| Metric | SPY | ABRVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 86.58% | -0.0% |
| CAGR﹪ | 13.36% | -0.0% |
| Sharpe | 0.59 | -0.24 |
| Prob. Sharpe Ratio | 90.85% | 29.79% |
| Smart Sharpe | 0.58 | -0.24 |
| Sortino | 0.86 | -0.33 |
| Smart Sortino | 0.83 | -0.33 |
| Sortino/√2 | 0.61 | -0.24 |
| Smart Sortino/√2 | 0.59 | -0.24 |
| Omega | 1.16 | 1.01 |
| Max Drawdown | -24.5% | -29.71% |
| Max DD Date | 2022-10-12 | 2023-10-26 |
| Max DD Period Start | 2022-01-04 | 2021-12-30 |
| Max DD Period End | 2023-12-12 | 2026-09-22 |
| Longest DD Days | 708 | 1728 |
| Volatility (ann.) | 17.2% | 12.61% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.55 | -0.0 |
| Skew | 0.32 | 0.08 |
| Kurtosis | 8.95 | 6.15 |
| Ulcer Performance Index | 10.24 | -0.0 |
| Risk-Adjusted Return | 13.36% | -0.0% |
| Risk-Return Ratio | 0.05 | 0.0 |
| Avg. Return | 0.06% | 0.0% |
| Avg. Win | 0.79% | 0.6% |
| Avg. Loss | -0.75% | -0.62% |
| Win/Loss Ratio | 1.07 | 0.97 |
| Profit Ratio | 0.83 | 0.7 |
| Expected Daily | 0.05% | -0.0% |
| Expected Monthly | 1.03% | -0.0% |
| Expected Yearly | 10.95% | -0.0% |
| Kelly Criterion | 10.93% | -0.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.3% |
| Expected Shortfall (cVaR) | -2.58% | -1.98% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.16 | 0.01 |
| Gain/Pain (1M) | 0.87 | 0.04 |
| Payoff Ratio | 1.07 | 0.97 |
| Profit Factor | 1.16 | 1.01 |
| Common Sense Ratio | 1.17 | 1.01 |
| CPC Index | 0.67 | 0.49 |
| Tail Ratio | 1.01 | 1.0 |
| Outlier Win Ratio | 3.41 | 3.99 |
| Outlier Loss Ratio | 3.77 | 3.45 |
| MTD | 1.08% | 0.42% |
| 3M | 3.82% | 0.42% |
| 6M | 19.85% | 9.24% |
| YTD | 14.3% | 6.8% |
| 1Y | 17.78% | 8.14% |
| 3Y (ann.) | 24.86% | 9.44% |
| 5Y (ann.) | 13.06% | -0.26% |
| 10Y (ann.) | 13.36% | -0.0% |
| All-time (ann.) | 13.36% | -0.0% |
| 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 | -1.89% | -4.31% |
| Avg. Drawdown Days | 20 | 199 |
| Recovery Factor | 2.85 | 0.13 |
| Ulcer Index | 0.08 | 0.18 |
| Serenity Index | 0.47 | 0.01 |
| Avg. Up Month | 4.38% | 3.02% |
| Avg. Down Month | -3.83% | -4.17% |
| Win Days | 54.04% | 50.56% |
| Win Month | 63.93% | 57.38% |
| Win Quarter | 66.67% | 57.14% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.5 |
| Alpha | - | -0.06 |
| Correlation | - | 68.16% |
| Treynor Ratio | - | -0.01% |
| Year | SPY | ABRVX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 6.64 | 0.88 | - |
| 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 | 14.30 | 6.80 | 0.48 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-30 | 2026-09-22 | -29.71 | 1728 |
| 2021-12-08 | 2021-12-23 | -3.12 | 16 |
| 2021-09-24 | 2021-10-18 | -2.69 | 25 |
| 2021-11-19 | 2021-12-01 | -1.36 | 13 |
| 2021-11-09 | 2021-11-17 | -1.07 | 9 |
| 2021-10-27 | 2021-10-27 | -0.44 | 1 |
| 2021-12-06 | 2021-12-06 | -0.21 | 1 |
| 2021-10-22 | 2021-10-22 | -0.15 | 1 |
| 2021-12-28 | 2021-12-28 | -0.08 | 1 |