| Metric | SPY | ADAIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 72.0% |
| Cumulative Return | 74.99% | 14.82% |
| CAGR﹪ | 11.91% | 2.82% |
| Sharpe | 0.52 | -0.42 |
| Prob. Sharpe Ratio | 87.6% | 17.46% |
| Smart Sharpe | 0.5 | -0.37 |
| Sortino | 0.74 | -0.55 |
| Smart Sortino | 0.72 | -0.49 |
| Sortino/√2 | 0.53 | -0.39 |
| Smart Sortino/√2 | 0.51 | -0.35 |
| Omega | 1.14 | 1.23 |
| Max Drawdown | -24.5% | -7.4% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| Max DD Period Start | 2022-01-04 | 2021-11-17 |
| Max DD Period End | 2023-12-12 | 2024-03-15 |
| Longest DD Days | 708 | 850 |
| Volatility (ann.) | 17.19% | 2.53% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.38 |
| Skew | 0.33 | -0.95 |
| Kurtosis | 8.98 | 8.7 |
| Ulcer Performance Index | 8.86 | 5.78 |
| Risk-Adjusted Return | 11.91% | 3.91% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.95% | 0.16% |
| Avg. Loss | -1.08% | -0.17% |
| Win/Loss Ratio | 0.88 | 0.91 |
| Profit Ratio | 0.86 | 0.26 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.23% |
| Expected Yearly | 9.77% | 2.33% |
| Kelly Criterion | 0.6% | 7.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.25% |
| Expected Shortfall (cVaR) | -2.58% | -0.41% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | 0.23 |
| Gain/Pain (1M) | 0.79 | 0.99 |
| Payoff Ratio | 0.88 | 0.91 |
| Profit Factor | 1.14 | 1.23 |
| Common Sense Ratio | 1.15 | 1.27 |
| CPC Index | 0.54 | 0.63 |
| Tail Ratio | 1.0 | 1.03 |
| Outlier Win Ratio | 3.4 | 5.02 |
| Outlier Loss Ratio | 3.8 | 3.01 |
| MTD | 1.47% | -0.08% |
| 3M | 1.46% | -0.0% |
| 6M | 6.94% | 0.91% |
| YTD | 13.33% | 3.35% |
| 1Y | 13.43% | 4.09% |
| 3Y (ann.) | 20.78% | 5.43% |
| 5Y (ann.) | 12.86% | 3.17% |
| 10Y (ann.) | 11.91% | 2.82% |
| All-time (ann.) | 11.91% | 2.82% |
| Best Day | 10.5% | 0.78% |
| Worst Day | -5.85% | -1.35% |
| Best Month | 10.51% | 1.46% |
| Worst Month | -9.24% | -2.1% |
| Best Year | 26.18% | 8.02% |
| Worst Year | -18.18% | -3.29% |
| Avg. Drawdown | -1.94% | -0.35% |
| Avg. Drawdown Days | 21 | 27 |
| Recovery Factor | 2.58 | 1.89 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.43 | 0.16 |
| Avg. Up Month | 4.08% | 0.76% |
| Avg. Down Month | -4.32% | -0.91% |
| Win Days | 53.48% | 56.2% |
| Win Month | 62.3% | 68.85% |
| Win Quarter | 71.43% | 76.19% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.07 |
| Alpha | - | 0.02 |
| Correlation | - | 46.51% |
| Treynor Ratio | - | 216.22% |
| Year | SPY | ADAIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -1.39 | -0.80 | - |
| 2022 | -18.18 | -3.29 | 0.18 | + |
| 2023 | 26.18 | 4.51 | 0.17 | - |
| 2024 | 24.89 | 3.19 | 0.13 | - |
| 2025 | 17.72 | 8.02 | 0.45 | - |
| 2026 | 13.33 | 3.35 | 0.25 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2024-03-15 | -7.40 | 850 |
| 2024-10-17 | 2025-02-06 | -1.78 | 113 |
| 2024-04-04 | 2024-06-27 | -1.00 | 85 |
| 2025-04-03 | 2025-04-16 | -0.64 | 14 |
| 2026-07-16 | 2026-08-13 | -0.60 | 29 |
| 2026-08-28 | 2026-11-04 | -0.53 | 69 |
| 2026-02-04 | 2026-03-31 | -0.46 | 56 |
| 2024-09-03 | 2024-09-16 | -0.41 | 14 |
| 2025-06-23 | 2025-07-10 | -0.39 | 18 |
| 2024-07-31 | 2024-08-07 | -0.33 | 8 |