| Metric | SPY | AVDV |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | 17.39% |
| CAGR﹪ | 40.67% | 37.81% |
| Sharpe | 2.32 | 1.68 |
| Prob. Sharpe Ratio | 95.04% | 88.58% |
| Smart Sharpe | 2.3 | 1.46 |
| Sortino | 3.78 | 2.72 |
| Smart Sortino | 3.75 | 2.37 |
| Sortino/√2 | 2.67 | 1.92 |
| Smart Sortino/√2 | 2.65 | 1.67 |
| Omega | 1.54 | 1.37 |
| Max Drawdown | -4.49% | -6.28% |
| Max DD Date | 2026-06-10 | 2026-07-20 |
| Max DD Period Start | 2026-06-03 | 2026-05-27 |
| Max DD Period End | 2026-07-31 | 2026-08-06 |
| Longest DD Days | 59 | 72 |
| Volatility (ann.) | 13.55% | 17.9% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 9.05 | 6.02 |
| Skew | 0.1 | 0.33 |
| Kurtosis | 1.12 | 1.13 |
| Ulcer Performance Index | 11.86 | 6.38 |
| Risk-Adjusted Return | 40.67% | 37.81% |
| Risk-Return Ratio | 0.16 | 0.12 |
| Avg. Return | 0.14% | 0.13% |
| Avg. Win | 0.83% | 1.09% |
| Avg. Loss | -0.68% | -0.96% |
| Win/Loss Ratio | 1.22 | 1.14 |
| Profit Ratio | 1.12 | 0.94 |
| Expected Daily | 0.14% | 0.13% |
| Expected Monthly | 2.47% | 2.32% |
| Expected Yearly | 18.6% | 17.39% |
| Kelly Criterion | 16.15% | 14.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.72% |
| Expected Shortfall (cVaR) | -1.77% | -2.27% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.54 | 0.37 |
| Gain/Pain (1M) | 10.92 | 3.21 |
| Payoff Ratio | 1.22 | 1.14 |
| Profit Factor | 1.54 | 1.37 |
| Common Sense Ratio | 2.01 | 1.71 |
| CPC Index | 1.01 | 0.85 |
| Tail Ratio | 1.3 | 1.25 |
| Outlier Win Ratio | 3.21 | 3.6 |
| Outlier Loss Ratio | 3.16 | 2.81 |
| MTD | 1.08% | 0.5% |
| 3M | 3.82% | 5.91% |
| 6M | 18.6% | 17.39% |
| YTD | 18.6% | 17.39% |
| 1Y | 18.6% | 17.39% |
| 3Y (ann.) | 40.67% | 37.81% |
| 5Y (ann.) | 40.67% | 37.81% |
| 10Y (ann.) | 40.67% | 37.81% |
| All-time (ann.) | 40.67% | 37.81% |
| Best Day | 2.91% | 3.82% |
| Worst Day | -2.58% | -3.19% |
| Best Month | 10.51% | 7.47% |
| Worst Month | -1.03% | -5.27% |
| Best Year | 18.6% | 17.39% |
| Worst Year | 18.6% | 17.39% |
| Avg. Drawdown | -1.13% | -1.54% |
| Avg. Drawdown Days | 9 | 9 |
| Recovery Factor | 3.9 | 2.68 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 2.75 | 1.24 |
| Avg. Up Month | 3.91% | 3.93% |
| Avg. Down Month | -1.03% | -5.27% |
| Win Days | 53.97% | 54.4% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.04 |
| Alpha | - | -0.03 |
| Correlation | - | 78.34% |
| Treynor Ratio | - | 16.8% |
| Year | SPY | AVDV | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 17.39 | 0.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-27 | 2026-08-06 | -6.28 | 72 |
| 2026-04-20 | 2026-05-05 | -3.89 | 16 |
| 2026-05-15 | 2026-05-22 | -3.01 | 8 |
| 2026-03-26 | 2026-03-30 | -2.71 | 5 |
| 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 |
| 2026-04-02 | 2026-04-07 | -0.97 | 6 |
| 2026-04-15 | 2026-04-16 | -0.76 | 2 |
| 2026-04-09 | 2026-04-09 | -0.44 | 1 |