| Metric | SPY | ABYIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 14.39% | 8.54% |
| CAGR﹪ | 14.51% | 8.61% |
| Sharpe | 0.83 | 0.61 |
| Prob. Sharpe Ratio | 79.61% | 72.69% |
| Smart Sharpe | 0.82 | 0.61 |
| Sortino | 1.22 | 0.84 |
| Smart Sortino | 1.2 | 0.83 |
| Sortino/√2 | 0.86 | 0.6 |
| Smart Sortino/√2 | 0.85 | 0.59 |
| Omega | 1.2 | 1.19 |
| Max Drawdown | -8.88% | -4.66% |
| Max DD Date | 2026-03-30 | 2026-08-05 |
| Max DD Period Start | 2026-01-28 | 2026-05-14 |
| Max DD Period End | 2026-04-13 | 2026-09-08 |
| Longest DD Days | 76 | 118 |
| Volatility (ann.) | 12.86% | 8.03% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.63 | 1.85 |
| Skew | -0.02 | -0.48 |
| Kurtosis | 0.78 | 0.57 |
| Ulcer Performance Index | 6.68 | 4.88 |
| Risk-Adjusted Return | 14.51% | 9.36% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.59% | 0.44% |
| Avg. Loss | -0.65% | -0.5% |
| Win/Loss Ratio | 0.9 | 0.88 |
| Profit Ratio | 1.02 | 0.56 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.63% |
| Expected Yearly | 6.95% | 4.18% |
| Kelly Criterion | -1.14% | 4.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.8% |
| Expected Shortfall (cVaR) | -1.66% | -1.13% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.19 |
| Gain/Pain (1M) | 1.83 | 1.19 |
| Payoff Ratio | 0.9 | 0.88 |
| Profit Factor | 1.2 | 1.19 |
| Common Sense Ratio | 1.19 | 1.06 |
| CPC Index | 0.56 | 0.58 |
| Tail Ratio | 0.99 | 0.89 |
| Outlier Win Ratio | 2.84 | 2.96 |
| Outlier Loss Ratio | 3.01 | 3.03 |
| MTD | 1.47% | -2.25% |
| 3M | 1.46% | 2.26% |
| 6M | 6.94% | -0.34% |
| YTD | 13.33% | 6.43% |
| 1Y | 14.39% | 8.54% |
| 3Y (ann.) | 14.51% | 8.61% |
| 5Y (ann.) | 14.51% | 8.61% |
| 10Y (ann.) | 14.51% | 8.61% |
| All-time (ann.) | 14.51% | 8.61% |
| Best Day | 2.91% | 1.33% |
| Worst Day | -2.58% | -1.81% |
| Best Month | 10.51% | 3.12% |
| Worst Month | -4.94% | -2.25% |
| Best Year | 13.33% | 6.43% |
| Worst Year | 0.94% | 1.98% |
| Avg. Drawdown | -1.74% | -1.6% |
| Avg. Drawdown Days | 14 | 22 |
| Recovery Factor | 1.61 | 1.83 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 0.66 |
| Avg. Up Month | 3.48% | 1.62% |
| Avg. Down Month | -2.29% | -1.37% |
| Win Days | 52.0% | 55.26% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.09 |
| Alpha | - | 0.07 |
| Correlation | - | 14.57% |
| Treynor Ratio | - | 93.93% |
| Year | SPY | ABYIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.98 | 2.11 | + |
| 2026 | 13.33 | 6.43 | 0.48 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-09-08 | -4.66 | 118 |
| 2026-09-25 | 2026-11-04 | -4.55 | 41 |
| 2026-01-30 | 2026-02-24 | -2.59 | 26 |
| 2025-11-13 | 2025-12-18 | -2.51 | 36 |
| 2026-03-02 | 2026-04-21 | -2.31 | 51 |
| 2026-01-07 | 2026-01-09 | -1.42 | 3 |
| 2026-01-16 | 2026-01-22 | -1.32 | 7 |
| 2025-12-29 | 2025-12-31 | -1.08 | 3 |
| 2026-09-16 | 2026-09-23 | -0.73 | 8 |
| 2026-05-06 | 2026-05-08 | -0.68 | 3 |