| Metric | EFA | IBKR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 15.54% | 27.1% |
| CAGR﹪ | 15.54% | 27.1% |
| Sharpe | 0.73 | 1.1 |
| Prob. Sharpe Ratio | 76.86% | 86.56% |
| Smart Sharpe | 0.61 | 1.04 |
| Sortino | 1.1 | 1.71 |
| Smart Sortino | 0.92 | 1.61 |
| Sortino/√2 | 0.78 | 1.21 |
| Smart Sortino/√2 | 0.65 | 1.14 |
| Omega | 1.17 | 1.23 |
| 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.) | 16.58% | 20.33% |
| R^2 | 0.5 | 0.5 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 1.36 | 1.64 |
| Skew | 0.21 | 0.2 |
| Kurtosis | 1.51 | 1.06 |
| Ulcer Performance Index | 4.44 | 5.4 |
| Risk-Adjusted Return | 15.54% | 27.1% |
| Risk-Return Ratio | 0.06 | 0.08 |
| Avg. Return | 0.06% | 0.11% |
| Avg. Win | 0.9% | 1.14% |
| Avg. Loss | -0.89% | -1.01% |
| Win/Loss Ratio | 1.01 | 1.13 |
| Profit Ratio | 0.91 | 1.02 |
| Expected Daily | 0.06% | 0.1% |
| Expected Monthly | 1.12% | 1.86% |
| Expected Yearly | 7.49% | 12.74% |
| Kelly Criterion | 6.34% | 10.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.66% | -2.0% |
| Expected Shortfall (cVaR) | -2.27% | -3.18% |
| Max Consecutive Wins | 6 | 11 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.17 | 0.23 |
| Gain/Pain (1M) | 1.37 | 1.39 |
| Payoff Ratio | 1.01 | 1.13 |
| Profit Factor | 1.17 | 1.23 |
| Common Sense Ratio | 1.17 | 1.61 |
| CPC Index | 0.63 | 0.73 |
| Tail Ratio | 1.0 | 1.3 |
| Outlier Win Ratio | 3.83 | 3.72 |
| Outlier Loss Ratio | 3.5 | 3.53 |
| 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.) | 15.54% | 27.1% |
| 5Y (ann.) | 15.54% | 27.1% |
| 10Y (ann.) | 15.54% | 27.1% |
| All-time (ann.) | 15.54% | 27.1% |
| 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 | 11.03% | 14.36% |
| Worst Year | 4.07% | 11.13% |
| Avg. Drawdown | -2.15% | -3.01% |
| Avg. Drawdown Days | 17 | 13 |
| Recovery Factor | 1.38 | 1.57 |
| Ulcer Index | 0.03 | 0.05 |
| Serenity Index | 0.55 | 0.55 |
| Avg. Up Month | 2.82% | 4.97% |
| Avg. Down Month | -3.88% | -5.97% |
| Win Days | 52.99% | 52.38% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 100.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.87 |
| Alpha | - | 0.12 |
| Correlation | - | 70.99% |
| Treynor Ratio | - | 31.13% |
| Year | EFA | IBKR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 4.07 | 11.13 | 2.74 | + |
| 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 |
| 2026-06-22 | 2026-06-29 | -3.97 | 8 |
| 2026-05-15 | 2026-05-29 | -3.62 | 15 |
| 2025-12-01 | 2025-12-12 | -3.14 | 12 |
| 2025-12-30 | 2026-01-08 | -2.60 | 10 |
| 2025-12-16 | 2025-12-18 | -2.57 | 3 |
| 2025-11-18 | 2025-11-24 | -2.31 | 7 |