| Metric | SPY | AHLYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 86.61% | 35.75% |
| CAGR﹪ | 13.38% | 6.34% |
| Sharpe | 0.6 | 0.29 |
| Prob. Sharpe Ratio | 90.86% | 74.04% |
| Smart Sharpe | 0.58 | 0.27 |
| Sortino | 0.86 | 0.39 |
| Smart Sortino | 0.83 | 0.36 |
| Sortino/√2 | 0.61 | 0.28 |
| Smart Sortino/√2 | 0.59 | 0.25 |
| Omega | 1.16 | 1.12 |
| Max Drawdown | -24.5% | -21.65% |
| Max DD Date | 2022-10-12 | 2025-05-14 |
| Max DD Period Start | 2022-01-04 | 2024-04-16 |
| Max DD Period End | 2023-12-12 | 2026-01-26 |
| Longest DD Days | 708 | 651 |
| Volatility (ann.) | 17.21% | 9.71% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.55 | 0.29 |
| Skew | 0.32 | -0.63 |
| Kurtosis | 8.94 | 2.82 |
| Ulcer Performance Index | 10.24 | 4.13 |
| Risk-Adjusted Return | 13.38% | 6.82% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.65% | 0.48% |
| Avg. Loss | -0.78% | -0.55% |
| Win/Loss Ratio | 0.83 | 0.87 |
| Profit Ratio | 0.83 | 0.56 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.5% |
| Expected Yearly | 10.96% | 5.23% |
| Kelly Criterion | -0.96% | 3.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.98% |
| Expected Shortfall (cVaR) | -2.58% | -1.51% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.12 |
| Gain/Pain (1M) | 0.87 | 0.6 |
| Payoff Ratio | 0.83 | 0.87 |
| Profit Factor | 1.16 | 1.12 |
| Common Sense Ratio | 1.17 | 1.18 |
| CPC Index | 0.52 | 0.54 |
| Tail Ratio | 1.01 | 1.05 |
| Outlier Win Ratio | 3.41 | 3.46 |
| Outlier Loss Ratio | 3.77 | 3.34 |
| MTD | 1.09% | 4.19% |
| 3M | 3.84% | 5.77% |
| 6M | 19.87% | 10.03% |
| YTD | 14.32% | 18.29% |
| 1Y | 17.8% | 27.99% |
| 3Y (ann.) | 24.9% | 6.63% |
| 5Y (ann.) | 13.12% | 5.96% |
| 10Y (ann.) | 13.38% | 6.34% |
| All-time (ann.) | 13.38% | 6.34% |
| Best Day | 10.5% | 2.15% |
| Worst Day | -5.85% | -4.17% |
| Best Month | 10.51% | 7.93% |
| Worst Month | -9.24% | -5.73% |
| Best Year | 26.18% | 18.29% |
| Worst Year | -18.18% | -3.98% |
| Avg. Drawdown | -1.89% | -2.92% |
| Avg. Drawdown Days | 20 | 63 |
| Recovery Factor | 2.85 | 1.52 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 0.47 | 0.13 |
| Avg. Up Month | 3.73% | 2.5% |
| Avg. Down Month | -2.76% | -1.91% |
| Win Days | 54.08% | 55.2% |
| Win Month | 63.93% | 52.46% |
| Win Quarter | 66.67% | 47.62% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.02 |
| Alpha | - | 0.06 |
| Correlation | - | 3.68% |
| Treynor Ratio | - | 1722.86% |
| Year | SPY | AHLYX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -2.12 | -0.28 | - |
| 2022 | -18.18 | 16.85 | -0.93 | + |
| 2023 | 26.18 | -3.98 | -0.15 | - |
| 2024 | 24.89 | 1.99 | 0.08 | - |
| 2025 | 17.72 | 2.47 | 0.14 | - |
| 2026 | 14.32 | 18.29 | 1.28 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-16 | 2026-01-26 | -21.65 | 651 |
| 2022-09-28 | 2024-04-12 | -12.34 | 563 |
| 2021-11-17 | 2022-03-03 | -7.41 | 107 |
| 2022-07-15 | 2022-09-02 | -5.66 | 50 |
| 2026-03-02 | 2026-05-08 | -3.35 | 68 |
| 2026-07-24 | 2026-08-27 | -3.17 | 35 |
| 2022-06-15 | 2022-07-13 | -2.95 | 29 |
| 2026-06-04 | 2026-07-21 | -2.62 | 48 |
| 2026-01-30 | 2026-02-06 | -2.45 | 8 |
| 2022-05-09 | 2022-06-08 | -2.24 | 31 |