| Metric | SPY | SABA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 86.58% | 17.41% |
| CAGR﹪ | 13.36% | 3.28% |
| Sharpe | 0.59 | 0.03 |
| Prob. Sharpe Ratio | 90.85% | 53.0% |
| 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 | 1.05 |
| Max Drawdown | -24.5% | -19.76% |
| Max DD Date | 2022-10-12 | 2022-09-30 |
| Max DD Period Start | 2022-01-04 | 2021-10-28 |
| Max DD Period End | 2023-12-12 | 2024-08-21 |
| Longest DD Days | 708 | 1029 |
| Volatility (ann.) | 17.2% | 14.56% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.17 |
| Skew | 0.32 | 0.14 |
| Kurtosis | 8.95 | 3.51 |
| Ulcer Performance Index | 10.24 | 1.83 |
| Risk-Adjusted Return | 13.36% | 3.69% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.9% | 0.79% |
| Avg. Loss | -0.93% | -0.8% |
| Win/Loss Ratio | 0.96 | 0.99 |
| Profit Ratio | 0.83 | 0.69 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.26% |
| Expected Yearly | 10.95% | 2.71% |
| Kelly Criterion | 6.29% | -1.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.49% |
| Expected Shortfall (cVaR) | -2.58% | -2.27% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.05 |
| Gain/Pain (1M) | 0.87 | 0.31 |
| Payoff Ratio | 0.96 | 0.99 |
| Profit Factor | 1.16 | 1.05 |
| Common Sense Ratio | 1.17 | 1.11 |
| CPC Index | 0.6 | 0.52 |
| Tail Ratio | 1.01 | 1.05 |
| Outlier Win Ratio | 3.41 | 4.44 |
| Outlier Loss Ratio | 3.77 | 3.48 |
| MTD | 1.08% | -2.09% |
| 3M | 3.82% | 0.14% |
| 6M | 19.85% | 4.0% |
| YTD | 14.3% | 3.8% |
| 1Y | 17.78% | -3.92% |
| 3Y (ann.) | 24.86% | 10.32% |
| 5Y (ann.) | 13.06% | 2.85% |
| 10Y (ann.) | 13.36% | 3.28% |
| All-time (ann.) | 13.36% | 3.28% |
| Best Day | 10.5% | 5.16% |
| Worst Day | -5.85% | -5.11% |
| Best Month | 10.51% | 8.38% |
| Worst Month | -9.24% | -11.85% |
| Best Year | 26.18% | 30.33% |
| Worst Year | -18.18% | -9.02% |
| Avg. Drawdown | -1.89% | -2.65% |
| Avg. Drawdown Days | 20 | 62 |
| Recovery Factor | 2.85 | 1.08 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 0.47 | 0.12 |
| Avg. Up Month | 4.58% | 3.01% |
| Avg. Down Month | -4.07% | -3.32% |
| Win Days | 54.04% | 49.55% |
| Win Month | 63.93% | 51.67% |
| Win Quarter | 66.67% | 55.0% |
| Win Year | 83.33% | 33.33% |
| Beta | - | 0.35 |
| Alpha | - | -0.01 |
| Correlation | - | 41.4% |
| Treynor Ratio | - | 49.69% |
| Year | SPY | SABA | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -1.58 | -0.21 | - |
| 2022 | -18.18 | -9.02 | 0.50 | + |
| 2023 | 26.18 | -2.77 | -0.11 | - |
| 2024 | 24.89 | 30.33 | 1.22 | + |
| 2025 | 17.72 | -0.31 | -0.02 | - |
| 2026 | 14.30 | 3.80 | 0.27 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-28 | 2024-08-21 | -19.76 | 1029 |
| 2025-01-31 | 2025-06-13 | -14.96 | 134 |
| 2025-08-14 | 2026-09-22 | -10.45 | 405 |
| 2024-12-17 | 2025-01-02 | -3.53 | 17 |
| 2024-09-19 | 2024-10-02 | -2.22 | 14 |
| 2024-10-09 | 2024-11-04 | -2.22 | 27 |
| 2024-08-27 | 2024-09-17 | -1.98 | 22 |
| 2025-01-06 | 2025-01-17 | -1.74 | 12 |
| 2025-08-01 | 2025-08-01 | -1.61 | 1 |
| 2025-01-22 | 2025-01-24 | -1.53 | 3 |