| Metric | EFA | IBKR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 16.06% | 32.63% |
| CAGR﹪ | 16.06% | 32.63% |
| Sharpe | 0.77 | 1.31 |
| Prob. Sharpe Ratio | 77.96% | 90.71% |
| Smart Sharpe | 0.67 | 1.21 |
| Sortino | 1.14 | 2.07 |
| Smart Sortino | 0.99 | 1.9 |
| Sortino/√2 | 0.8 | 1.46 |
| Smart Sortino/√2 | 0.7 | 1.35 |
| Omega | 1.19 | 1.29 |
| Max Drawdown | -11.42% | -9.51% |
| Max DD Date | 2026-03-20 | 2026-03-30 |
| Max DD Period Start | 2026-02-26 | 2026-03-02 |
| Max DD Period End | 2026-06-12 | 2026-05-05 |
| Longest DD Days | 107 | 65 |
| Volatility (ann.) | 15.87% | 20.02% |
| R^2 | 0.51 | 0.51 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 1.41 | 3.43 |
| Skew | 0.15 | 0.21 |
| Kurtosis | 1.65 | 1.22 |
| Ulcer Performance Index | 5.22 | 10.15 |
| Risk-Adjusted Return | 16.06% | 32.63% |
| Risk-Return Ratio | 0.06 | 0.1 |
| Avg. Return | 0.06% | 0.12% |
| Avg. Win | 0.87% | 1.15% |
| Avg. Loss | -0.87% | -0.97% |
| Win/Loss Ratio | 1.01 | 1.18 |
| Profit Ratio | 0.84 | 1.06 |
| Expected Daily | 0.06% | 0.11% |
| Expected Monthly | 1.15% | 2.2% |
| Expected Yearly | 7.73% | 15.16% |
| Kelly Criterion | 8.79% | 12.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.58% | -1.95% |
| Expected Shortfall (cVaR) | -2.14% | -3.17% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.19 | 0.29 |
| Gain/Pain (1M) | 1.53 | 2.17 |
| Payoff Ratio | 1.01 | 1.18 |
| Profit Factor | 1.19 | 1.29 |
| Common Sense Ratio | 1.12 | 1.74 |
| CPC Index | 0.65 | 0.8 |
| Tail Ratio | 0.94 | 1.35 |
| Outlier Win Ratio | 3.9 | 3.75 |
| Outlier Loss Ratio | 3.14 | 3.71 |
| 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.) | 16.06% | 32.63% |
| 5Y (ann.) | 16.06% | 32.63% |
| 10Y (ann.) | 16.06% | 32.63% |
| All-time (ann.) | 16.06% | 32.63% |
| 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 | 10.54% | 22.46% |
| Worst Year | 4.99% | 8.3% |
| Avg. Drawdown | -2.05% | -2.69% |
| Avg. Drawdown Days | 14 | 12 |
| Recovery Factor | 1.41 | 3.18 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 0.65 | 1.65 |
| Avg. Up Month | 2.76% | 4.9% |
| Avg. Down Month | -5.29% | -5.99% |
| Win Days | 54.18% | 52.38% |
| Win Month | 84.62% | 69.23% |
| Win Quarter | 100.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.9 |
| Alpha | - | 0.16 |
| Correlation | - | 71.14% |
| Treynor Ratio | - | 36.36% |
| Year | EFA | IBKR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 4.99 | 8.30 | 1.66 | + |
| 2026 | 10.54 | 22.46 | 2.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 2026-06-02 | 2026-06-16 | -5.21 | 15 |
| 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 |
| 2025-12-30 | 2026-01-08 | -2.60 | 10 |