| Metric | SPY | ABRVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 17.87% | 8.23% |
| CAGR﹪ | 18.02% | 8.3% |
| Sharpe | 1.04 | 0.45 |
| Prob. Sharpe Ratio | 84.73% | 67.1% |
| Smart Sharpe | 1.01 | 0.44 |
| Sortino | 1.51 | 0.65 |
| Smart Sortino | 1.47 | 0.64 |
| Sortino/√2 | 1.07 | 0.46 |
| Smart Sortino/√2 | 1.04 | 0.45 |
| Omega | 1.25 | 1.15 |
| Max Drawdown | -8.88% | -6.93% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2025-10-30 |
| Max DD Period End | 2026-04-13 | 2026-04-15 |
| Longest DD Days | 76 | 168 |
| Volatility (ann.) | 12.99% | 10.17% |
| R^2 | 0.7 | 0.7 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 2.03 | 1.2 |
| Skew | -0.15 | 0.03 |
| Kurtosis | 1.05 | 1.87 |
| Ulcer Performance Index | 8.3 | 2.97 |
| Risk-Adjusted Return | 18.02% | 8.65% |
| Risk-Return Ratio | 0.08 | 0.05 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.66% | 0.48% |
| Avg. Loss | -0.64% | -0.52% |
| Win/Loss Ratio | 1.04 | 0.93 |
| Profit Ratio | 0.94 | 0.69 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.27% | 0.61% |
| Expected Yearly | 8.57% | 4.04% |
| Kelly Criterion | 8.84% | 4.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.02% |
| Expected Shortfall (cVaR) | -1.72% | -1.33% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.15 |
| Gain/Pain (1M) | 2.6 | 0.9 |
| Payoff Ratio | 1.04 | 0.93 |
| Profit Factor | 1.25 | 1.15 |
| Common Sense Ratio | 1.24 | 1.16 |
| CPC Index | 0.69 | 0.58 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.88 | 3.54 |
| Outlier Loss Ratio | 3.19 | 3.01 |
| MTD | 1.08% | 0.42% |
| 3M | 3.82% | 0.42% |
| 6M | 19.85% | 9.24% |
| YTD | 14.3% | 6.8% |
| 1Y | 17.87% | 8.23% |
| 3Y (ann.) | 18.02% | 8.3% |
| 5Y (ann.) | 18.02% | 8.3% |
| 10Y (ann.) | 18.02% | 8.3% |
| All-time (ann.) | 18.02% | 8.3% |
| Best Day | 2.91% | 2.48% |
| Worst Day | -2.7% | -2.53% |
| Best Month | 10.51% | 7.69% |
| Worst Month | -4.94% | -3.02% |
| Best Year | 14.3% | 6.8% |
| Worst Year | 3.13% | 1.35% |
| Avg. Drawdown | -1.71% | -1.69% |
| Avg. Drawdown Days | 13 | 25 |
| Recovery Factor | 1.94 | 1.22 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.16 | 0.37 |
| Avg. Up Month | 3.4% | 2.56% |
| Avg. Down Month | -2.28% | -2.08% |
| Win Days | 53.6% | 54.2% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.66 |
| Alpha | - | -0.03 |
| Correlation | - | 83.82% |
| Treynor Ratio | - | 12.54% |
| Year | SPY | ABRVX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.35 | 0.43 | - |
| 2026 | 14.30 | 6.80 | 0.48 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-30 | 2026-04-15 | -6.93 | 168 |
| 2026-06-03 | 2026-09-22 | -5.69 | 112 |
| 2025-10-09 | 2025-10-15 | -2.21 | 7 |
| 2026-05-15 | 2026-05-27 | -1.97 | 13 |
| 2025-10-17 | 2025-10-24 | -1.56 | 8 |
| 2025-09-24 | 2025-09-29 | -0.81 | 6 |
| 2026-04-20 | 2026-04-21 | -0.77 | 2 |
| 2026-04-28 | 2026-04-29 | -0.51 | 2 |
| 2026-04-23 | 2026-04-23 | -0.43 | 1 |
| 2026-05-04 | 2026-05-04 | -0.34 | 1 |