| Metric | SPY | IBKR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 38.29% | 49.64% |
| CAGR﹪ | 24.05% | 30.73% |
| Sharpe | 1.08 | 1.25 |
| Prob. Sharpe Ratio | 91.58% | 93.85% |
| Smart Sharpe | 0.97 | 1.16 |
| Sortino | 1.66 | 1.94 |
| Smart Sortino | 1.49 | 1.79 |
| Sortino/√2 | 1.17 | 1.37 |
| Smart Sortino/√2 | 1.05 | 1.26 |
| Omega | 1.31 | 1.27 |
| Max Drawdown | -13.72% | -10.09% |
| Max DD Date | 2025-04-08 | 2025-04-07 |
| Max DD Period Start | 2025-03-26 | 2025-03-24 |
| Max DD Period End | 2025-05-09 | 2025-07-16 |
| Longest DD Days | 76 | 115 |
| Volatility (ann.) | 17.27% | 19.49% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.75 | 3.04 |
| Skew | 1.45 | 0.15 |
| Kurtosis | 25.39 | 0.95 |
| Ulcer Performance Index | 14.85 | 13.77 |
| Risk-Adjusted Return | 24.05% | 30.73% |
| Risk-Return Ratio | 0.08 | 0.09 |
| Avg. Return | 0.09% | 0.11% |
| Avg. Win | 0.73% | 1.14% |
| Avg. Loss | -0.73% | -0.98% |
| Win/Loss Ratio | 1.0 | 1.17 |
| Profit Ratio | 0.88 | 1.07 |
| Expected Daily | 0.09% | 0.11% |
| Expected Monthly | 1.72% | 2.14% |
| Expected Yearly | 17.6% | 22.33% |
| Kelly Criterion | 9.63% | 11.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.7% | -1.91% |
| Expected Shortfall (cVaR) | -2.96% | -2.92% |
| Max Consecutive Wins | 9 | 11 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.31 | 0.27 |
| Gain/Pain (1M) | 4.68 | 2.27 |
| Payoff Ratio | 1.0 | 1.17 |
| Profit Factor | 1.31 | 1.27 |
| Common Sense Ratio | 1.32 | 1.6 |
| CPC Index | 0.72 | 0.78 |
| Tail Ratio | 1.01 | 1.25 |
| Outlier Win Ratio | 3.61 | 3.6 |
| Outlier Loss Ratio | 3.95 | 3.51 |
| MTD | 0.27% | -4.37% |
| 3M | 4.84% | 2.01% |
| 6M | 17.65% | 12.52% |
| YTD | 13.38% | 22.46% |
| 1Y | 16.92% | 32.63% |
| 3Y (ann.) | 24.05% | 30.73% |
| 5Y (ann.) | 24.05% | 30.73% |
| 10Y (ann.) | 24.05% | 30.73% |
| All-time (ann.) | 24.05% | 30.73% |
| Best Day | 10.5% | 4.19% |
| Worst Day | -5.85% | -3.82% |
| Best Month | 10.51% | 11.51% |
| Worst Month | -4.94% | -7.6% |
| Best Year | 21.97% | 22.46% |
| Worst Year | 13.38% | 22.19% |
| Avg. Drawdown | -1.65% | -2.78% |
| Avg. Drawdown Days | 11 | 15 |
| Recovery Factor | 2.52 | 4.28 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | 1.98 | 1.81 |
| Avg. Up Month | 3.03% | 4.14% |
| Avg. Down Month | -2.21% | -4.07% |
| Win Days | 54.88% | 52.24% |
| Win Month | 73.68% | 68.42% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.42 |
| Alpha | - | 0.19 |
| Correlation | - | 37.24% |
| Treynor Ratio | - | 118.13% |
| Year | SPY | IBKR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 21.97 | 22.19 | 1.01 | + |
| 2026 | 13.38 | 22.46 | 1.68 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-03-24 | 2025-07-16 | -10.09 | 115 |
| 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 |
| 2025-08-13 | 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 |