| Metric | SPY | ABYIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 70.69% | 20.53% |
| CAGR﹪ | 11.36% | 3.83% |
| Sharpe | 0.49 | 0.03 |
| Prob. Sharpe Ratio | 86.25% | 52.4% |
| Smart Sharpe | 0.47 | 0.03 |
| Sortino | 0.7 | 0.04 |
| Smart Sortino | 0.68 | 0.03 |
| Sortino/√2 | 0.5 | 0.03 |
| Smart Sortino/√2 | 0.48 | 0.02 |
| Omega | 1.14 | 1.09 |
| Max Drawdown | -26.35% | -14.59% |
| Max DD Date | 2022-10-12 | 2025-06-24 |
| Max DD Period Start | 2022-01-04 | 2022-09-28 |
| Max DD Period End | 2023-12-18 | 2026-05-11 |
| Longest DD Days | 714 | 1322 |
| Volatility (ann.) | 17.16% | 7.99% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.43 | 0.26 |
| Skew | 0.33 | -0.84 |
| Kurtosis | 9.05 | 4.03 |
| Ulcer Performance Index | 7.55 | 2.89 |
| Risk-Adjusted Return | 11.36% | 4.16% |
| Risk-Return Ratio | 0.04 | 0.03 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.65% | 0.39% |
| Avg. Loss | -0.74% | -0.46% |
| Win/Loss Ratio | 0.87 | 0.85 |
| Profit Ratio | 0.86 | 0.58 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.88% | 0.31% |
| Expected Yearly | 9.32% | 3.16% |
| Kelly Criterion | -0.13% | -0.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.81% |
| Expected Shortfall (cVaR) | -2.58% | -1.21% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.09 |
| Gain/Pain (1M) | 0.74 | 0.42 |
| Payoff Ratio | 0.87 | 0.85 |
| Profit Factor | 1.14 | 1.09 |
| Common Sense Ratio | 1.13 | 1.04 |
| CPC Index | 0.53 | 0.5 |
| Tail Ratio | 1.0 | 0.96 |
| Outlier Win Ratio | 3.42 | 3.31 |
| Outlier Loss Ratio | 3.8 | 3.19 |
| MTD | 1.47% | -2.25% |
| 3M | 1.46% | 2.26% |
| 6M | 6.94% | -0.34% |
| YTD | 13.33% | 6.43% |
| 1Y | 13.43% | 7.95% |
| 3Y (ann.) | 20.78% | 3.05% |
| 5Y (ann.) | 12.3% | 4.54% |
| 10Y (ann.) | 11.36% | 3.83% |
| All-time (ann.) | 11.36% | 3.83% |
| Best Day | 10.5% | 1.63% |
| Worst Day | -5.85% | -3.84% |
| Best Month | 10.51% | 5.98% |
| Worst Month | -10.5% | -4.75% |
| Best Year | 26.18% | 17.38% |
| Worst Year | -20.18% | -3.27% |
| Avg. Drawdown | -1.98% | -2.62% |
| Avg. Drawdown Days | 21 | 103 |
| Recovery Factor | 2.31 | 1.39 |
| Ulcer Index | 0.09 | 0.07 |
| Serenity Index | 0.34 | 0.11 |
| Avg. Up Month | 3.44% | 1.61% |
| Avg. Down Month | -2.56% | -1.7% |
| Win Days | 53.44% | 53.68% |
| Win Month | 62.3% | 55.74% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 66.67% |
| Beta | - | -0.0 |
| Alpha | - | 0.04 |
| Correlation | - | -0.88% |
| Treynor Ratio | - | -5025.41% |
| Year | SPY | ABYIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -2.92 | -1.69 | - |
| 2022 | -20.18 | 17.38 | -0.86 | + |
| 2023 | 26.18 | -3.27 | -0.13 | - |
| 2024 | 24.89 | 1.12 | 0.04 | - |
| 2025 | 17.72 | 1.61 | 0.09 | - |
| 2026 | 13.33 | 6.43 | 0.48 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-28 | 2026-05-11 | -14.59 | 1322 |
| 2022-06-15 | 2022-09-19 | -5.88 | 97 |
| 2021-11-26 | 2022-03-02 | -5.23 | 97 |
| 2026-05-14 | 2026-09-08 | -4.66 | 118 |
| 2026-09-25 | 2026-11-04 | -4.55 | 41 |
| 2022-05-09 | 2022-06-03 | -2.38 | 26 |
| 2022-03-28 | 2022-04-04 | -1.49 | 8 |
| 2022-03-09 | 2022-03-21 | -1.35 | 13 |
| 2022-04-20 | 2022-04-27 | -1.21 | 8 |
| 2021-11-17 | 2021-11-23 | -0.96 | 7 |