| Metric | SPY | IBKR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 35.41% | 49.16% |
| CAGR﹪ | 22.4% | 30.55% |
| Sharpe | 1.3 | 1.27 |
| Prob. Sharpe Ratio | 94.11% | 94.08% |
| Smart Sharpe | 1.22 | 1.16 |
| Sortino | 1.89 | 1.95 |
| Smart Sortino | 1.76 | 1.78 |
| Sortino/√2 | 1.33 | 1.38 |
| Smart Sortino/√2 | 1.25 | 1.26 |
| Omega | 1.32 | 1.28 |
| Max Drawdown | -8.88% | -16.55% |
| Max DD Date | 2026-03-30 | 2026-11-05 |
| Max DD Period Start | 2026-01-28 | 2026-08-10 |
| Max DD Period End | 2026-04-13 | 2026-11-09 |
| Longest DD Days | 76 | 92 |
| Volatility (ann.) | 13.03% | 19.17% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 2.52 | 1.85 |
| Skew | -0.37 | 0.1 |
| Kurtosis | 3.33 | 0.98 |
| Ulcer Performance Index | 18.69 | 11.63 |
| Risk-Adjusted Return | 22.4% | 30.55% |
| Risk-Return Ratio | 0.1 | 0.09 |
| Avg. Return | 0.08% | 0.11% |
| Avg. Win | 0.72% | 1.12% |
| Avg. Loss | -0.63% | -0.96% |
| Win/Loss Ratio | 1.14 | 1.17 |
| Profit Ratio | 0.94 | 1.01 |
| Expected Daily | 0.08% | 0.11% |
| Expected Monthly | 1.61% | 2.13% |
| Expected Yearly | 16.37% | 22.13% |
| Kelly Criterion | 13.98% | 12.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -1.87% |
| Expected Shortfall (cVaR) | -1.86% | -2.85% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.32 | 0.28 |
| Gain/Pain (1M) | 3.93 | 2.2 |
| Payoff Ratio | 1.14 | 1.17 |
| Profit Factor | 1.32 | 1.28 |
| Common Sense Ratio | 1.46 | 1.52 |
| CPC Index | 0.81 | 0.79 |
| Tail Ratio | 1.11 | 1.19 |
| Outlier Win Ratio | 3.37 | 3.38 |
| Outlier Loss Ratio | 3.22 | 3.51 |
| 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.) | 22.4% | 30.55% |
| 5Y (ann.) | 22.4% | 30.55% |
| 10Y (ann.) | 22.4% | 30.55% |
| All-time (ann.) | 22.4% | 30.55% |
| Best Day | 3.3% | 4.19% |
| Worst Day | -4.41% | -3.82% |
| Best Month | 10.51% | 11.51% |
| Worst Month | -4.94% | -7.6% |
| Best Year | 21.73% | 30.42% |
| Worst Year | 11.24% | 14.36% |
| Avg. Drawdown | -1.42% | -2.57% |
| Avg. Drawdown Days | 11 | 12 |
| Recovery Factor | 3.56 | 2.58 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 2.55 | 1.11 |
| Avg. Up Month | 3.03% | 4.14% |
| Avg. Down Month | -1.64% | -4.66% |
| Win Days | 54.23% | 52.91% |
| Win Month | 68.42% | 68.42% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.78 |
| Alpha | - | 0.12 |
| Correlation | - | 52.78% |
| Treynor Ratio | - | 63.31% |
| Year | SPY | IBKR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 21.73 | 30.42 | 1.40 | + |
| 2026 | 11.24 | 14.36 | 1.28 | + |
| 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 |