| Metric | EFA | IBKR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 29.09% | 49.16% |
| CAGR﹪ | 18.56% | 30.55% |
| Sharpe | 0.93 | 1.27 |
| Prob. Sharpe Ratio | 87.44% | 94.08% |
| Smart Sharpe | 0.79 | 1.16 |
| Sortino | 1.4 | 1.95 |
| Smart Sortino | 1.18 | 1.78 |
| Sortino/√2 | 0.99 | 1.38 |
| Smart Sortino/√2 | 0.84 | 1.26 |
| Omega | 1.22 | 1.28 |
| Max Drawdown | -11.42% | -16.55% |
| Max DD Date | 2026-03-20 | 2026-11-05 |
| Max DD Period Start | 2026-02-26 | 2026-08-10 |
| Max DD Period End | 2026-06-12 | 2026-11-09 |
| Longest DD Days | 107 | 92 |
| Volatility (ann.) | 15.02% | 19.17% |
| R^2 | 0.44 | 0.44 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 1.62 | 1.85 |
| Skew | 0.16 | 0.1 |
| Kurtosis | 1.79 | 0.98 |
| Ulcer Performance Index | 9.81 | 11.63 |
| Risk-Adjusted Return | 18.56% | 30.55% |
| Risk-Return Ratio | 0.08 | 0.09 |
| Avg. Return | 0.07% | 0.11% |
| Avg. Win | 0.82% | 1.11% |
| Avg. Loss | -0.8% | -0.92% |
| Win/Loss Ratio | 1.02 | 1.2 |
| Profit Ratio | 0.85 | 1.01 |
| Expected Daily | 0.07% | 0.11% |
| Expected Monthly | 1.35% | 2.13% |
| Expected Yearly | 13.62% | 22.13% |
| Kelly Criterion | 9.51% | 13.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.48% | -1.87% |
| Expected Shortfall (cVaR) | -2.08% | -2.85% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | 0.22 | 0.28 |
| Gain/Pain (1M) | 2.0 | 2.2 |
| Payoff Ratio | 1.02 | 1.2 |
| Profit Factor | 1.22 | 1.28 |
| Common Sense Ratio | 1.3 | 1.52 |
| CPC Index | 0.68 | 0.81 |
| Tail Ratio | 1.06 | 1.19 |
| Outlier Win Ratio | 3.92 | 3.38 |
| Outlier Loss Ratio | 3.23 | 3.51 |
| 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.) | 18.56% | 30.55% |
| 5Y (ann.) | 18.56% | 30.55% |
| 10Y (ann.) | 18.56% | 30.55% |
| All-time (ann.) | 18.56% | 30.55% |
| Best Day | 3.9% | 4.19% |
| Worst Day | -3.11% | -3.82% |
| Best Month | 5.34% | 11.51% |
| Worst Month | -7.83% | -7.6% |
| Best Year | 16.26% | 30.42% |
| Worst Year | 11.03% | 14.36% |
| Avg. Drawdown | -1.82% | -2.57% |
| Avg. Drawdown Days | 12 | 12 |
| Recovery Factor | 2.38 | 2.58 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | 1.09 | 1.11 |
| Avg. Up Month | 2.82% | 4.58% |
| Avg. Down Month | -3.88% | -5.97% |
| Win Days | 54.26% | 52.91% |
| Win Month | 78.95% | 68.42% |
| Win Quarter | 100.0% | 71.43% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.84 |
| Alpha | - | 0.13 |
| Correlation | - | 66.11% |
| Treynor Ratio | - | 58.24% |
| Year | EFA | IBKR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 16.26 | 30.42 | 1.87 | + |
| 2026 | 11.03 | 14.36 | 1.30 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-10 | 2026-11-09 | -16.55 | 92 |
| 2026-03-02 | 2026-05-05 | -9.51 | 65 |
| 2026-07-07 | 2026-08-03 | -6.18 | 28 |
| 2026-06-02 | 2026-06-16 | -5.21 | 15 |
| 2025-08-13 | 2025-09-10 | -4.67 | 29 |
| 2025-10-28 | 2025-11-11 | -4.17 | 15 |
| 2026-06-22 | 2026-06-29 | -3.97 | 8 |
| 2025-09-24 | 2025-10-24 | -3.69 | 31 |
| 2026-05-15 | 2026-05-29 | -3.62 | 15 |
| 2025-12-01 | 2025-12-12 | -3.14 | 12 |