| Metric | SPY | IBKR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 16.92% | 32.63% |
| CAGR﹪ | 16.92% | 32.63% |
| Sharpe | 0.97 | 1.31 |
| Prob. Sharpe Ratio | 83.18% | 90.71% |
| Smart Sharpe | 0.94 | 1.21 |
| Sortino | 1.4 | 2.07 |
| Smart Sortino | 1.37 | 1.9 |
| Sortino/√2 | 0.99 | 1.46 |
| Smart Sortino/√2 | 0.97 | 1.35 |
| Omega | 1.23 | 1.29 |
| Max Drawdown | -8.88% | -9.51% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-05-05 |
| Longest DD Days | 76 | 65 |
| Volatility (ann.) | 12.96% | 20.02% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 1.9 | 3.43 |
| Skew | -0.14 | 0.21 |
| Kurtosis | 1.05 | 1.22 |
| Ulcer Performance Index | 7.89 | 10.15 |
| Risk-Adjusted Return | 16.92% | 32.63% |
| Risk-Return Ratio | 0.08 | 0.1 |
| Avg. Return | 0.07% | 0.12% |
| Avg. Win | 0.76% | 1.18% |
| Avg. Loss | -0.64% | -0.97% |
| Win/Loss Ratio | 1.18 | 1.22 |
| Profit Ratio | 0.96 | 1.06 |
| Expected Daily | 0.06% | 0.11% |
| Expected Monthly | 1.21% | 2.2% |
| Expected Yearly | 8.13% | 15.16% |
| Kelly Criterion | 13.52% | 13.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.95% |
| Expected Shortfall (cVaR) | -1.72% | -3.17% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.23 | 0.29 |
| Gain/Pain (1M) | 2.48 | 2.17 |
| Payoff Ratio | 1.18 | 1.22 |
| Profit Factor | 1.23 | 1.29 |
| Common Sense Ratio | 1.23 | 1.74 |
| CPC Index | 0.78 | 0.82 |
| Tail Ratio | 0.99 | 1.35 |
| Outlier Win Ratio | 2.87 | 3.75 |
| Outlier Loss Ratio | 3.2 | 3.71 |
| 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.) | 16.92% | 32.63% |
| 5Y (ann.) | 16.92% | 32.63% |
| 10Y (ann.) | 16.92% | 32.63% |
| All-time (ann.) | 16.92% | 32.63% |
| Best Day | 2.91% | 4.19% |
| Worst Day | -2.7% | -3.82% |
| Best Month | 10.51% | 11.51% |
| Worst Month | -4.94% | -7.6% |
| Best Year | 13.38% | 22.46% |
| Worst Year | 3.12% | 8.3% |
| Avg. Drawdown | -1.71% | -2.69% |
| Avg. Drawdown Days | 14 | 12 |
| Recovery Factor | 1.85 | 3.18 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.11 | 1.65 |
| Avg. Up Month | 2.89% | 3.92% |
| Avg. Down Month | -4.94% | -7.6% |
| Win Days | 53.17% | 52.38% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.88 |
| Alpha | - | 0.16 |
| Correlation | - | 56.91% |
| Treynor Ratio | - | 37.13% |
| Year | SPY | IBKR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.12 | 8.30 | 2.66 | + |
| 2026 | 13.38 | 22.46 | 1.68 | + |
| 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 |