| Metric | SPY | DAAVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 86.0% |
| Cumulative Return | 17.87% | 1.72% |
| CAGR﹪ | 18.02% | 1.74% |
| Sharpe | 1.04 | -0.46 |
| Prob. Sharpe Ratio | 84.73% | 32.17% |
| Smart Sharpe | 1.01 | -0.44 |
| Sortino | 1.51 | -0.62 |
| Smart Sortino | 1.47 | -0.58 |
| Sortino/√2 | 1.07 | -0.44 |
| Smart Sortino/√2 | 1.04 | -0.41 |
| Omega | 1.25 | 1.07 |
| Max Drawdown | -8.88% | -4.33% |
| Max DD Date | 2026-03-30 | 2026-07-20 |
| Max DD Period Start | 2026-01-28 | 2026-05-05 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 141 |
| Volatility (ann.) | 12.99% | 4.6% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 2.03 | 0.4 |
| Skew | -0.15 | -0.28 |
| Kurtosis | 1.05 | 0.6 |
| Ulcer Performance Index | 8.3 | 0.99 |
| Risk-Adjusted Return | 18.02% | 2.02% |
| Risk-Return Ratio | 0.08 | 0.03 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.7% | 0.24% |
| Avg. Loss | -0.7% | -0.3% |
| Win/Loss Ratio | 1.0 | 0.82 |
| Profit Ratio | 0.94 | 0.41 |
| Expected Daily | 0.07% | 0.01% |
| Expected Monthly | 1.27% | 0.13% |
| Expected Yearly | 8.57% | 0.86% |
| Kelly Criterion | 7.41% | 0.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.47% |
| Expected Shortfall (cVaR) | -1.72% | -0.63% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.07 |
| Gain/Pain (1M) | 2.6 | 0.34 |
| Payoff Ratio | 1.0 | 0.82 |
| Profit Factor | 1.25 | 1.07 |
| Common Sense Ratio | 1.24 | 0.9 |
| CPC Index | 0.67 | 0.48 |
| Tail Ratio | 0.99 | 0.85 |
| Outlier Win Ratio | 2.88 | 3.38 |
| Outlier Loss Ratio | 3.19 | 2.7 |
| MTD | 1.08% | 0.09% |
| 3M | 3.82% | 0.44% |
| 6M | 19.85% | -0.44% |
| YTD | 14.3% | 1.98% |
| 1Y | 17.87% | 1.72% |
| 3Y (ann.) | 18.02% | 1.74% |
| 5Y (ann.) | 18.02% | 1.74% |
| 10Y (ann.) | 18.02% | 1.74% |
| All-time (ann.) | 18.02% | 1.74% |
| Best Day | 2.91% | 0.96% |
| Worst Day | -2.7% | -0.87% |
| Best Month | 10.51% | 2.12% |
| Worst Month | -4.94% | -1.67% |
| Best Year | 14.3% | 1.98% |
| Worst Year | 3.13% | -0.25% |
| Avg. Drawdown | -1.71% | -1.14% |
| Avg. Drawdown Days | 13 | 37 |
| Recovery Factor | 1.94 | 0.42 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 0.08 |
| Avg. Up Month | 3.19% | 1.01% |
| Avg. Down Month | -2.98% | -1.4% |
| Win Days | 53.6% | 55.35% |
| Win Month | 76.92% | 46.15% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.07 |
| Alpha | - | 0.01 |
| Correlation | - | 20.72% |
| Treynor Ratio | - | 23.5% |
| Year | SPY | DAAVX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -0.25 | -0.08 | - |
| 2026 | 14.30 | 1.98 | 0.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-05 | 2026-09-22 | -4.33 | 141 |
| 2026-03-03 | 2026-04-29 | -2.17 | 58 |
| 2026-01-30 | 2026-02-17 | -1.15 | 19 |
| 2025-10-17 | 2026-01-09 | -1.05 | 85 |
| 2025-10-02 | 2025-10-13 | -0.56 | 12 |
| 2026-05-01 | 2026-05-01 | -0.35 | 1 |
| 2026-01-15 | 2026-01-22 | -0.27 | 8 |
| 2025-09-24 | 2025-09-30 | -0.24 | 7 |
| 2025-10-15 | 2025-10-15 | -0.16 | 1 |