| Metric | SPY | AVDV |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 187.79% | 179.16% |
| CAGR﹪ | 16.39% | 15.88% |
| Sharpe | 0.72 | 0.7 |
| Prob. Sharpe Ratio | 97.02% | 96.58% |
| Smart Sharpe | 0.62 | 0.7 |
| Sortino | 1.02 | 0.98 |
| Smart Sortino | 0.88 | 0.97 |
| Sortino/√2 | 0.72 | 0.69 |
| Smart Sortino/√2 | 0.62 | 0.69 |
| Omega | 1.18 | 1.17 |
| Max Drawdown | -33.72% | -43.01% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-01-03 |
| Max DD Period End | 2020-08-07 | 2020-12-03 |
| Longest DD Days | 708 | 837 |
| Volatility (ann.) | 19.78% | 19.59% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.49 | 0.37 |
| Skew | -0.27 | -0.75 |
| Kurtosis | 13.78 | 9.84 |
| Ulcer Performance Index | 23.08 | 17.88 |
| Risk-Adjusted Return | 16.39% | 16.04% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.07% |
| Avg. Win | 0.92% | 0.97% |
| Avg. Loss | -1.02% | -1.06% |
| Win/Loss Ratio | 0.9 | 0.91 |
| Profit Ratio | 0.77 | 0.73 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.25% | 1.22% |
| Expected Yearly | 14.13% | 13.69% |
| Kelly Criterion | 5.68% | 6.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.98% | -1.96% |
| Expected Shortfall (cVaR) | -3.26% | -3.12% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.17 |
| Gain/Pain (1M) | 1.12 | 0.85 |
| Payoff Ratio | 0.9 | 0.91 |
| Profit Factor | 1.18 | 1.17 |
| Common Sense Ratio | 1.15 | 1.19 |
| CPC Index | 0.59 | 0.59 |
| Tail Ratio | 0.97 | 1.02 |
| Outlier Win Ratio | 3.73 | 3.82 |
| Outlier Loss Ratio | 4.08 | 3.67 |
| MTD | 1.08% | 0.5% |
| 3M | 3.82% | 5.91% |
| 6M | 19.85% | 19.96% |
| YTD | 14.3% | 22.01% |
| 1Y | 17.78% | 32.55% |
| 3Y (ann.) | 24.86% | 32.87% |
| 5Y (ann.) | 13.06% | 15.43% |
| 10Y (ann.) | 16.39% | 15.88% |
| All-time (ann.) | 16.39% | 15.88% |
| Best Day | 10.5% | 8.19% |
| Worst Day | -10.94% | -11.08% |
| Best Month | 12.7% | 16.06% |
| Worst Month | -12.49% | -22.19% |
| Best Year | 28.73% | 49.37% |
| Worst Year | -18.18% | -11.47% |
| Avg. Drawdown | -1.78% | -2.48% |
| Avg. Drawdown Days | 15 | 23 |
| Recovery Factor | 3.54 | 2.7 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 0.95 | 0.55 |
| Avg. Up Month | 4.21% | 4.63% |
| Avg. Down Month | -4.08% | -4.91% |
| Win Days | 55.28% | 55.33% |
| Win Month | 65.88% | 64.71% |
| Win Quarter | 72.41% | 75.86% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.77 |
| Alpha | - | 0.03 |
| Correlation | - | 78.02% |
| Treynor Ratio | - | 231.81% |
| Year | SPY | AVDV | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 8.90 | 12.05 | 1.35 | + |
| 2020 | 18.33 | 5.01 | 0.27 | - |
| 2021 | 28.73 | 15.80 | 0.55 | - |
| 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 | 14.30 | 22.01 | 1.54 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-03 | 2020-12-03 | -43.01 | 336 |
| 2021-09-07 | 2023-12-22 | -28.08 | 837 |
| 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 |
| 2021-06-08 | 2021-09-02 | -7.37 | 87 |
| 2026-05-27 | 2026-08-06 | -6.28 | 72 |
| 2021-01-15 | 2021-02-05 | -4.73 | 22 |
| 2024-08-28 | 2024-09-18 | -4.65 | 22 |