| Metric | SPY | DAAVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 74.99% | 13.33% |
| CAGR﹪ | 11.91% | 2.55% |
| Sharpe | 0.52 | -0.11 |
| Prob. Sharpe Ratio | 87.6% | 39.96% |
| Smart Sharpe | 0.5 | -0.1 |
| Sortino | 0.74 | -0.15 |
| Smart Sortino | 0.72 | -0.14 |
| Sortino/√2 | 0.53 | -0.11 |
| Smart Sortino/√2 | 0.51 | -0.1 |
| Omega | 1.14 | 1.06 |
| Max Drawdown | -24.5% | -17.36% |
| Max DD Date | 2022-10-12 | 2022-09-30 |
| Max DD Period Start | 2022-01-04 | 2021-12-30 |
| Max DD Period End | 2023-12-12 | 2023-12-18 |
| Longest DD Days | 708 | 719 |
| Volatility (ann.) | 17.19% | 8.58% |
| R^2 | 0.52 | 0.52 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.49 | 0.15 |
| Skew | 0.33 | -0.88 |
| Kurtosis | 8.98 | 7.43 |
| Ulcer Performance Index | 8.86 | 2.02 |
| Risk-Adjusted Return | 11.91% | 2.86% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.05% | 0.01% |
| Avg. Win | 0.9% | 0.43% |
| Avg. Loss | -0.94% | -0.5% |
| Win/Loss Ratio | 0.95 | 0.87 |
| Profit Ratio | 0.86 | 0.49 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.21% |
| Expected Yearly | 9.77% | 2.11% |
| Kelly Criterion | 4.75% | 1.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.88% |
| Expected Shortfall (cVaR) | -2.58% | -1.42% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.06 |
| Gain/Pain (1M) | 0.79 | 0.29 |
| Payoff Ratio | 0.95 | 0.87 |
| Profit Factor | 1.14 | 1.06 |
| Common Sense Ratio | 1.15 | 1.07 |
| CPC Index | 0.58 | 0.5 |
| Tail Ratio | 1.0 | 1.01 |
| Outlier Win Ratio | 3.4 | 4.49 |
| Outlier Loss Ratio | 3.8 | 3.5 |
| MTD | 1.47% | -1.16% |
| 3M | 1.46% | -0.63% |
| 6M | 6.94% | -3.74% |
| YTD | 13.33% | -0.09% |
| 1Y | 13.43% | -0.1% |
| 3Y (ann.) | 20.78% | 4.65% |
| 5Y (ann.) | 12.86% | 3.08% |
| 10Y (ann.) | 11.91% | 2.55% |
| All-time (ann.) | 11.91% | 2.55% |
| Best Day | 10.5% | 2.82% |
| Worst Day | -5.85% | -4.3% |
| Best Month | 10.51% | 5.65% |
| Worst Month | -9.24% | -6.08% |
| Best Year | 26.18% | 18.37% |
| Worst Year | -18.18% | -14.16% |
| Avg. Drawdown | -1.94% | -1.82% |
| Avg. Drawdown Days | 21 | 55 |
| Recovery Factor | 2.58 | 0.83 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 0.43 | 0.08 |
| Avg. Up Month | 4.07% | 1.83% |
| Avg. Down Month | -3.91% | -2.32% |
| Win Days | 53.48% | 54.5% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 61.9% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.36 |
| Alpha | - | -0.02 |
| Correlation | - | 72.17% |
| Treynor Ratio | - | 37.0% |
| Year | SPY | DAAVX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.44 | 0.26 | - |
| 2022 | -18.18 | -14.16 | 0.78 | + |
| 2023 | 26.18 | 18.37 | 0.70 | - |
| 2024 | 24.89 | 6.03 | 0.24 | - |
| 2025 | 17.72 | 4.82 | 0.27 | - |
| 2026 | 13.33 | -0.09 | -0.01 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-30 | 2023-12-18 | -17.36 | 719 |
| 2024-07-15 | 2024-09-25 | -8.01 | 73 |
| 2024-12-12 | 2025-10-13 | -6.11 | 306 |
| 2026-05-05 | 2026-11-04 | -4.33 | 184 |
| 2024-03-25 | 2024-05-14 | -3.49 | 51 |
| 2021-11-10 | 2021-12-23 | -2.67 | 44 |
| 2026-03-03 | 2026-04-29 | -2.17 | 58 |
| 2024-09-30 | 2024-12-10 | -1.85 | 72 |
| 2023-12-28 | 2024-01-10 | -1.35 | 14 |
| 2024-01-16 | 2024-01-18 | -1.16 | 3 |