| Metric | SPY | APSHX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 86.58% | 37.08% |
| CAGR﹪ | 13.36% | 6.55% |
| Sharpe | 0.59 | 0.24 |
| Prob. Sharpe Ratio | 90.85% | 70.66% |
| Smart Sharpe | 0.58 | 0.24 |
| Sortino | 0.86 | 0.33 |
| Smart Sortino | 0.83 | 0.33 |
| Sortino/√2 | 0.61 | 0.23 |
| Smart Sortino/√2 | 0.59 | 0.23 |
| Omega | 1.16 | 1.09 |
| Max Drawdown | -24.5% | -25.66% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2024-12-05 |
| Max DD Period End | 2023-12-12 | 2025-10-28 |
| Longest DD Days | 708 | 853 |
| Volatility (ann.) | 17.2% | 15.03% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.26 |
| Skew | 0.32 | -0.57 |
| Kurtosis | 8.95 | 3.65 |
| Ulcer Performance Index | 10.24 | 3.06 |
| Risk-Adjusted Return | 13.36% | 6.89% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.82% | 0.75% |
| Avg. Loss | -0.85% | -0.82% |
| Win/Loss Ratio | 0.97 | 0.92 |
| Profit Ratio | 0.83 | 0.63 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.03% | 0.52% |
| Expected Yearly | 10.95% | 5.4% |
| Kelly Criterion | 6.48% | 5.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.53% |
| Expected Shortfall (cVaR) | -2.58% | -2.17% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.16 | 0.09 |
| Gain/Pain (1M) | 0.87 | 0.4 |
| Payoff Ratio | 0.97 | 0.92 |
| Profit Factor | 1.16 | 1.09 |
| Common Sense Ratio | 1.17 | 0.92 |
| CPC Index | 0.6 | 0.55 |
| Tail Ratio | 1.01 | 0.84 |
| Outlier Win Ratio | 3.41 | 3.58 |
| Outlier Loss Ratio | 3.77 | 3.48 |
| MTD | 1.08% | 3.8% |
| 3M | 3.82% | 1.54% |
| 6M | 19.85% | 11.85% |
| YTD | 14.3% | 15.26% |
| 1Y | 17.78% | 17.4% |
| 3Y (ann.) | 24.86% | 15.63% |
| 5Y (ann.) | 13.06% | 6.25% |
| 10Y (ann.) | 13.36% | 6.55% |
| All-time (ann.) | 13.36% | 6.55% |
| Best Day | 10.5% | 4.74% |
| Worst Day | -5.85% | -6.36% |
| Best Month | 10.51% | 8.75% |
| Worst Month | -9.24% | -10.9% |
| Best Year | 26.18% | 18.52% |
| Worst Year | -18.18% | -17.61% |
| Avg. Drawdown | -1.89% | -3.77% |
| Avg. Drawdown Days | 20 | 55 |
| Recovery Factor | 2.85 | 1.45 |
| Ulcer Index | 0.08 | 0.12 |
| Serenity Index | 0.47 | 0.13 |
| Avg. Up Month | 4.15% | 3.59% |
| Avg. Down Month | -3.98% | -4.2% |
| Win Days | 54.04% | 54.42% |
| Win Month | 63.93% | 60.66% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.7 |
| Alpha | - | -0.02 |
| Correlation | - | 80.21% |
| Treynor Ratio | - | 52.89% |
| Year | SPY | APSHX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 3.27 | 0.43 | - |
| 2022 | -18.18 | -17.61 | 0.97 | + |
| 2023 | 26.18 | 18.52 | 0.71 | - |
| 2024 | 24.89 | 6.73 | 0.27 | - |
| 2025 | 17.72 | 10.50 | 0.59 | - |
| 2026 | 14.30 | 15.26 | 1.07 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-05 | 2025-10-28 | -25.66 | 328 |
| 2021-11-19 | 2024-03-20 | -22.72 | 853 |
| 2026-06-03 | 2026-09-22 | -10.92 | 112 |
| 2024-07-17 | 2024-10-10 | -9.82 | 86 |
| 2024-03-28 | 2024-06-11 | -7.93 | 76 |
| 2026-02-26 | 2026-05-04 | -7.18 | 68 |
| 2025-10-30 | 2026-01-05 | -6.59 | 68 |
| 2026-05-12 | 2026-05-22 | -3.19 | 11 |
| 2021-09-24 | 2021-10-14 | -3.10 | 21 |
| 2026-01-29 | 2026-02-06 | -2.90 | 9 |