| Metric | SPY | AHLYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 74.99% | 26.37% |
| CAGR﹪ | 11.91% | 4.82% |
| Sharpe | 0.52 | 0.14 |
| Prob. Sharpe Ratio | 87.6% | 61.83% |
| Smart Sharpe | 0.5 | 0.12 |
| Sortino | 0.74 | 0.18 |
| Smart Sortino | 0.72 | 0.17 |
| Sortino/√2 | 0.53 | 0.13 |
| Smart Sortino/√2 | 0.51 | 0.12 |
| Omega | 1.14 | 1.09 |
| 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.) | 17.19% | 9.83% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.22 |
| Skew | 0.33 | -0.64 |
| Kurtosis | 8.98 | 2.69 |
| Ulcer Performance Index | 8.86 | 3.04 |
| Risk-Adjusted Return | 11.91% | 5.18% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.04% | 0.02% |
| Avg. Win | 0.65% | 0.49% |
| Avg. Loss | -0.76% | -0.56% |
| Win/Loss Ratio | 0.85 | 0.87 |
| Profit Ratio | 0.86 | 0.56 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.38% |
| Expected Yearly | 9.77% | 3.98% |
| Kelly Criterion | -1.19% | 2.66% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.0% |
| Expected Shortfall (cVaR) | -2.58% | -1.53% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.09 |
| Gain/Pain (1M) | 0.79 | 0.43 |
| Payoff Ratio | 0.85 | 0.87 |
| Profit Factor | 1.14 | 1.09 |
| Common Sense Ratio | 1.15 | 1.11 |
| CPC Index | 0.52 | 0.52 |
| Tail Ratio | 1.0 | 1.02 |
| Outlier Win Ratio | 3.4 | 3.44 |
| Outlier Loss Ratio | 3.8 | 3.37 |
| MTD | 1.47% | -2.75% |
| 3M | 1.46% | 1.83% |
| 6M | 6.94% | 2.32% |
| YTD | 13.33% | 11.95% |
| 1Y | 13.43% | 15.98% |
| 3Y (ann.) | 20.78% | 6.12% |
| 5Y (ann.) | 12.86% | 5.65% |
| 10Y (ann.) | 11.91% | 4.82% |
| All-time (ann.) | 11.91% | 4.82% |
| 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% | 16.85% |
| Worst Year | -18.18% | -3.98% |
| Avg. Drawdown | -1.94% | -3.25% |
| Avg. Drawdown Days | 21 | 72 |
| Recovery Factor | 2.58 | 1.19 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 0.43 | 0.1 |
| Avg. Up Month | 3.59% | 2.56% |
| Avg. Down Month | -2.74% | -2.08% |
| Win Days | 53.48% | 54.72% |
| Win Month | 62.3% | 49.18% |
| Win Quarter | 71.43% | 47.62% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.02 |
| Alpha | - | 0.05 |
| Correlation | - | 3.56% |
| Treynor Ratio | - | 1295.18% |
| Year | SPY | AHLYX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -3.72 | -2.15 | - |
| 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 | 13.33 | 11.95 | 0.90 | - |
| 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 |
| 2026-10-13 | 2026-11-04 | -6.12 | 23 |
| 2022-06-15 | 2022-09-14 | -5.66 | 92 |
| 2026-03-02 | 2026-05-08 | -3.35 | 68 |
| 2026-07-24 | 2026-08-27 | -3.17 | 35 |
| 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 |