| Metric | SPY | ADAIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 73.0% |
| Cumulative Return | 86.58% | 16.11% |
| CAGR﹪ | 13.36% | 3.05% |
| Sharpe | 0.59 | -0.3 |
| Prob. Sharpe Ratio | 90.85% | 25.2% |
| Smart Sharpe | 0.58 | -0.27 |
| Sortino | 0.86 | -0.4 |
| Smart Sortino | 0.83 | -0.36 |
| Sortino/√2 | 0.61 | -0.28 |
| Smart Sortino/√2 | 0.59 | -0.25 |
| Omega | 1.16 | 1.25 |
| Max Drawdown | -24.5% | -7.4% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| Max DD Period Start | 2022-01-04 | 2021-11-02 |
| Max DD Period End | 2023-12-12 | 2024-03-15 |
| Longest DD Days | 708 | 865 |
| Volatility (ann.) | 17.2% | 2.56% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.41 |
| Skew | 0.32 | -0.92 |
| Kurtosis | 8.95 | 8.32 |
| Ulcer Performance Index | 10.24 | 6.29 |
| Risk-Adjusted Return | 13.36% | 4.18% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.95% | 0.16% |
| Avg. Loss | -1.09% | -0.18% |
| Win/Loss Ratio | 0.87 | 0.91 |
| Profit Ratio | 0.83 | 0.26 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.25% |
| Expected Yearly | 10.95% | 2.52% |
| Kelly Criterion | 1.07% | 8.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.25% |
| Expected Shortfall (cVaR) | -2.58% | -0.42% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.16 | 0.25 |
| Gain/Pain (1M) | 0.87 | 1.1 |
| Payoff Ratio | 0.87 | 0.91 |
| Profit Factor | 1.16 | 1.25 |
| Common Sense Ratio | 1.17 | 1.29 |
| CPC Index | 0.54 | 0.64 |
| Tail Ratio | 1.01 | 1.03 |
| Outlier Win Ratio | 3.41 | 4.9 |
| Outlier Loss Ratio | 3.77 | 2.98 |
| MTD | 1.08% | 0.15% |
| 3M | 3.82% | 0.61% |
| 6M | 19.85% | 2.78% |
| YTD | 14.3% | 3.67% |
| 1Y | 17.78% | 5.7% |
| 3Y (ann.) | 24.86% | 5.88% |
| 5Y (ann.) | 13.06% | 2.98% |
| 10Y (ann.) | 13.36% | 3.05% |
| All-time (ann.) | 13.36% | 3.05% |
| 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 | -1.89% | -0.35% |
| Avg. Drawdown Days | 20 | 25 |
| Recovery Factor | 2.85 | 2.04 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.47 | 0.17 |
| Avg. Up Month | 4.07% | 0.74% |
| Avg. Down Month | -4.35% | -0.89% |
| Win Days | 54.04% | 56.59% |
| Win Month | 63.93% | 70.49% |
| Win Quarter | 66.67% | 76.19% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.07 |
| Alpha | - | 0.02 |
| Correlation | - | 46.44% |
| Treynor Ratio | - | 232.98% |
| Year | SPY | ADAIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -0.58 | -0.08 | - |
| 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 | 14.30 | 3.67 | 0.26 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-02 | 2024-03-15 | -7.40 | 865 |
| 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 |
| 2026-02-04 | 2026-03-31 | -0.46 | 56 |
| 2026-08-28 | 2026-09-22 | -0.45 | 26 |
| 2021-09-28 | 2021-10-11 | -0.41 | 14 |
| 2024-09-03 | 2024-09-16 | -0.41 | 14 |
| 2025-06-23 | 2025-07-09 | -0.39 | 17 |