| Metric | SPY | APSHX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 204.97% | 80.29% |
| CAGR﹪ | 16.25% | 8.28% |
| Sharpe | 0.72 | 0.39 |
| Prob. Sharpe Ratio | 97.45% | 85.55% |
| Smart Sharpe | 0.63 | 0.37 |
| Sortino | 1.02 | 0.53 |
| Smart Sortino | 0.88 | 0.5 |
| Sortino/√2 | 0.72 | 0.38 |
| Smart Sortino/√2 | 0.62 | 0.35 |
| Omega | 1.18 | 1.1 |
| Max Drawdown | -33.72% | -25.66% |
| Max DD Date | 2020-03-23 | 2025-04-04 |
| Max DD Period Start | 2020-02-20 | 2024-12-05 |
| Max DD Period End | 2020-08-07 | 2025-10-28 |
| Longest DD Days | 708 | 1212 |
| Volatility (ann.) | 19.45% | 16.4% |
| R^2 | 0.67 | 0.67 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.32 |
| Skew | -0.29 | -0.54 |
| Kurtosis | 13.94 | 3.35 |
| Ulcer Performance Index | 25.91 | 6.9 |
| Risk-Adjusted Return | 16.25% | 8.63% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.86% | 0.8% |
| Avg. Loss | -0.93% | -0.9% |
| Win/Loss Ratio | 0.93 | 0.89 |
| Profit Ratio | 0.78 | 0.61 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.66% |
| Expected Yearly | 14.96% | 7.65% |
| Kelly Criterion | 6.93% | 4.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.66% |
| Expected Shortfall (cVaR) | -3.2% | -2.5% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.1 |
| Gain/Pain (1M) | 1.15 | 0.57 |
| Payoff Ratio | 0.93 | 0.89 |
| Profit Factor | 1.18 | 1.1 |
| Common Sense Ratio | 1.13 | 0.99 |
| CPC Index | 0.61 | 0.54 |
| Tail Ratio | 0.96 | 0.9 |
| Outlier Win Ratio | 3.69 | 3.75 |
| Outlier Loss Ratio | 4.12 | 3.61 |
| 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.) | 16.25% | 8.28% |
| All-time (ann.) | 16.25% | 8.28% |
| Best Day | 10.5% | 4.74% |
| Worst Day | -10.94% | -6.36% |
| Best Month | 12.7% | 9.62% |
| Worst Month | -12.49% | -10.9% |
| Best Year | 28.73% | 21.96% |
| Worst Year | -18.18% | -17.61% |
| Avg. Drawdown | -1.79% | -3.02% |
| Avg. Drawdown Days | 16 | 42 |
| Recovery Factor | 3.72 | 2.69 |
| Ulcer Index | 0.08 | 0.12 |
| Serenity Index | 1.03 | 0.27 |
| Avg. Up Month | 4.3% | 3.57% |
| Avg. Down Month | -4.24% | -4.17% |
| Win Days | 55.15% | 55.27% |
| Win Month | 65.56% | 62.22% |
| Win Quarter | 77.42% | 64.52% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.69 |
| Alpha | - | -0.02 |
| Correlation | - | 81.79% |
| Treynor Ratio | - | 116.38% |
| Year | SPY | APSHX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 8.89 | 0.54 | - |
| 2020 | 18.33 | 21.96 | 1.20 | + |
| 2021 | 28.73 | 8.43 | 0.29 | - |
| 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 |
| 2021-03-16 | 2024-07-09 | -24.82 | 1212 |
| 2020-02-20 | 2020-07-17 | -21.35 | 149 |
| 2026-06-03 | 2026-10-02 | -10.92 | 122 |
| 2020-09-03 | 2020-11-23 | -10.24 | 82 |
| 2024-07-17 | 2024-10-10 | -9.82 | 86 |
| 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 |
| 2019-07-16 | 2019-11-14 | -5.41 | 122 |