| Metric | SPY | APSHX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 14.39% | 7.12% |
| CAGR﹪ | 14.51% | 7.18% |
| Sharpe | 0.83 | 0.28 |
| Prob. Sharpe Ratio | 79.61% | 61.01% |
| Smart Sharpe | 0.82 | 0.27 |
| Sortino | 1.22 | 0.39 |
| Smart Sortino | 1.2 | 0.38 |
| Sortino/√2 | 0.86 | 0.27 |
| Smart Sortino/√2 | 0.85 | 0.27 |
| Omega | 1.2 | 1.09 |
| Max Drawdown | -8.88% | -10.92% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2026-01-28 | 2026-06-03 |
| Max DD Period End | 2026-04-13 | 2026-10-02 |
| Longest DD Days | 76 | 122 |
| Volatility (ann.) | 12.86% | 16.34% |
| R^2 | 0.66 | 0.66 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.63 | 0.66 |
| Skew | -0.02 | -0.2 |
| Kurtosis | 0.78 | 0.73 |
| Ulcer Performance Index | 6.68 | 1.93 |
| Risk-Adjusted Return | 14.51% | 7.48% |
| Risk-Return Ratio | 0.07 | 0.03 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.71% | 0.88% |
| Avg. Loss | -0.7% | -0.96% |
| Win/Loss Ratio | 1.02 | 0.92 |
| Profit Ratio | 1.02 | 0.57 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.53% |
| Expected Yearly | 6.95% | 3.5% |
| Kelly Criterion | 4.73% | 8.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.66% |
| Expected Shortfall (cVaR) | -1.66% | -2.14% |
| Max Consecutive Wins | 7 | 10 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.09 |
| Gain/Pain (1M) | 1.83 | 0.49 |
| Payoff Ratio | 1.02 | 0.92 |
| Profit Factor | 1.2 | 1.09 |
| Common Sense Ratio | 1.19 | 0.93 |
| CPC Index | 0.63 | 0.56 |
| Tail Ratio | 0.99 | 0.86 |
| Outlier Win Ratio | 2.84 | 3.4 |
| Outlier Loss Ratio | 3.01 | 2.77 |
| MTD | 1.47% | -0.47% |
| 3M | 1.46% | -0.27% |
| 6M | 6.94% | -0.8% |
| YTD | 13.33% | 8.72% |
| 1Y | 14.39% | 7.12% |
| 3Y (ann.) | 14.51% | 7.18% |
| 5Y (ann.) | 14.51% | 7.18% |
| 10Y (ann.) | 14.51% | 7.18% |
| All-time (ann.) | 14.51% | 7.18% |
| Best Day | 2.91% | 3.66% |
| Worst Day | -2.58% | -3.35% |
| Best Month | 10.51% | 6.18% |
| Worst Month | -4.94% | -5.18% |
| Best Year | 13.33% | 8.72% |
| Worst Year | 0.94% | -1.47% |
| Avg. Drawdown | -1.74% | -2.85% |
| Avg. Drawdown Days | 14 | 18 |
| Recovery Factor | 1.61 | 0.75 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.94 | 0.29 |
| Avg. Up Month | 4.98% | 4.9% |
| Avg. Down Month | -2.29% | -3.43% |
| Win Days | 52.0% | 56.07% |
| Win Month | 61.54% | 46.15% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 1.03 |
| Alpha | - | -0.07 |
| Correlation | - | 81.34% |
| Treynor Ratio | - | 6.89% |
| Year | SPY | APSHX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -1.47 | -1.57 | - |
| 2026 | 13.33 | 8.72 | 0.65 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-10-02 | -10.92 | 122 |
| 2026-10-07 | 2026-11-04 | -7.71 | 29 |
| 2026-02-26 | 2026-05-04 | -7.18 | 68 |
| 2025-11-11 | 2025-12-10 | -5.88 | 30 |
| 2025-12-12 | 2026-01-02 | -3.52 | 22 |
| 2026-05-12 | 2026-05-22 | -3.19 | 11 |
| 2026-01-29 | 2026-02-06 | -2.90 | 9 |
| 2026-02-12 | 2026-02-19 | -1.53 | 8 |
| 2025-11-06 | 2025-11-07 | -1.25 | 2 |
| 2026-05-07 | 2026-05-07 | -1.10 | 1 |