| Metric | SPY | DAAVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 86.58% | 16.72% |
| CAGR﹪ | 13.36% | 3.16% |
| Sharpe | 0.59 | -0.04 |
| Prob. Sharpe Ratio | 90.85% | 46.72% |
| Smart Sharpe | 0.58 | -0.03 |
| Sortino | 0.86 | -0.05 |
| Smart Sortino | 0.83 | -0.05 |
| Sortino/√2 | 0.61 | -0.03 |
| Smart Sortino/√2 | 0.59 | -0.03 |
| Omega | 1.16 | 1.08 |
| 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.) | 17.2% | 8.59% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.55 | 0.18 |
| Skew | 0.32 | -0.89 |
| Kurtosis | 8.95 | 7.4 |
| Ulcer Performance Index | 10.24 | 2.54 |
| Risk-Adjusted Return | 13.36% | 3.55% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.89% | 0.43% |
| Avg. Loss | -0.94% | -0.5% |
| Win/Loss Ratio | 0.95 | 0.86 |
| Profit Ratio | 0.83 | 0.48 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.25% |
| Expected Yearly | 10.95% | 2.61% |
| Kelly Criterion | 5.47% | 2.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.88% |
| Expected Shortfall (cVaR) | -2.58% | -1.41% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.16 | 0.08 |
| Gain/Pain (1M) | 0.87 | 0.36 |
| Payoff Ratio | 0.95 | 0.86 |
| Profit Factor | 1.16 | 1.08 |
| Common Sense Ratio | 1.17 | 1.09 |
| CPC Index | 0.59 | 0.51 |
| Tail Ratio | 1.01 | 1.01 |
| Outlier Win Ratio | 3.41 | 4.47 |
| Outlier Loss Ratio | 3.77 | 3.49 |
| MTD | 1.08% | 0.09% |
| 3M | 3.82% | 0.44% |
| 6M | 19.85% | -0.44% |
| YTD | 14.3% | 1.98% |
| 1Y | 17.78% | 1.89% |
| 3Y (ann.) | 24.86% | 7.12% |
| 5Y (ann.) | 13.06% | 3.29% |
| 10Y (ann.) | 13.36% | 3.16% |
| All-time (ann.) | 13.36% | 3.16% |
| 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 | -1.89% | -1.74% |
| Avg. Drawdown Days | 20 | 49 |
| Recovery Factor | 2.85 | 1.0 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 0.47 | 0.1 |
| Avg. Up Month | 4.06% | 1.77% |
| Avg. Down Month | -4.12% | -2.43% |
| Win Days | 54.04% | 54.82% |
| Win Month | 63.93% | 62.3% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.36 |
| Alpha | - | -0.02 |
| Correlation | - | 72.64% |
| Treynor Ratio | - | 46.08% |
| Year | SPY | DAAVX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 1.35 | 0.18 | - |
| 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 | 14.30 | 1.98 | 0.14 | - |
| 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 | 2026-09-22 | -4.33 | 141 |
| 2024-03-25 | 2024-05-16 | -3.49 | 53 |
| 2021-11-10 | 2021-12-23 | -2.67 | 44 |
| 2026-03-03 | 2026-04-29 | -2.17 | 58 |
| 2024-09-30 | 2024-12-05 | -1.85 | 67 |
| 2021-09-24 | 2021-10-25 | -1.79 | 32 |
| 2023-12-28 | 2024-01-09 | -1.35 | 13 |