| Metric | SPY | DHLSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 14.39% | 7.91% |
| CAGR﹪ | 14.51% | 7.97% |
| Sharpe | 0.83 | 0.49 |
| Prob. Sharpe Ratio | 79.61% | 68.77% |
| Smart Sharpe | 0.82 | 0.48 |
| Sortino | 1.22 | 0.73 |
| Smart Sortino | 1.2 | 0.71 |
| Sortino/√2 | 0.86 | 0.52 |
| Smart Sortino/√2 | 0.85 | 0.5 |
| Omega | 1.2 | 1.15 |
| Max Drawdown | -8.88% | -8.93% |
| Max DD Date | 2026-03-30 | 2026-06-25 |
| Max DD Period Start | 2026-01-28 | 2026-01-12 |
| Max DD Period End | 2026-04-13 | 2026-08-27 |
| Longest DD Days | 76 | 228 |
| Volatility (ann.) | 12.86% | 8.98% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.63 | 0.89 |
| Skew | -0.02 | 0.15 |
| Kurtosis | 0.78 | 0.12 |
| Ulcer Performance Index | 6.68 | 2.31 |
| Risk-Adjusted Return | 14.51% | 8.14% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.74% | 0.47% |
| Avg. Loss | -0.68% | -0.43% |
| Win/Loss Ratio | 1.09 | 1.07 |
| Profit Ratio | 1.02 | 0.95 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.59% |
| Expected Yearly | 6.95% | 3.88% |
| Kelly Criterion | 7.85% | 5.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.9% |
| Expected Shortfall (cVaR) | -1.66% | -1.09% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.15 |
| Gain/Pain (1M) | 1.83 | 0.6 |
| Payoff Ratio | 1.09 | 1.07 |
| Profit Factor | 1.2 | 1.15 |
| Common Sense Ratio | 1.19 | 1.29 |
| CPC Index | 0.68 | 0.63 |
| Tail Ratio | 0.99 | 1.12 |
| Outlier Win Ratio | 2.84 | 2.95 |
| Outlier Loss Ratio | 3.01 | 2.81 |
| MTD | 1.47% | 2.06% |
| 3M | 1.46% | 4.17% |
| 6M | 6.94% | 5.0% |
| YTD | 13.33% | 2.99% |
| 1Y | 14.39% | 7.91% |
| 3Y (ann.) | 14.51% | 7.97% |
| 5Y (ann.) | 14.51% | 7.97% |
| 10Y (ann.) | 14.51% | 7.97% |
| All-time (ann.) | 14.51% | 7.97% |
| Best Day | 2.91% | 1.9% |
| Worst Day | -2.58% | -1.46% |
| Best Month | 10.51% | 5.07% |
| Worst Month | -4.94% | -4.39% |
| Best Year | 13.33% | 4.78% |
| Worst Year | 0.94% | 2.99% |
| Avg. Drawdown | -1.74% | -1.65% |
| Avg. Drawdown Days | 14 | 29 |
| Recovery Factor | 1.61 | 0.9 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.94 | 0.18 |
| Avg. Up Month | 2.6% | 3.02% |
| Avg. Down Month | -2.1% | -3.58% |
| Win Days | 52.0% | 51.03% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.3 |
| Alpha | - | 0.04 |
| Correlation | - | 43.1% |
| Treynor Ratio | - | 26.27% |
| Year | SPY | DHLSX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 4.78 | 5.10 | + |
| 2026 | 13.33 | 2.99 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-12 | 2026-08-27 | -8.93 | 228 |
| 2026-08-31 | 2026-10-30 | -3.91 | 61 |
| 2025-11-13 | 2025-11-24 | -1.70 | 12 |
| 2025-12-12 | 2025-12-19 | -0.97 | 8 |
| 2026-11-03 | 2026-11-03 | -0.71 | 1 |
| 2026-01-07 | 2026-01-08 | -0.66 | 2 |
| 2025-12-08 | 2025-12-09 | -0.44 | 2 |
| 2025-12-31 | 2026-01-02 | -0.44 | 3 |
| 2025-11-06 | 2025-11-07 | -0.19 | 2 |
| 2025-12-29 | 2025-12-29 | -0.12 | 1 |