| Metric | SPY | AVDV |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 6.48% | 1.84% |
| CAGR﹪ | 13.27% | 3.69% |
| Sharpe | 0.78 | 0.08 |
| Prob. Sharpe Ratio | 70.87% | 52.32% |
| Smart Sharpe | 0.75 | 0.07 |
| Sortino | 1.14 | 0.12 |
| Smart Sortino | 1.09 | 0.1 |
| Sortino/√2 | 0.8 | 0.08 |
| Smart Sortino/√2 | 0.77 | 0.07 |
| Omega | 1.19 | 1.05 |
| Max Drawdown | -4.49% | -7.56% |
| Max DD Date | 2026-06-10 | 2026-11-03 |
| Max DD Period Start | 2026-06-03 | 2026-09-08 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 72 |
| Volatility (ann.) | 12.4% | 15.82% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.95 | 0.49 |
| Skew | -0.15 | -0.07 |
| Kurtosis | 0.59 | 0.74 |
| Ulcer Performance Index | 3.89 | 0.51 |
| Risk-Adjusted Return | 13.27% | 3.72% |
| Risk-Return Ratio | 0.07 | 0.02 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.71% | 0.89% |
| Avg. Loss | -0.68% | -0.98% |
| Win/Loss Ratio | 1.05 | 0.91 |
| Profit Ratio | 1.15 | 0.7 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 0.9% | 0.26% |
| Expected Yearly | 6.48% | 1.84% |
| Kelly Criterion | 3.33% | 4.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.62% |
| Expected Shortfall (cVaR) | -1.63% | -2.11% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.19 | 0.05 |
| Gain/Pain (1M) | 3.26 | 0.22 |
| Payoff Ratio | 1.05 | 0.91 |
| Profit Factor | 1.19 | 1.05 |
| Common Sense Ratio | 1.47 | 0.93 |
| CPC Index | 0.63 | 0.52 |
| Tail Ratio | 1.23 | 0.89 |
| Outlier Win Ratio | 2.66 | 3.68 |
| Outlier Loss Ratio | 3.07 | 2.69 |
| MTD | 1.47% | 0.98% |
| 3M | 1.46% | 1.24% |
| 6M | 6.48% | 1.84% |
| YTD | 6.48% | 1.84% |
| 1Y | 6.48% | 1.84% |
| 3Y (ann.) | 13.27% | 3.69% |
| 5Y (ann.) | 13.27% | 3.69% |
| 10Y (ann.) | 13.27% | 3.69% |
| All-time (ann.) | 13.27% | 3.69% |
| Best Day | 1.8% | 2.86% |
| Worst Day | -2.58% | -3.19% |
| Best Month | 4.52% | 7.47% |
| Worst Month | -1.03% | -5.27% |
| Best Year | 6.48% | 1.84% |
| Worst Year | 6.48% | 1.84% |
| Avg. Drawdown | -1.57% | -2.09% |
| Avg. Drawdown Days | 17 | 15 |
| Recovery Factor | 1.48 | 0.32 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.91 | 0.1 |
| Avg. Up Month | 2.18% | 3.47% |
| Avg. Down Month | -0.75% | -3.82% |
| Win Days | 50.39% | 54.4% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.97 |
| Alpha | - | -0.08 |
| Correlation | - | 75.77% |
| Treynor Ratio | - | 1.9% |
| Year | SPY | AVDV | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 1.84 | 0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-08 | 2026-11-04 | -7.56 | 58 |
| 2026-05-27 | 2026-08-06 | -6.28 | 72 |
| 2026-05-15 | 2026-05-22 | -3.01 | 8 |
| 2026-08-28 | 2026-09-02 | -1.48 | 6 |
| 2026-08-18 | 2026-08-20 | -1.32 | 3 |
| 2026-05-07 | 2026-05-07 | -0.40 | 1 |
| 2026-05-12 | 2026-05-12 | -0.33 | 1 |
| 2026-08-26 | 2026-08-26 | -0.26 | 1 |
| 2026-08-10 | 2026-08-11 | -0.16 | 2 |
| 2026-08-24 | 2026-08-24 | -0.11 | 1 |