| Metric | SPY | ABYIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 82.0% | 26.38% |
| CAGR﹪ | 12.81% | 4.83% |
| Sharpe | 0.57 | 0.15 |
| Prob. Sharpe Ratio | 89.76% | 63.42% |
| Smart Sharpe | 0.55 | 0.15 |
| Sortino | 0.82 | 0.21 |
| Smart Sortino | 0.79 | 0.19 |
| Sortino/√2 | 0.58 | 0.15 |
| Smart Sortino/√2 | 0.56 | 0.14 |
| Omega | 1.15 | 1.11 |
| 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.) | 17.17% | 7.95% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.33 |
| Skew | 0.32 | -0.84 |
| Kurtosis | 9.02 | 4.14 |
| Ulcer Performance Index | 8.76 | 3.72 |
| Risk-Adjusted Return | 12.81% | 5.24% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.65% | 0.4% |
| Avg. Loss | -0.75% | -0.46% |
| Win/Loss Ratio | 0.86 | 0.86 |
| Profit Ratio | 0.83 | 0.59 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 0.99% | 0.38% |
| Expected Yearly | 10.5% | 3.98% |
| Kelly Criterion | 0.22% | 0.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.8% |
| Expected Shortfall (cVaR) | -2.58% | -1.21% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.15 | 0.11 |
| Gain/Pain (1M) | 0.81 | 0.56 |
| Payoff Ratio | 0.86 | 0.86 |
| Profit Factor | 1.15 | 1.11 |
| Common Sense Ratio | 1.16 | 1.1 |
| CPC Index | 0.53 | 0.52 |
| Tail Ratio | 1.0 | 0.99 |
| Outlier Win Ratio | 3.43 | 3.3 |
| Outlier Loss Ratio | 3.77 | 3.19 |
| MTD | 1.08% | 2.44% |
| 3M | 3.82% | 3.49% |
| 6M | 19.85% | 5.46% |
| YTD | 14.3% | 10.14% |
| 1Y | 17.78% | 14.84% |
| 3Y (ann.) | 24.86% | 2.36% |
| 5Y (ann.) | 12.49% | 4.4% |
| 10Y (ann.) | 12.81% | 4.83% |
| All-time (ann.) | 12.81% | 4.83% |
| 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 | -1.94% | -2.25% |
| Avg. Drawdown Days | 21 | 92 |
| Recovery Factor | 2.55 | 1.71 |
| Ulcer Index | 0.09 | 0.07 |
| Serenity Index | 0.37 | 0.13 |
| Avg. Up Month | 3.49% | 1.64% |
| Avg. Down Month | -2.53% | -1.77% |
| Win Days | 54.0% | 53.85% |
| Win Month | 63.93% | 59.02% |
| Win Quarter | 66.67% | 57.14% |
| Win Year | 83.33% | 66.67% |
| Beta | - | -0.0 |
| Alpha | - | 0.05 |
| Correlation | - | -0.48% |
| Treynor Ratio | - | -11899.84% |
| Year | SPY | ABYIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -1.65 | -0.22 | - |
| 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 | 14.30 | 10.14 | 0.71 | - |
| 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 |
| 2022-05-09 | 2022-06-03 | -2.38 | 26 |
| 2021-10-27 | 2021-11-23 | -1.68 | 28 |
| 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 |
| 2021-09-28 | 2021-10-04 | -0.74 | 7 |