| Metric | EFA | IBKR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 40.07% | 74.72% |
| CAGR﹪ | 14.94% | 25.93% |
| Sharpe | 0.66 | 1.05 |
| Prob. Sharpe Ratio | 84.98% | 94.78% |
| Smart Sharpe | 0.6 | 1.03 |
| Sortino | 0.98 | 1.56 |
| Smart Sortino | 0.89 | 1.52 |
| Sortino/√2 | 0.69 | 1.1 |
| Smart Sortino/√2 | 0.63 | 1.07 |
| Omega | 1.18 | 1.25 |
| Max Drawdown | -14.05% | -16.72% |
| Max DD Date | 2025-04-08 | 2024-08-05 |
| Max DD Period Start | 2025-03-20 | 2024-07-18 |
| Max DD Period End | 2025-05-01 | 2024-09-26 |
| Longest DD Days | 159 | 127 |
| Volatility (ann.) | 16.21% | 19.42% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 1.06 | 1.55 |
| Skew | 0.27 | -0.23 |
| Kurtosis | 8.27 | 3.47 |
| Ulcer Performance Index | 10.52 | 16.46 |
| Risk-Adjusted Return | 14.94% | 25.93% |
| Risk-Return Ratio | 0.06 | 0.08 |
| Avg. Return | 0.06% | 0.1% |
| Avg. Win | 0.82% | 1.08% |
| Avg. Loss | -0.84% | -0.93% |
| Win/Loss Ratio | 0.98 | 1.16 |
| Profit Ratio | 0.85 | 1.07 |
| Expected Daily | 0.06% | 0.09% |
| Expected Monthly | 1.13% | 1.88% |
| Expected Yearly | 11.89% | 20.44% |
| Kelly Criterion | 6.43% | 10.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.62% | -1.91% |
| Expected Shortfall (cVaR) | -2.38% | -3.24% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.25 |
| Gain/Pain (1M) | 1.53 | 2.21 |
| Payoff Ratio | 0.98 | 1.16 |
| Profit Factor | 1.18 | 1.25 |
| Common Sense Ratio | 1.16 | 1.49 |
| CPC Index | 0.62 | 0.75 |
| Tail Ratio | 0.98 | 1.2 |
| Outlier Win Ratio | 3.67 | 3.73 |
| Outlier Loss Ratio | 3.33 | 3.9 |
| MTD | 1.54% | -0.72% |
| 3M | -3.31% | -13.28% |
| 6M | 2.56% | -5.02% |
| YTD | 11.03% | 14.36% |
| 1Y | 15.11% | 26.28% |
| 3Y (ann.) | 14.94% | 25.93% |
| 5Y (ann.) | 14.94% | 25.93% |
| 10Y (ann.) | 14.94% | 25.93% |
| All-time (ann.) | 14.94% | 25.93% |
| Best Day | 7.72% | 5.56% |
| Worst Day | -6.6% | -7.1% |
| Best Month | 5.34% | 12.01% |
| Worst Month | -7.83% | -7.6% |
| Best Year | 31.55% | 30.59% |
| Worst Year | -4.1% | 14.36% |
| Avg. Drawdown | -2.32% | -3.21% |
| Avg. Drawdown Days | 16 | 18 |
| Recovery Factor | 2.62 | 3.61 |
| Ulcer Index | 0.04 | 0.05 |
| Serenity Index | 1.1 | 1.45 |
| Avg. Up Month | 2.81% | 4.1% |
| Avg. Down Month | -3.32% | -4.28% |
| Win Days | 53.8% | 51.97% |
| Win Month | 73.33% | 63.33% |
| Win Quarter | 81.82% | 72.73% |
| Win Year | 66.67% | 100.0% |
| Beta | - | 0.65 |
| Alpha | - | 0.15 |
| Correlation | - | 53.96% |
| Treynor Ratio | - | 115.61% |
| Year | EFA | IBKR | Multiplier | Won |
|---|---|---|---|---|
| 2024 | -4.10 | 16.98 | -4.14 | + |
| 2025 | 31.55 | 30.59 | 0.97 | - |
| 2026 | 11.03 | 14.36 | 1.30 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-18 | 2024-09-26 | -16.72 | 71 |
| 2026-08-10 | 2026-11-09 | -16.55 | 92 |
| 2025-03-18 | 2025-07-22 | -11.77 | 127 |
| 2026-03-02 | 2026-05-05 | -9.51 | 65 |
| 2026-07-07 | 2026-08-03 | -6.18 | 28 |
| 2024-12-10 | 2025-01-27 | -5.61 | 49 |
| 2026-06-02 | 2026-06-16 | -5.21 | 15 |
| 2024-11-12 | 2024-11-21 | -4.97 | 10 |
| 2025-08-13 | 2025-09-10 | -4.67 | 29 |
| 2025-10-28 | 2025-11-11 | -4.17 | 15 |