| Metric | SPY | ABRVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 204.97% | 68.79% |
| CAGR﹪ | 16.25% | 7.33% |
| Sharpe | 0.72 | 0.36 |
| Prob. Sharpe Ratio | 97.45% | 83.82% |
| Smart Sharpe | 0.63 | 0.33 |
| Sortino | 1.02 | 0.53 |
| Smart Sortino | 0.88 | 0.48 |
| Sortino/√2 | 0.72 | 0.37 |
| Smart Sortino/√2 | 0.62 | 0.34 |
| Omega | 1.18 | 1.12 |
| Max Drawdown | -33.72% | -29.71% |
| Max DD Date | 2020-03-23 | 2023-10-26 |
| Max DD Period Start | 2020-02-20 | 2022-01-05 |
| Max DD Period End | 2020-08-07 | 2026-11-04 |
| Longest DD Days | 708 | 1765 |
| Volatility (ann.) | 19.45% | 14.42% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.25 |
| Skew | -0.29 | 0.04 |
| Kurtosis | 13.94 | 25.01 |
| Ulcer Performance Index | 25.91 | 4.53 |
| Risk-Adjusted Return | 16.25% | 7.96% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.82% | 0.6% |
| Avg. Loss | -0.76% | -0.64% |
| Win/Loss Ratio | 1.08 | 0.94 |
| Profit Ratio | 0.78 | 0.68 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.58% |
| Expected Yearly | 14.96% | 6.76% |
| Kelly Criterion | 13.59% | 0.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.46% |
| Expected Shortfall (cVaR) | -3.2% | -2.4% |
| Max Consecutive Wins | 11 | 13 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.12 |
| Gain/Pain (1M) | 1.15 | 0.48 |
| Payoff Ratio | 1.08 | 0.94 |
| Profit Factor | 1.18 | 1.12 |
| Common Sense Ratio | 1.13 | 1.18 |
| CPC Index | 0.7 | 0.55 |
| Tail Ratio | 0.96 | 1.06 |
| Outlier Win Ratio | 3.69 | 4.61 |
| Outlier Loss Ratio | 4.12 | 3.6 |
| 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.) | 16.25% | 7.33% |
| All-time (ann.) | 16.25% | 7.33% |
| Best Day | 10.5% | 9.98% |
| Worst Day | -10.94% | -11.2% |
| Best Month | 12.7% | 34.77% |
| Worst Month | -12.49% | -9.45% |
| Best Year | 28.73% | 49.51% |
| Worst Year | -18.18% | -27.36% |
| Avg. Drawdown | -1.79% | -3.16% |
| Avg. Drawdown Days | 16 | 90 |
| Recovery Factor | 3.72 | 2.02 |
| Ulcer Index | 0.08 | 0.15 |
| Serenity Index | 1.03 | 0.13 |
| Avg. Up Month | 4.56% | 3.04% |
| Avg. Down Month | -3.57% | -3.92% |
| Win Days | 55.15% | 51.99% |
| Win Month | 65.56% | 58.89% |
| Win Quarter | 77.42% | 61.29% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.34 |
| Alpha | - | 0.02 |
| Correlation | - | 45.41% |
| Treynor Ratio | - | 204.29% |
| Year | SPY | ABRVX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 6.84 | 0.42 | - |
| 2020 | 18.33 | 49.51 | 2.70 | + |
| 2021 | 28.73 | 15.99 | 0.56 | - |
| 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 |
| 2020-03-19 | 2020-08-27 | -17.89 | 162 |
| 2020-09-03 | 2021-08-05 | -13.39 | 337 |
| 2019-07-29 | 2019-12-18 | -6.60 | 143 |
| 2021-09-07 | 2021-11-01 | -5.37 | 56 |
| 2020-01-24 | 2020-02-28 | -3.42 | 36 |
| 2021-12-08 | 2021-12-23 | -3.12 | 16 |
| 2021-08-17 | 2021-08-20 | -1.76 | 4 |
| 2019-06-21 | 2019-06-28 | -1.38 | 8 |
| 2021-11-19 | 2021-12-01 | -1.36 | 13 |