| Metric | SPY | ABRVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 74.99% | -7.02% |
| CAGR﹪ | 11.91% | -1.45% |
| Sharpe | 0.52 | -0.36 |
| Prob. Sharpe Ratio | 87.6% | 21.16% |
| Smart Sharpe | 0.5 | -0.36 |
| Sortino | 0.74 | -0.5 |
| Smart Sortino | 0.72 | -0.5 |
| Sortino/√2 | 0.53 | -0.35 |
| Smart Sortino/√2 | 0.51 | -0.35 |
| Omega | 1.14 | 0.99 |
| Max Drawdown | -24.5% | -29.71% |
| Max DD Date | 2022-10-12 | 2023-10-26 |
| Max DD Period Start | 2022-01-04 | 2022-01-05 |
| Max DD Period End | 2023-12-12 | 2026-11-04 |
| Longest DD Days | 708 | 1765 |
| Volatility (ann.) | 17.19% | 12.6% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.49 | -0.05 |
| Skew | 0.33 | 0.09 |
| Kurtosis | 8.98 | 6.18 |
| Ulcer Performance Index | 8.86 | -0.39 |
| Risk-Adjusted Return | 11.91% | -1.58% |
| Risk-Return Ratio | 0.05 | -0.0 |
| Avg. Return | 0.05% | -0.0% |
| Avg. Win | 0.8% | 0.6% |
| Avg. Loss | -0.74% | -0.62% |
| Win/Loss Ratio | 1.07 | 0.97 |
| Profit Ratio | 0.86 | 0.71 |
| Expected Daily | 0.04% | -0.01% |
| Expected Monthly | 0.92% | -0.12% |
| Expected Yearly | 9.77% | -1.21% |
| Kelly Criterion | 10.18% | -1.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.31% |
| Expected Shortfall (cVaR) | -2.58% | -1.98% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | -0.01 |
| Gain/Pain (1M) | 0.79 | -0.03 |
| Payoff Ratio | 1.07 | 0.97 |
| Profit Factor | 1.14 | 0.99 |
| Common Sense Ratio | 1.15 | 0.99 |
| CPC Index | 0.66 | 0.48 |
| Tail Ratio | 1.0 | 1.0 |
| Outlier Win Ratio | 3.4 | 4.01 |
| Outlier Loss Ratio | 3.8 | 3.44 |
| MTD | 1.47% | -0.6% |
| 3M | 1.46% | -2.27% |
| 6M | 6.94% | -1.53% |
| YTD | 13.33% | 3.76% |
| 1Y | 13.43% | 1.52% |
| 3Y (ann.) | 20.78% | 6.22% |
| 5Y (ann.) | 12.86% | -1.75% |
| 10Y (ann.) | 11.91% | -1.45% |
| All-time (ann.) | 11.91% | -1.45% |
| Best Day | 10.5% | 5.64% |
| Worst Day | -5.85% | -4.55% |
| Best Month | 10.51% | 7.69% |
| Worst Month | -9.24% | -9.45% |
| Best Year | 26.18% | 11.78% |
| Worst Year | -18.18% | -27.36% |
| Avg. Drawdown | -1.94% | -5.15% |
| Avg. Drawdown Days | 21 | 258 |
| Recovery Factor | 2.58 | 0.11 |
| Ulcer Index | 0.08 | 0.18 |
| Serenity Index | 0.43 | -0.01 |
| Avg. Up Month | 4.4% | 3.05% |
| Avg. Down Month | -3.53% | -3.81% |
| Win Days | 53.48% | 50.04% |
| Win Month | 62.3% | 52.46% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.5 |
| Alpha | - | -0.07 |
| Correlation | - | 68.09% |
| Treynor Ratio | - | -14.07% |
| Year | SPY | ABRVX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 2.06 | 1.19 | + |
| 2022 | -18.18 | -27.36 | 1.51 | - |
| 2023 | 26.18 | 8.89 | 0.34 | - |
| 2024 | 24.89 | 11.78 | 0.47 | - |
| 2025 | 17.72 | -0.70 | -0.04 | - |
| 2026 | 13.33 | 3.76 | 0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2026-11-04 | -29.71 | 1765 |
| 2021-12-08 | 2021-12-23 | -3.12 | 16 |
| 2021-11-19 | 2021-12-01 | -1.36 | 13 |
| 2021-11-09 | 2021-11-17 | -1.07 | 9 |
| 2021-12-30 | 2021-12-31 | -0.53 | 2 |
| 2021-12-06 | 2021-12-06 | -0.21 | 1 |
| 2021-12-28 | 2021-12-28 | -0.08 | 1 |