| Metric | SPY | IBKR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 46.66% | 74.72% |
| CAGR﹪ | 17.14% | 25.93% |
| Sharpe | 0.77 | 1.05 |
| Prob. Sharpe Ratio | 88.92% | 94.78% |
| Smart Sharpe | 0.71 | 1.03 |
| Sortino | 1.12 | 1.56 |
| Smart Sortino | 1.02 | 1.52 |
| Sortino/√2 | 0.79 | 1.1 |
| Smart Sortino/√2 | 0.72 | 1.07 |
| Omega | 1.22 | 1.25 |
| Max Drawdown | -18.76% | -16.72% |
| Max DD Date | 2025-04-08 | 2024-08-05 |
| Max DD Period Start | 2025-02-20 | 2024-07-18 |
| Max DD Period End | 2025-06-25 | 2024-09-26 |
| Longest DD Days | 126 | 127 |
| Volatility (ann.) | 16.36% | 19.42% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.91 | 1.55 |
| Skew | 0.84 | -0.23 |
| Kurtosis | 20.32 | 3.47 |
| Ulcer Performance Index | 13.28 | 16.46 |
| Risk-Adjusted Return | 17.14% | 25.93% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.07% | 0.1% |
| Avg. Win | 0.71% | 1.07% |
| Avg. Loss | -0.77% | -0.97% |
| Win/Loss Ratio | 0.92 | 1.11 |
| Profit Ratio | 0.75 | 1.07 |
| Expected Daily | 0.06% | 0.09% |
| Expected Monthly | 1.28% | 1.88% |
| Expected Yearly | 13.61% | 20.44% |
| Kelly Criterion | 8.48% | 8.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.63% | -1.91% |
| Expected Shortfall (cVaR) | -2.5% | -3.24% |
| Max Consecutive Wins | 9 | 11 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.22 | 0.25 |
| Gain/Pain (1M) | 2.31 | 2.21 |
| Payoff Ratio | 0.92 | 1.11 |
| Profit Factor | 1.22 | 1.25 |
| Common Sense Ratio | 1.21 | 1.49 |
| CPC Index | 0.63 | 0.72 |
| Tail Ratio | 0.99 | 1.2 |
| Outlier Win Ratio | 3.53 | 3.73 |
| Outlier Loss Ratio | 3.86 | 3.9 |
| MTD | -0.4% | -0.72% |
| 3M | -2.42% | -13.28% |
| 6M | 2.56% | -5.02% |
| YTD | 11.24% | 14.36% |
| 1Y | 13.39% | 26.28% |
| 3Y (ann.) | 17.14% | 25.93% |
| 5Y (ann.) | 17.14% | 25.93% |
| 10Y (ann.) | 17.14% | 25.93% |
| All-time (ann.) | 17.14% | 25.93% |
| Best Day | 10.5% | 5.56% |
| Worst Day | -5.85% | -7.1% |
| Best Month | 10.51% | 12.01% |
| Worst Month | -5.57% | -7.6% |
| Best Year | 17.72% | 30.59% |
| Worst Year | 11.24% | 14.36% |
| Avg. Drawdown | -1.82% | -3.21% |
| Avg. Drawdown Days | 14 | 18 |
| Recovery Factor | 2.21 | 3.61 |
| Ulcer Index | 0.04 | 0.05 |
| Serenity Index | 1.22 | 1.45 |
| Avg. Up Month | 3.02% | 4.45% |
| Avg. Down Month | -2.2% | -3.31% |
| Win Days | 56.07% | 51.97% |
| Win Month | 63.33% | 63.33% |
| Win Quarter | 72.73% | 72.73% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.5 |
| Alpha | - | 0.16 |
| Correlation | - | 42.2% |
| Treynor Ratio | - | 149.19% |
| Year | SPY | IBKR | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 11.99 | 16.98 | 1.42 | + |
| 2025 | 17.72 | 30.59 | 1.73 | + |
| 2026 | 11.24 | 14.36 | 1.28 | + |
| 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 |