| Metric | SPY | DHLSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 17.87% | 4.14% |
| CAGR﹪ | 18.02% | 4.18% |
| Sharpe | 1.04 | 0.06 |
| Prob. Sharpe Ratio | 84.73% | 52.29% |
| Smart Sharpe | 1.01 | 0.06 |
| Sortino | 1.51 | 0.08 |
| Smart Sortino | 1.47 | 0.08 |
| Sortino/√2 | 1.07 | 0.06 |
| Smart Sortino/√2 | 1.04 | 0.06 |
| Omega | 1.25 | 1.08 |
| 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.) | 12.99% | 8.68% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.03 | 0.47 |
| Skew | -0.15 | -0.0 |
| Kurtosis | 1.05 | -0.05 |
| Ulcer Performance Index | 8.3 | 1.24 |
| Risk-Adjusted Return | 18.02% | 4.3% |
| Risk-Return Ratio | 0.08 | 0.03 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.73% | 0.43% |
| Avg. Loss | -0.71% | -0.46% |
| Win/Loss Ratio | 1.03 | 0.93 |
| Profit Ratio | 0.94 | 0.79 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.27% | 0.31% |
| Expected Yearly | 8.57% | 2.05% |
| Kelly Criterion | 8.38% | 1.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.88% |
| Expected Shortfall (cVaR) | -1.72% | -1.1% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.08 |
| Gain/Pain (1M) | 2.6 | 0.36 |
| Payoff Ratio | 1.03 | 0.93 |
| Profit Factor | 1.25 | 1.08 |
| Common Sense Ratio | 1.24 | 1.17 |
| CPC Index | 0.69 | 0.53 |
| Tail Ratio | 0.99 | 1.08 |
| Outlier Win Ratio | 2.88 | 3.07 |
| Outlier Loss Ratio | 3.19 | 2.7 |
| MTD | 1.08% | -2.34% |
| 3M | 3.82% | 5.59% |
| 6M | 19.85% | 2.96% |
| YTD | 14.3% | -1.45% |
| 1Y | 17.87% | 4.14% |
| 3Y (ann.) | 18.02% | 4.18% |
| 5Y (ann.) | 18.02% | 4.18% |
| 10Y (ann.) | 18.02% | 4.18% |
| All-time (ann.) | 18.02% | 4.18% |
| Best Day | 2.91% | 1.44% |
| Worst Day | -2.7% | -1.46% |
| Best Month | 10.51% | 5.07% |
| Worst Month | -4.94% | -4.39% |
| Best Year | 14.3% | 5.67% |
| Worst Year | 3.13% | -1.45% |
| Avg. Drawdown | -1.71% | -1.53% |
| Avg. Drawdown Days | 13 | 24 |
| Recovery Factor | 1.94 | 0.5 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.16 | 0.1 |
| Avg. Up Month | 2.33% | 2.41% |
| Avg. Down Month | -2.98% | -3.72% |
| Win Days | 53.6% | 52.48% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.32 |
| Alpha | - | -0.01 |
| Correlation | - | 48.55% |
| Treynor Ratio | - | 12.77% |
| Year | SPY | DHLSX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 5.67 | 1.81 | + |
| 2026 | 14.30 | -1.45 | -0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-12 | 2026-08-27 | -8.93 | 228 |
| 2026-08-31 | 2026-09-22 | -2.83 | 23 |
| 2025-10-07 | 2025-10-30 | -1.71 | 24 |
| 2025-11-13 | 2025-11-24 | -1.70 | 12 |
| 2025-11-04 | 2025-11-10 | -1.03 | 7 |
| 2025-12-12 | 2025-12-19 | -0.97 | 8 |
| 2025-09-25 | 2025-09-26 | -0.75 | 2 |
| 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 |