| Metric | SPY | DAAVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 204.97% | 32.72% |
| CAGR﹪ | 16.25% | 3.9% |
| Sharpe | 0.72 | 0.15 |
| Prob. Sharpe Ratio | 97.45% | 65.9% |
| Smart Sharpe | 0.63 | 0.15 |
| Sortino | 1.02 | 0.2 |
| Smart Sortino | 0.88 | 0.2 |
| Sortino/√2 | 0.72 | 0.14 |
| Smart Sortino/√2 | 0.62 | 0.14 |
| Omega | 1.18 | 1.09 |
| 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.) | 19.45% | 8.89% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.48 | 0.22 |
| Skew | -0.29 | -1.14 |
| Kurtosis | 13.94 | 10.69 |
| Ulcer Performance Index | 25.91 | 5.48 |
| Risk-Adjusted Return | 16.25% | 4.33% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.92% | 0.42% |
| Avg. Loss | -1.0% | -0.51% |
| Win/Loss Ratio | 0.91 | 0.84 |
| Profit Ratio | 0.78 | 0.46 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.32% |
| Expected Yearly | 14.96% | 3.6% |
| Kelly Criterion | 5.98% | 2.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.9% |
| Expected Shortfall (cVaR) | -3.2% | -1.49% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.09 |
| Gain/Pain (1M) | 1.15 | 0.45 |
| Payoff Ratio | 0.91 | 0.84 |
| Profit Factor | 1.18 | 1.09 |
| Common Sense Ratio | 1.13 | 1.06 |
| CPC Index | 0.59 | 0.51 |
| Tail Ratio | 0.96 | 0.97 |
| Outlier Win Ratio | 3.69 | 4.53 |
| Outlier Loss Ratio | 4.12 | 3.54 |
| 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.) | 16.25% | 3.9% |
| All-time (ann.) | 16.25% | 3.9% |
| 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 | -1.79% | -1.54% |
| Avg. Drawdown Days | 16 | 37 |
| Recovery Factor | 3.72 | 1.76 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 1.03 | 0.21 |
| Avg. Up Month | 4.26% | 1.86% |
| Avg. Down Month | -3.94% | -2.34% |
| Win Days | 55.15% | 55.75% |
| Win Month | 65.56% | 61.8% |
| Win Quarter | 77.42% | 67.74% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.35 |
| Alpha | - | -0.02 |
| Correlation | - | 77.52% |
| Treynor Ratio | - | 92.29% |
| 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 | 13.33 | -0.09 | -0.01 | - |
| 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 | 2026-11-04 | -4.33 | 184 |
| 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 |