| Metric | SPY | AEDFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 79.0% |
| Cumulative Return | 204.97% | 43.03% |
| CAGR﹪ | 16.25% | 4.95% |
| Sharpe | 0.72 | 0.37 |
| Prob. Sharpe Ratio | 97.45% | 82.81% |
| Smart Sharpe | 0.63 | 0.31 |
| Sortino | 1.02 | 0.48 |
| Smart Sortino | 0.88 | 0.41 |
| Sortino/√2 | 0.72 | 0.34 |
| Smart Sortino/√2 | 0.62 | 0.29 |
| Omega | 1.18 | 1.24 |
| Max Drawdown | -33.72% | -12.42% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2020-02-20 |
| Max DD Period End | 2020-08-07 | 2020-04-16 |
| Longest DD Days | 708 | 891 |
| Volatility (ann.) | 19.45% | 5.72% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.4 |
| Skew | -0.29 | -5.23 |
| Kurtosis | 13.94 | 135.05 |
| Ulcer Performance Index | 25.91 | 16.86 |
| Risk-Adjusted Return | 16.25% | 6.27% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.99% | 0.25% |
| Avg. Loss | -1.07% | -0.27% |
| Win/Loss Ratio | 0.92 | 0.95 |
| Profit Ratio | 0.78 | 0.35 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.4% |
| Expected Yearly | 14.96% | 4.58% |
| Kelly Criterion | 6.46% | 9.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.57% |
| Expected Shortfall (cVaR) | -3.2% | -1.21% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.24 |
| Gain/Pain (1M) | 1.15 | 1.69 |
| Payoff Ratio | 0.92 | 0.95 |
| Profit Factor | 1.18 | 1.24 |
| Common Sense Ratio | 1.13 | 1.51 |
| CPC Index | 0.6 | 0.66 |
| Tail Ratio | 0.96 | 1.22 |
| Outlier Win Ratio | 3.69 | 5.33 |
| Outlier Loss Ratio | 4.12 | 3.5 |
| MTD | 1.47% | 0.53% |
| 3M | 1.46% | 1.36% |
| 6M | 6.94% | 4.36% |
| YTD | 13.33% | 6.02% |
| 1Y | 13.43% | 7.94% |
| 3Y (ann.) | 20.78% | 5.98% |
| 5Y (ann.) | 12.86% | 4.5% |
| 10Y (ann.) | 16.25% | 4.95% |
| All-time (ann.) | 16.25% | 4.95% |
| Best Day | 10.5% | 3.52% |
| Worst Day | -10.94% | -7.79% |
| Best Month | 12.7% | 5.21% |
| Worst Month | -12.49% | -2.75% |
| Best Year | 28.73% | 13.02% |
| Worst Year | -18.18% | -0.82% |
| Avg. Drawdown | -1.79% | -0.56% |
| Avg. Drawdown Days | 16 | 19 |
| Recovery Factor | 3.72 | 2.98 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 1.03 | 0.88 |
| Avg. Up Month | 4.24% | 0.97% |
| Avg. Down Month | -5.13% | -0.87% |
| Win Days | 55.15% | 55.98% |
| Win Month | 65.56% | 72.22% |
| Win Quarter | 77.42% | 70.97% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.18 |
| Alpha | - | 0.02 |
| Correlation | - | 61.03% |
| Treynor Ratio | - | 239.64% |
| Year | SPY | AEDFX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.20 | 0.13 | - |
| 2020 | 18.33 | 13.02 | 0.71 | - |
| 2021 | 28.73 | 0.91 | 0.03 | - |
| 2022 | -18.18 | -0.82 | 0.04 | + |
| 2023 | 26.18 | 5.63 | 0.21 | - |
| 2024 | 24.89 | 1.91 | 0.08 | - |
| 2025 | 17.72 | 8.41 | 0.47 | - |
| 2026 | 13.33 | 6.02 | 0.45 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-20 | 2020-04-16 | -12.42 | 57 |
| 2021-06-14 | 2023-11-21 | -9.11 | 891 |
| 2024-11-08 | 2025-01-22 | -2.94 | 76 |
| 2025-04-03 | 2025-05-09 | -2.08 | 37 |
| 2024-04-04 | 2024-07-03 | -1.99 | 91 |
| 2020-06-10 | 2020-07-14 | -1.69 | 35 |
| 2021-02-17 | 2021-04-15 | -1.60 | 58 |
| 2026-04-20 | 2026-06-10 | -1.39 | 52 |
| 2024-08-19 | 2024-10-17 | -1.27 | 60 |
| 2026-03-03 | 2026-04-07 | -1.25 | 36 |