| Metric | SPY | ABRVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 14.39% | 2.4% |
| CAGR﹪ | 14.51% | 2.42% |
| Sharpe | 0.83 | -0.08 |
| Prob. Sharpe Ratio | 79.61% | 46.69% |
| Smart Sharpe | 0.82 | -0.08 |
| Sortino | 1.22 | -0.12 |
| Smart Sortino | 1.2 | -0.11 |
| Sortino/√2 | 0.86 | -0.08 |
| Smart Sortino/√2 | 0.85 | -0.08 |
| Omega | 1.2 | 1.05 |
| Max Drawdown | -8.88% | -6.12% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2025-11-13 |
| Max DD Period End | 2026-04-13 | 2026-04-13 |
| Longest DD Days | 76 | 155 |
| Volatility (ann.) | 12.86% | 9.65% |
| R^2 | 0.81 | 0.81 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 1.63 | 0.4 |
| Skew | -0.02 | -0.05 |
| Kurtosis | 0.78 | 1.45 |
| Ulcer Performance Index | 6.68 | 0.86 |
| Risk-Adjusted Return | 14.51% | 2.55% |
| Risk-Return Ratio | 0.07 | 0.02 |
| Avg. Return | 0.05% | 0.01% |
| Avg. Win | 0.67% | 0.49% |
| Avg. Loss | -0.63% | -0.51% |
| Win/Loss Ratio | 1.07 | 0.96 |
| Profit Ratio | 1.02 | 0.71 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.04% | 0.18% |
| Expected Yearly | 6.95% | 1.19% |
| Kelly Criterion | 6.97% | 2.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.99% |
| Expected Shortfall (cVaR) | -1.66% | -1.28% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.05 |
| Gain/Pain (1M) | 1.83 | 0.26 |
| Payoff Ratio | 1.07 | 0.96 |
| Profit Factor | 1.2 | 1.05 |
| Common Sense Ratio | 1.19 | 1.03 |
| CPC Index | 0.67 | 0.52 |
| Tail Ratio | 0.99 | 0.99 |
| Outlier Win Ratio | 2.84 | 3.55 |
| Outlier Loss Ratio | 3.01 | 2.56 |
| MTD | 1.47% | -0.6% |
| 3M | 1.46% | -2.27% |
| 6M | 6.94% | -1.53% |
| YTD | 13.33% | 3.76% |
| 1Y | 14.39% | 2.4% |
| 3Y (ann.) | 14.51% | 2.42% |
| 5Y (ann.) | 14.51% | 2.42% |
| 10Y (ann.) | 14.51% | 2.42% |
| All-time (ann.) | 14.51% | 2.42% |
| Best Day | 2.91% | 2.15% |
| Worst Day | -2.58% | -2.53% |
| Best Month | 10.51% | 7.69% |
| Worst Month | -4.94% | -3.02% |
| Best Year | 13.33% | 3.76% |
| Worst Year | 0.94% | -1.31% |
| Avg. Drawdown | -1.74% | -1.74% |
| Avg. Drawdown Days | 14 | 33 |
| Recovery Factor | 1.61 | 0.46 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.94 | 0.11 |
| Avg. Up Month | 4.98% | 3.53% |
| Avg. Down Month | -1.61% | -1.62% |
| Win Days | 52.0% | 52.12% |
| Win Month | 61.54% | 30.77% |
| Win Quarter | 80.0% | 20.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.68 |
| Alpha | - | -0.07 |
| Correlation | - | 89.99% |
| Treynor Ratio | - | 3.56% |
| Year | SPY | ABRVX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -1.31 | -1.39 | - |
| 2026 | 13.33 | 3.76 | 0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-11-13 | 2026-04-13 | -6.12 | 152 |
| 2026-06-03 | 2026-11-04 | -5.77 | 155 |
| 2026-05-15 | 2026-05-27 | -1.97 | 13 |
| 2025-11-06 | 2025-11-07 | -0.96 | 2 |
| 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 |
| 2026-05-07 | 2026-05-07 | -0.33 | 1 |
| 2026-05-12 | 2026-05-12 | -0.17 | 1 |