| Metric | SPY | AHLYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 204.97% | 53.77% |
| CAGR﹪ | 16.25% | 5.98% |
| Sharpe | 0.72 | 0.35 |
| Prob. Sharpe Ratio | 97.45% | 83.06% |
| Smart Sharpe | 0.63 | 0.32 |
| Sortino | 1.02 | 0.48 |
| Smart Sortino | 0.88 | 0.44 |
| Sortino/√2 | 0.72 | 0.34 |
| Smart Sortino/√2 | 0.62 | 0.31 |
| Omega | 1.18 | 1.12 |
| Max Drawdown | -33.72% | -21.65% |
| Max DD Date | 2020-03-23 | 2025-05-14 |
| Max DD Period Start | 2020-02-20 | 2024-04-16 |
| Max DD Period End | 2020-08-07 | 2026-01-26 |
| Longest DD Days | 708 | 651 |
| Volatility (ann.) | 19.45% | 9.61% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.28 |
| Skew | -0.29 | -0.53 |
| Kurtosis | 13.94 | 2.6 |
| Ulcer Performance Index | 25.91 | 7.05 |
| Risk-Adjusted Return | 16.25% | 6.43% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.68% | 0.47% |
| Avg. Loss | -0.79% | -0.56% |
| Win/Loss Ratio | 0.86 | 0.84 |
| Profit Ratio | 0.78 | 0.55 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.48% |
| Expected Yearly | 14.96% | 5.53% |
| Kelly Criterion | 3.17% | 2.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.97% |
| Expected Shortfall (cVaR) | -3.2% | -1.42% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.12 |
| Gain/Pain (1M) | 1.15 | 0.57 |
| Payoff Ratio | 0.86 | 0.84 |
| Profit Factor | 1.18 | 1.12 |
| Common Sense Ratio | 1.13 | 1.08 |
| CPC Index | 0.56 | 0.52 |
| Tail Ratio | 0.96 | 0.97 |
| Outlier Win Ratio | 3.69 | 3.52 |
| Outlier Loss Ratio | 4.12 | 3.17 |
| 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.) | 16.25% | 5.98% |
| All-time (ann.) | 16.25% | 5.98% |
| Best Day | 10.5% | 3.04% |
| Worst Day | -10.94% | -4.17% |
| Best Month | 12.7% | 7.93% |
| Worst Month | -12.49% | -5.73% |
| Best Year | 28.73% | 16.85% |
| Worst Year | -18.18% | -3.98% |
| Avg. Drawdown | -1.79% | -2.66% |
| Avg. Drawdown Days | 16 | 58 |
| Recovery Factor | 3.72 | 2.15 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 1.03 | 0.2 |
| Avg. Up Month | 4.05% | 2.56% |
| Avg. Down Month | -2.53% | -1.86% |
| Win Days | 55.15% | 55.32% |
| Win Month | 65.56% | 50.0% |
| Win Quarter | 77.42% | 54.84% |
| Win Year | 87.5% | 87.5% |
| Beta | - | -0.0 |
| Alpha | - | 0.06 |
| Correlation | - | -0.83% |
| Treynor Ratio | - | -13164.07% |
| Year | SPY | AHLYX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 0.73 | 0.04 | - |
| 2020 | 18.33 | 10.63 | 0.58 | - |
| 2021 | 28.73 | 5.12 | 0.18 | - |
| 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 |
| 2019-09-04 | 2020-03-17 | -10.09 | 196 |
| 2020-03-24 | 2020-12-29 | -8.52 | 281 |
| 2021-05-11 | 2022-03-03 | -7.73 | 297 |
| 2026-10-13 | 2026-11-04 | -6.12 | 23 |
| 2022-06-15 | 2022-09-14 | -5.66 | 92 |
| 2021-01-22 | 2021-02-08 | -3.45 | 18 |
| 2026-03-02 | 2026-05-08 | -3.35 | 68 |
| 2026-07-24 | 2026-08-27 | -3.17 | 35 |