| Metric | SPY | AVDV |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 185.35% | 163.4% |
| CAGR﹪ | 15.95% | 14.64% |
| Sharpe | 0.7 | 0.65 |
| Prob. Sharpe Ratio | 96.84% | 95.58% |
| Smart Sharpe | 0.61 | 0.65 |
| Sortino | 0.99 | 0.9 |
| Smart Sortino | 0.86 | 0.9 |
| Sortino/√2 | 0.7 | 0.64 |
| Smart Sortino/√2 | 0.61 | 0.64 |
| Omega | 1.18 | 1.16 |
| 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.) | 19.66% | 19.51% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.47 | 0.34 |
| Skew | -0.27 | -0.74 |
| Kurtosis | 13.88 | 9.84 |
| Ulcer Performance Index | 22.97 | 16.42 |
| Risk-Adjusted Return | 15.95% | 14.79% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.06% |
| Avg. Win | 0.91% | 0.96% |
| Avg. Loss | -1.01% | -1.06% |
| Win/Loss Ratio | 0.9 | 0.91 |
| Profit Ratio | 0.78 | 0.73 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 1.21% | 1.12% |
| Expected Yearly | 14.0% | 12.87% |
| Kelly Criterion | 5.59% | 6.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.97% | -1.96% |
| Expected Shortfall (cVaR) | -3.25% | -3.12% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.16 |
| Gain/Pain (1M) | 1.1 | 0.77 |
| Payoff Ratio | 0.9 | 0.91 |
| Profit Factor | 1.18 | 1.16 |
| Common Sense Ratio | 1.14 | 1.16 |
| CPC Index | 0.59 | 0.58 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.71 | 3.84 |
| Outlier Loss Ratio | 4.1 | 3.63 |
| 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.) | 15.95% | 14.64% |
| All-time (ann.) | 15.95% | 14.64% |
| 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 | -1.79% | -2.53% |
| Avg. Drawdown Days | 15 | 23 |
| Recovery Factor | 3.52 | 2.57 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 0.95 | 0.53 |
| Avg. Up Month | 4.22% | 4.64% |
| Avg. Down Month | -3.82% | -4.78% |
| Win Days | 55.16% | 55.23% |
| Win Month | 64.37% | 63.22% |
| Win Quarter | 73.33% | 73.33% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.77 |
| Alpha | - | 0.03 |
| Correlation | - | 77.97% |
| Treynor Ratio | - | 211.22% |
| 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 | 13.33 | 15.12 | 1.13 | + |
| 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 |
| 2026-09-08 | 2026-11-04 | -7.56 | 58 |
| 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 |