| Metric | SPY | ABYIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 197.48% | 45.17% |
| CAGR﹪ | 15.87% | 5.17% |
| Sharpe | 0.71 | 0.32 |
| Prob. Sharpe Ratio | 97.17% | 80.34% |
| Smart Sharpe | 0.61 | 0.3 |
| Sortino | 1.0 | 0.42 |
| Smart Sortino | 0.86 | 0.4 |
| Sortino/√2 | 0.7 | 0.3 |
| Smart Sortino/√2 | 0.61 | 0.28 |
| Omega | 1.18 | 1.12 |
| Max Drawdown | -33.72% | -14.59% |
| Max DD Date | 2020-03-23 | 2025-06-24 |
| Max DD Period Start | 2020-02-20 | 2022-09-28 |
| Max DD Period End | 2020-08-07 | 2026-05-11 |
| Longest DD Days | 714 | 1322 |
| Volatility (ann.) | 19.43% | 7.79% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.47 | 0.35 |
| Skew | -0.29 | -0.76 |
| Kurtosis | 13.99 | 3.49 |
| Ulcer Performance Index | 23.05 | 7.35 |
| Risk-Adjusted Return | 15.87% | 5.68% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.7% | 0.39% |
| Avg. Loss | -0.81% | -0.46% |
| Win/Loss Ratio | 0.86 | 0.84 |
| Profit Ratio | 0.78 | 0.54 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.22% | 0.42% |
| Expected Yearly | 14.6% | 4.77% |
| Kelly Criterion | 2.76% | 1.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.79% |
| Expected Shortfall (cVaR) | -3.2% | -1.16% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.12 |
| Gain/Pain (1M) | 1.1 | 0.61 |
| Payoff Ratio | 0.86 | 0.84 |
| Profit Factor | 1.18 | 1.12 |
| Common Sense Ratio | 1.13 | 1.05 |
| CPC Index | 0.56 | 0.52 |
| Tail Ratio | 0.96 | 0.93 |
| Outlier Win Ratio | 3.7 | 3.33 |
| Outlier Loss Ratio | 4.12 | 3.27 |
| 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.) | 15.87% | 5.17% |
| All-time (ann.) | 15.87% | 5.17% |
| Best Day | 10.5% | 1.97% |
| Worst Day | -10.94% | -3.84% |
| Best Month | 12.7% | 5.98% |
| Worst Month | -12.49% | -4.75% |
| Best Year | 28.73% | 17.38% |
| Worst Year | -20.18% | -3.27% |
| Avg. Drawdown | -1.82% | -2.04% |
| Avg. Drawdown Days | 16 | 80 |
| Recovery Factor | 3.65 | 2.71 |
| Ulcer Index | 0.09 | 0.06 |
| Serenity Index | 0.87 | 0.24 |
| Avg. Up Month | 3.94% | 1.77% |
| Avg. Down Month | -2.21% | -1.49% |
| Win Days | 55.13% | 54.87% |
| Win Month | 65.56% | 55.56% |
| Win Quarter | 77.42% | 54.84% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.0 |
| Alpha | - | 0.05 |
| Correlation | - | 0.78% |
| Treynor Ratio | - | 14404.12% |
| Year | SPY | ABYIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 4.81 | 0.29 | - |
| 2020 | 18.33 | 7.92 | 0.43 | - |
| 2021 | 28.73 | 3.37 | 0.12 | - |
| 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 |
| 2019-09-04 | 2020-12-16 | -7.58 | 470 |
| 2022-06-15 | 2022-09-19 | -5.88 | 97 |
| 2021-05-10 | 2022-03-03 | -5.75 | 298 |
| 2026-05-14 | 2026-09-08 | -4.66 | 118 |
| 2026-09-25 | 2026-11-04 | -4.55 | 41 |
| 2021-01-15 | 2021-02-08 | -2.54 | 25 |
| 2021-02-25 | 2021-04-23 | -2.53 | 58 |
| 2019-07-05 | 2019-07-26 | -2.43 | 22 |
| 2022-05-09 | 2022-06-03 | -2.38 | 26 |