| Metric | SPY | APSHX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 74.99% | 20.21% |
| CAGR﹪ | 11.91% | 3.77% |
| Sharpe | 0.52 | 0.07 |
| Prob. Sharpe Ratio | 87.6% | 55.8% |
| Smart Sharpe | 0.5 | 0.06 |
| Sortino | 0.74 | 0.09 |
| Smart Sortino | 0.72 | 0.09 |
| Sortino/√2 | 0.53 | 0.06 |
| Smart Sortino/√2 | 0.51 | 0.06 |
| Omega | 1.14 | 1.06 |
| Max Drawdown | -24.5% | -25.66% |
| Max DD Date | 2022-10-12 | 2025-04-04 |
| 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.) | 17.19% | 15.15% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.49 | 0.15 |
| Skew | 0.33 | -0.57 |
| Kurtosis | 8.98 | 3.53 |
| Ulcer Performance Index | 8.86 | 1.67 |
| Risk-Adjusted Return | 11.91% | 3.97% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.83% | 0.76% |
| Avg. Loss | -0.85% | -0.83% |
| Win/Loss Ratio | 0.98 | 0.92 |
| Profit Ratio | 0.86 | 0.64 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.3% |
| Expected Yearly | 9.77% | 3.11% |
| Kelly Criterion | 5.88% | 3.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.55% |
| Expected Shortfall (cVaR) | -2.58% | -2.21% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.06 |
| Gain/Pain (1M) | 0.79 | 0.25 |
| Payoff Ratio | 0.98 | 0.92 |
| Profit Factor | 1.14 | 1.06 |
| Common Sense Ratio | 1.15 | 0.88 |
| CPC Index | 0.6 | 0.52 |
| Tail Ratio | 1.0 | 0.83 |
| Outlier Win Ratio | 3.4 | 3.58 |
| Outlier Loss Ratio | 3.8 | 3.44 |
| MTD | 1.47% | -0.47% |
| 3M | 1.46% | -0.27% |
| 6M | 6.94% | -0.8% |
| YTD | 13.33% | 8.72% |
| 1Y | 13.43% | 6.16% |
| 3Y (ann.) | 20.78% | 10.46% |
| 5Y (ann.) | 12.86% | 4.72% |
| 10Y (ann.) | 11.91% | 3.77% |
| All-time (ann.) | 11.91% | 3.77% |
| 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 | -1.94% | -4.02% |
| Avg. Drawdown Days | 21 | 58 |
| Recovery Factor | 2.58 | 0.94 |
| Ulcer Index | 0.08 | 0.12 |
| Serenity Index | 0.43 | 0.08 |
| Avg. Up Month | 4.15% | 3.49% |
| Avg. Down Month | -3.81% | -4.17% |
| Win Days | 53.48% | 53.91% |
| Win Month | 62.3% | 57.38% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.71 |
| Alpha | - | -0.04 |
| Correlation | - | 80.04% |
| Treynor Ratio | - | 28.65% |
| Year | SPY | APSHX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -3.99 | -2.31 | - |
| 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 | 13.33 | 8.72 | 0.65 | - |
| 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 | 2026-10-02 | -10.92 | 122 |
| 2024-07-17 | 2024-10-10 | -9.82 | 86 |
| 2024-03-28 | 2024-06-11 | -7.93 | 76 |
| 2026-10-07 | 2026-11-04 | -7.71 | 29 |
| 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 |
| 2026-01-29 | 2026-02-06 | -2.90 | 9 |