| Metric | SPY | SABA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 74.99% | 14.74% |
| CAGR﹪ | 11.91% | 2.8% |
| Sharpe | 0.52 | -0.0 |
| Prob. Sharpe Ratio | 87.6% | 49.79% |
| Smart Sharpe | 0.5 | -0.0 |
| Sortino | 0.74 | -0.0 |
| Smart Sortino | 0.72 | -0.0 |
| Sortino/√2 | 0.53 | -0.0 |
| Smart Sortino/√2 | 0.51 | -0.0 |
| Omega | 1.14 | 1.05 |
| Max Drawdown | -24.5% | -19.62% |
| Max DD Date | 2022-10-12 | 2022-09-30 |
| Max DD Period Start | 2022-01-04 | 2021-11-10 |
| Max DD Period End | 2023-12-12 | 2024-08-07 |
| Longest DD Days | 708 | 1002 |
| Volatility (ann.) | 17.19% | 14.57% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.14 |
| Skew | 0.33 | 0.13 |
| Kurtosis | 8.98 | 3.48 |
| Ulcer Performance Index | 8.86 | 1.55 |
| Risk-Adjusted Return | 11.91% | 3.12% |
| 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 | 0.97 | 0.99 |
| Profit Ratio | 0.86 | 0.71 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.23% |
| Expected Yearly | 9.77% | 2.32% |
| Kelly Criterion | 5.45% | -1.47% |
| 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 | 9 |
| Gain/Pain Ratio | 0.14 | 0.05 |
| Gain/Pain (1M) | 0.79 | 0.27 |
| Payoff Ratio | 0.97 | 0.99 |
| Profit Factor | 1.14 | 1.05 |
| Common Sense Ratio | 1.15 | 1.1 |
| CPC Index | 0.59 | 0.51 |
| Tail Ratio | 1.0 | 1.05 |
| Outlier Win Ratio | 3.4 | 4.4 |
| Outlier Loss Ratio | 3.8 | 3.48 |
| MTD | 1.47% | 1.71% |
| 3M | 1.46% | -2.29% |
| 6M | 6.94% | -3.05% |
| YTD | 13.33% | 2.86% |
| 1Y | 13.43% | -1.09% |
| 3Y (ann.) | 20.78% | 9.87% |
| 5Y (ann.) | 12.86% | 3.02% |
| 10Y (ann.) | 11.91% | 2.8% |
| All-time (ann.) | 11.91% | 2.8% |
| 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 | -1.94% | -2.93% |
| Avg. Drawdown Days | 21 | 70 |
| Recovery Factor | 2.58 | 0.97 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 0.43 | 0.1 |
| Avg. Up Month | 4.35% | 3.0% |
| Avg. Down Month | -3.76% | -3.15% |
| Win Days | 53.48% | 49.51% |
| Win Month | 62.3% | 50.82% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 33.33% |
| Beta | - | 0.35 |
| Alpha | - | -0.01 |
| Correlation | - | 41.73% |
| Treynor Ratio | - | 41.69% |
| Year | SPY | SABA | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -2.94 | -1.70 | - |
| 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 | 13.33 | 2.86 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-10 | 2024-08-07 | -19.62 | 1002 |
| 2025-01-31 | 2025-06-13 | -14.96 | 134 |
| 2025-08-14 | 2026-11-04 | -10.45 | 448 |
| 2024-12-17 | 2025-01-02 | -3.53 | 17 |
| 2024-08-09 | 2024-08-21 | -2.52 | 13 |
| 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 |