| Metric | SPY | SABA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 204.97% | 13.96% |
| CAGR﹪ | 16.25% | 1.78% |
| Sharpe | 0.72 | 0.03 |
| Prob. Sharpe Ratio | 97.45% | 53.57% |
| Smart Sharpe | 0.63 | 0.02 |
| Sortino | 1.02 | 0.05 |
| Smart Sortino | 0.88 | 0.03 |
| Sortino/√2 | 0.72 | 0.03 |
| Smart Sortino/√2 | 0.62 | 0.02 |
| Omega | 1.18 | 1.04 |
| Max Drawdown | -33.72% | -31.39% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2019-07-25 |
| Max DD Period End | 2020-08-07 | 2024-11-08 |
| Longest DD Days | 708 | 1934 |
| Volatility (ann.) | 19.45% | 18.46% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.06 |
| Skew | -0.29 | 0.12 |
| Kurtosis | 13.94 | 116.01 |
| Ulcer Performance Index | 25.91 | 1.19 |
| Risk-Adjusted Return | 16.25% | 2.0% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.95% | 0.81% |
| Avg. Loss | -1.04% | -0.87% |
| Win/Loss Ratio | 0.91 | 0.94 |
| Profit Ratio | 0.78 | 0.64 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.25% | 0.15% |
| Expected Yearly | 14.96% | 1.65% |
| Kelly Criterion | 5.94% | -2.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.9% |
| Expected Shortfall (cVaR) | -3.2% | -3.25% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.04 |
| Gain/Pain (1M) | 1.15 | 0.26 |
| Payoff Ratio | 0.91 | 0.94 |
| Profit Factor | 1.18 | 1.04 |
| Common Sense Ratio | 1.13 | 1.06 |
| CPC Index | 0.59 | 0.49 |
| Tail Ratio | 0.96 | 1.02 |
| Outlier Win Ratio | 3.69 | 4.63 |
| Outlier Loss Ratio | 4.12 | 3.49 |
| 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.) | 16.25% | 1.78% |
| All-time (ann.) | 16.25% | 1.78% |
| Best Day | 10.5% | 21.16% |
| Worst Day | -10.94% | -20.81% |
| Best Month | 12.7% | 8.38% |
| Worst Month | -12.49% | -11.85% |
| Best Year | 28.73% | 30.33% |
| Worst Year | -18.18% | -9.02% |
| Avg. Drawdown | -1.79% | -3.31% |
| Avg. Drawdown Days | 16 | 109 |
| Recovery Factor | 3.72 | 0.82 |
| Ulcer Index | 0.08 | 0.12 |
| Serenity Index | 1.03 | 0.12 |
| Avg. Up Month | 4.43% | 2.73% |
| Avg. Down Month | -3.98% | -3.3% |
| Win Days | 55.15% | 50.48% |
| Win Month | 65.56% | 52.22% |
| Win Quarter | 77.42% | 54.84% |
| Win Year | 87.5% | 50.0% |
| Beta | - | 0.44 |
| Alpha | - | -0.04 |
| Correlation | - | 46.77% |
| Treynor Ratio | - | 31.44% |
| Year | SPY | SABA | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.16 | 0.13 | - |
| 2020 | 18.33 | -6.63 | -0.36 | - |
| 2021 | 28.73 | 1.05 | 0.04 | - |
| 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 |
|---|---|---|---|
| 2019-07-25 | 2024-11-08 | -31.39 | 1934 |
| 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 |
| 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 |
| 2019-06-17 | 2019-06-27 | -1.42 | 11 |
| 2024-11-12 | 2024-11-20 | -1.38 | 9 |
| 2025-07-18 | 2025-07-18 | -1.36 | 1 |