| Metric | SPY | IBKR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 13.5% | 27.1% |
| CAGR﹪ | 13.5% | 27.1% |
| Sharpe | 0.72 | 1.1 |
| Prob. Sharpe Ratio | 76.24% | 86.56% |
| Smart Sharpe | 0.7 | 1.04 |
| Sortino | 1.02 | 1.71 |
| Smart Sortino | 0.99 | 1.61 |
| Sortino/√2 | 0.72 | 1.21 |
| Smart Sortino/√2 | 0.7 | 1.14 |
| Omega | 1.18 | 1.23 |
| 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.) | 13.72% | 20.33% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 1.52 | 1.64 |
| Skew | -0.48 | 0.2 |
| Kurtosis | 2.98 | 1.06 |
| Ulcer Performance Index | 6.1 | 5.4 |
| Risk-Adjusted Return | 13.5% | 27.1% |
| Risk-Return Ratio | 0.06 | 0.08 |
| Avg. Return | 0.05% | 0.1% |
| Avg. Win | 0.76% | 1.18% |
| Avg. Loss | -0.69% | -1.02% |
| Win/Loss Ratio | 1.09 | 1.16 |
| Profit Ratio | 0.98 | 1.02 |
| Expected Daily | 0.05% | 0.1% |
| Expected Monthly | 0.98% | 1.86% |
| Expected Yearly | 6.54% | 12.74% |
| Kelly Criterion | 8.65% | 11.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -2.0% |
| Expected Shortfall (cVaR) | -1.86% | -3.18% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.18 | 0.23 |
| Gain/Pain (1M) | 1.69 | 1.39 |
| Payoff Ratio | 1.09 | 1.16 |
| Profit Factor | 1.18 | 1.23 |
| Common Sense Ratio | 1.19 | 1.61 |
| CPC Index | 0.67 | 0.75 |
| Tail Ratio | 1.0 | 1.3 |
| Outlier Win Ratio | 3.21 | 3.72 |
| Outlier Loss Ratio | 3.08 | 3.53 |
| 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.) | 13.5% | 27.1% |
| 5Y (ann.) | 13.5% | 27.1% |
| 10Y (ann.) | 13.5% | 27.1% |
| All-time (ann.) | 13.5% | 27.1% |
| Best Day | 2.91% | 4.19% |
| Worst Day | -4.41% | -3.82% |
| Best Month | 10.51% | 11.51% |
| Worst Month | -4.94% | -7.6% |
| Best Year | 11.24% | 14.36% |
| Worst Year | 2.03% | 11.13% |
| Avg. Drawdown | -1.89% | -3.01% |
| Avg. Drawdown Days | 14 | 13 |
| Recovery Factor | 1.53 | 1.57 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.93 | 0.55 |
| Avg. Up Month | 3.14% | 4.01% |
| Avg. Down Month | -1.64% | -4.66% |
| Win Days | 52.38% | 52.38% |
| Win Month | 53.85% | 69.23% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.91 |
| Alpha | - | 0.14 |
| Correlation | - | 61.36% |
| Treynor Ratio | - | 29.8% |
| Year | SPY | IBKR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.03 | 11.13 | 5.48 | + |
| 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 |
| 2026-06-22 | 2026-06-29 | -3.97 | 8 |
| 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 |
| 2025-12-16 | 2025-12-18 | -2.57 | 3 |
| 2025-11-18 | 2025-11-24 | -2.31 | 7 |