3Y (ann.) | 20.78% | 26.08% |
| 5Y (ann.) | 12.86% | 15.54% |
| 10Y (ann.) | 11.91% | 13.64% |
| All-time (ann.) | 11.91% | 13.64% |
| Best Day | 10.5% | 7.52% |
| Worst Day | -5.85% | -7.56% |
| Best Month | 10.51% | 12.82% |
| Worst Month | -9.24% | -10.69% |
| Best Year | 26.18% | 49.37% |
| Worst Year | -18.18% | -11.47% |
| Avg. Drawdown | -1.94% | -2.38% |
| Avg. Drawdown Days | 21 | 24 |
| Recovery Factor | 2.58 | 2.55 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 0.43 | 0.46 |
| Avg. Up Month | 3.94% | 4.37% |
| Avg. Down Month | -3.83% | -4.39% |
| Win Days | 53.48% | 54.64% |
| Win Month | 62.3% | 62.3% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.75 |
| Alpha | - | 0.05 |
| Correlation | - | 73.82% |
| Treynor Ratio | - | 118.5% |
| Year | SPY | AVDV | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -2.32 | -1.34 | - |
| 2022 | -18.18 | -11.47 | 0.63 | + |
| 2023 | 26.18 | 16.85 | 0.64 | - |
| 2024 | 24.89 | 8.67 | 0.35 | - |
| 2025 | 17.72 | 49.37 | 2.79 | + |
| 2026 | 13.33 | 15.12 | 1.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2023-12-21 | -27.86 | 773 |
| 2025-03-20 | 2025-04-25 | -14.17 | 37 |
| 2026-03-02 | 2026-05-12 | -13.19 | 72 |
| 2024-09-27 | 2025-03-04 | -8.17 | 159 |
| 2024-07-17 | 2024-08-16 | -8.10 | 31 |
| 2026-09-08 | 2026-11-04 | -7.56 | 58 |
| 2026-05-27 | 2026-08-06 | -6.28 | 72 |
| 2024-08-28 | 2024-09-18 | -4.65 | 22 |
| 2023-12-28 | 2024-02-29 | -4.39 | 64 |
| 2024-06-04 | 2024-07-10 | -4.21 | 37 |