| Metric | EFA | IBKR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 39.46% | 87.09% |
| CAGR﹪ | 15.6% | 31.4% |
| Sharpe | 0.7 | 1.27 |
| Prob. Sharpe Ratio | 85.46% | 97.1% |
| Smart Sharpe | 0.64 | 1.23 |
| Sortino | 1.02 | 1.89 |
| Smart Sortino | 0.94 | 1.83 |
| Sortino/√2 | 0.72 | 1.34 |
| Smart Sortino/√2 | 0.67 | 1.29 |
| Omega | 1.19 | 1.3 |
| 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.) | 16.17% | 19.45% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 1.11 | 1.88 |
| Skew | 0.26 | -0.25 |
| Kurtosis | 8.7 | 3.66 |
| Ulcer Performance Index | 10.54 | 22.5 |
| Risk-Adjusted Return | 15.6% | 31.4% |
| Risk-Return Ratio | 0.06 | 0.09 |
| Avg. Return | 0.06% | 0.12% |
| Avg. Win | 0.82% | 1.08% |
| Avg. Loss | -0.84% | -0.92% |
| Win/Loss Ratio | 0.98 | 1.18 |
| Profit Ratio | 0.84 | 1.05 |
| Expected Daily | 0.06% | 0.11% |
| Expected Monthly | 1.19% | 2.26% |
| Expected Yearly | 11.72% | 23.22% |
| Kelly Criterion | 6.86% | 12.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.61% | -1.9% |
| Expected Shortfall (cVaR) | -2.36% | -3.26% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.19 | 0.3 |
| Gain/Pain (1M) | 1.57 | 3.25 |
| Payoff Ratio | 0.98 | 1.18 |
| Profit Factor | 1.19 | 1.3 |
| Common Sense Ratio | 1.14 | 1.62 |
| CPC Index | 0.63 | 0.81 |
| Tail Ratio | 0.96 | 1.25 |
| Outlier Win Ratio | 3.49 | 3.78 |
| Outlier Loss Ratio | 3.31 | 3.98 |
| MTD | -2.75% | -4.37% |
| 3M | 1.99% | 2.01% |
| 6M | 10.76% | 12.52% |
| YTD | 10.54% | 22.46% |
| 1Y | 16.06% | 32.63% |
| 3Y (ann.) | 15.6% | 31.4% |
| 5Y (ann.) | 15.6% | 31.4% |
| 10Y (ann.) | 15.6% | 31.4% |
| All-time (ann.) | 15.6% | 31.4% |
| 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% | 16.98% |
| Avg. Drawdown | -2.27% | -2.99% |
| Avg. Drawdown Days | 15 | 17 |
| Recovery Factor | 2.58 | 4.01 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 1.1 | 2.31 |
| Avg. Up Month | 2.81% | 4.1% |
| Avg. Down Month | -3.88% | -3.86% |
| Win Days | 54.01% | 52.6% |
| Win Month | 75.0% | 67.86% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 66.67% | 100.0% |
| Beta | - | 0.65 |
| Alpha | - | 0.19 |
| Correlation | - | 54.18% |
| Treynor Ratio | - | 133.61% |
| Year | EFA | IBKR | Multiplier | Won |
|---|---|---|---|---|
| 2024 | -4.10 | 16.98 | -4.14 | + |
| 2025 | 31.55 | 30.59 | 0.97 | - |
| 2026 | 10.54 | 22.46 | 2.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-18 | 2024-09-26 | -16.72 | 71 |
| 2025-03-18 | 2025-07-22 | -11.77 | 127 |
| 2026-03-02 | 2026-05-05 | -9.51 | 65 |
| 2026-08-10 | 2026-09-24 | -7.37 | 46 |
| 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 |