| Metric | SPY | ABYIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 17.87% | 13.78% |
| CAGR﹪ | 18.02% | 13.9% |
| Sharpe | 1.04 | 1.16 |
| Prob. Sharpe Ratio | 84.73% | 87.22% |
| Smart Sharpe | 1.01 | 1.12 |
| Sortino | 1.51 | 1.66 |
| Smart Sortino | 1.47 | 1.61 |
| Sortino/√2 | 1.07 | 1.17 |
| Smart Sortino/√2 | 1.04 | 1.14 |
| Omega | 1.25 | 1.31 |
| 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.) | 12.99% | 8.08% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.03 | 2.98 |
| Skew | -0.15 | -0.4 |
| Kurtosis | 1.05 | 0.64 |
| Ulcer Performance Index | 8.3 | 8.06 |
| Risk-Adjusted Return | 18.02% | 15.11% |
| Risk-Return Ratio | 0.08 | 0.1 |
| Avg. Return | 0.09% | 0.06% |
| Avg. Win | 0.61% | 0.45% |
| Avg. Loss | -0.69% | -0.5% |
| Win/Loss Ratio | 0.88 | 0.91 |
| Profit Ratio | 0.94 | 0.58 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.27% | 1.0% |
| Expected Yearly | 8.57% | 6.67% |
| Kelly Criterion | 1.04% | 8.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.78% |
| Expected Shortfall (cVaR) | -1.72% | -1.12% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.31 |
| Gain/Pain (1M) | 2.6 | 4.25 |
| Payoff Ratio | 0.88 | 0.91 |
| Profit Factor | 1.25 | 1.31 |
| Common Sense Ratio | 1.24 | 1.29 |
| CPC Index | 0.59 | 0.67 |
| Tail Ratio | 0.99 | 0.99 |
| Outlier Win Ratio | 2.88 | 3.04 |
| Outlier Loss Ratio | 3.19 | 3.03 |
| MTD | 1.08% | 2.44% |
| 3M | 3.82% | 3.49% |
| 6M | 19.85% | 5.46% |
| YTD | 14.3% | 10.14% |
| 1Y | 17.87% | 13.78% |
| 3Y (ann.) | 18.02% | 13.9% |
| 5Y (ann.) | 18.02% | 13.9% |
| 10Y (ann.) | 18.02% | 13.9% |
| All-time (ann.) | 18.02% | 13.9% |
| Best Day | 2.91% | 1.33% |
| Worst Day | -2.7% | -1.81% |
| Best Month | 10.51% | 3.08% |
| Worst Month | -4.94% | -1.37% |
| Best Year | 14.3% | 10.14% |
| Worst Year | 3.13% | 3.3% |
| Avg. Drawdown | -1.71% | -1.37% |
| Avg. Drawdown Days | 13 | 20 |
| Recovery Factor | 1.94 | 2.84 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 1.1 |
| Avg. Up Month | 2.68% | 1.5% |
| Avg. Down Month | -2.98% | -1.15% |
| Win Days | 53.6% | 56.33% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.14 |
| Alpha | - | 0.11 |
| Correlation | - | 22.0% |
| Treynor Ratio | - | 100.69% |
| Year | SPY | ABYIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 3.30 | 1.06 | + |
| 2026 | 14.30 | 10.14 | 0.71 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-09-08 | -4.66 | 118 |
| 2025-10-17 | 2025-12-19 | -2.85 | 64 |
| 2026-01-30 | 2026-02-24 | -2.59 | 26 |
| 2026-03-02 | 2026-04-21 | -2.31 | 51 |
| 2025-10-09 | 2025-10-15 | -1.71 | 7 |
| 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 | 2026-09-22 | -0.73 | 7 |
| 2026-05-06 | 2026-05-08 | -0.68 | 3 |