| Metric | SPY | DAAVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 207.58% | 35.47% |
| CAGR﹪ | 16.68% | 4.26% |
| Sharpe | 0.74 | 0.19 |
| Prob. Sharpe Ratio | 97.6% | 69.41% |
| Smart Sharpe | 0.64 | 0.19 |
| Sortino | 1.04 | 0.25 |
| Smart Sortino | 0.9 | 0.25 |
| Sortino/√2 | 0.74 | 0.18 |
| Smart Sortino/√2 | 0.64 | 0.17 |
| Omega | 1.19 | 1.1 |
| Max Drawdown | -33.72% | -17.77% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-13 |
| Max DD Period End | 2020-08-07 | 2020-12-16 |
| Longest DD Days | 708 | 716 |
| Volatility (ann.) | 19.56% | 8.94% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.49 | 0.24 |
| Skew | -0.29 | -1.15 |
| Kurtosis | 13.84 | 10.62 |
| Ulcer Performance Index | 26.03 | 5.9 |
| Risk-Adjusted Return | 16.68% | 4.78% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.92% | 0.43% |
| Avg. Loss | -1.01% | -0.51% |
| Win/Loss Ratio | 0.91 | 0.84 |
| Profit Ratio | 0.77 | 0.46 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.28% | 0.35% |
| Expected Yearly | 15.08% | 3.87% |
| Kelly Criterion | 6.12% | 3.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.91% |
| Expected Shortfall (cVaR) | -3.2% | -1.49% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.19 | 0.1 |
| Gain/Pain (1M) | 1.17 | 0.49 |
| Payoff Ratio | 0.91 | 0.84 |
| Profit Factor | 1.19 | 1.1 |
| Common Sense Ratio | 1.14 | 1.06 |
| CPC Index | 0.6 | 0.52 |
| Tail Ratio | 0.96 | 0.97 |
| Outlier Win Ratio | 3.69 | 4.51 |
| Outlier Loss Ratio | 4.1 | 3.53 |
| 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.) | 16.68% | 4.26% |
| All-time (ann.) | 16.68% | 4.26% |
| Best Day | 10.5% | 3.86% |
| Worst Day | -10.94% | -4.69% |
| Best Month | 12.7% | 5.65% |
| Worst Month | -12.49% | -7.03% |
| Best Year | 28.73% | 18.37% |
| Worst Year | -18.18% | -14.16% |
| Avg. Drawdown | -1.78% | -1.54% |
| Avg. Drawdown Days | 16 | 37 |
| Recovery Factor | 3.75 | 1.87 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 1.03 | 0.22 |
| Avg. Up Month | 4.2% | 1.82% |
| Avg. Down Month | -4.2% | -2.49% |
| Win Days | 55.26% | 55.91% |
| Win Month | 67.05% | 64.37% |
| Win Quarter | 76.67% | 70.0% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.36 |
| Alpha | - | -0.02 |
| Correlation | - | 77.75% |
| Treynor Ratio | - | 99.77% |
| Year | SPY | DAAVX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 6.43 | 0.39 | - |
| 2020 | 18.33 | 1.43 | 0.08 | - |
| 2021 | 28.73 | 8.97 | 0.31 | - |
| 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 |
|---|---|---|---|
| 2020-02-13 | 2020-12-16 | -17.77 | 308 |
| 2021-12-30 | 2023-12-15 | -17.36 | 716 |
| 2024-07-15 | 2024-09-25 | -8.01 | 73 |
| 2024-12-12 | 2026-01-09 | -6.11 | 394 |
| 2026-05-05 | 2026-09-22 | -4.33 | 141 |
| 2021-02-16 | 2021-04-14 | -3.68 | 58 |
| 2024-03-25 | 2024-05-14 | -3.49 | 51 |
| 2019-07-17 | 2019-10-10 | -3.24 | 86 |
| 2021-09-07 | 2021-12-23 | -2.84 | 108 |
| 2020-01-21 | 2020-02-11 | -2.41 | 22 |