| Metric | SPY | DHLSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 86.58% | 37.63% |
| CAGR﹪ | 13.36% | 6.63% |
| Sharpe | 0.59 | 0.3 |
| Prob. Sharpe Ratio | 90.85% | 74.83% |
| Smart Sharpe | 0.58 | 0.3 |
| Sortino | 0.86 | 0.43 |
| Smart Sortino | 0.83 | 0.42 |
| Sortino/√2 | 0.61 | 0.3 |
| Smart Sortino/√2 | 0.59 | 0.3 |
| Omega | 1.16 | 1.12 |
| Max Drawdown | -24.5% | -16.78% |
| Max DD Date | 2022-10-12 | 2022-09-30 |
| Max DD Period Start | 2022-01-04 | 2022-02-03 |
| Max DD Period End | 2023-12-12 | 2024-01-04 |
| Longest DD Days | 708 | 701 |
| Volatility (ann.) | 17.2% | 10.64% |
| R^2 | 0.68 | 0.68 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.4 |
| Skew | 0.32 | 0.01 |
| Kurtosis | 8.95 | 4.55 |
| Ulcer Performance Index | 10.24 | 6.41 |
| Risk-Adjusted Return | 13.36% | 6.84% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.88% | 0.54% |
| Avg. Loss | -0.92% | -0.58% |
| Win/Loss Ratio | 0.96 | 0.94 |
| Profit Ratio | 0.83 | 0.76 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.03% | 0.52% |
| Expected Yearly | 10.95% | 5.47% |
| Kelly Criterion | 5.96% | 3.66% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.07% |
| Expected Shortfall (cVaR) | -2.58% | -1.58% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.12 |
| Gain/Pain (1M) | 0.87 | 0.6 |
| Payoff Ratio | 0.96 | 0.94 |
| Profit Factor | 1.16 | 1.12 |
| Common Sense Ratio | 1.17 | 1.09 |
| CPC Index | 0.6 | 0.56 |
| Tail Ratio | 1.01 | 0.97 |
| Outlier Win Ratio | 3.41 | 3.53 |
| Outlier Loss Ratio | 3.77 | 3.74 |
| MTD | 1.08% | -2.34% |
| 3M | 3.82% | 5.59% |
| 6M | 19.85% | 2.96% |
| YTD | 14.3% | -1.45% |
| 1Y | 17.78% | 3.97% |
| 3Y (ann.) | 24.86% | 12.16% |
| 5Y (ann.) | 13.06% | 6.15% |
| 10Y (ann.) | 13.36% | 6.63% |
| All-time (ann.) | 13.36% | 6.63% |
| Best Day | 10.5% | 5.02% |
| Worst Day | -5.85% | -3.73% |
| Best Month | 10.51% | 6.69% |
| Worst Month | -9.24% | -7.44% |
| Best Year | 26.18% | 19.1% |
| Worst Year | -18.18% | -8.45% |
| Avg. Drawdown | -1.89% | -1.51% |
| Avg. Drawdown Days | 20 | 28 |
| Recovery Factor | 2.85 | 2.07 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 0.47 | 0.32 |
| Avg. Up Month | 4.12% | 2.75% |
| Avg. Down Month | -3.75% | -2.38% |
| Win Days | 54.04% | 53.26% |
| Win Month | 63.93% | 57.38% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.51 |
| Alpha | - | -0.0 |
| Correlation | - | 82.38% |
| Treynor Ratio | - | 73.84% |
| Year | SPY | DHLSX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 3.34 | 0.44 | - |
| 2022 | -18.18 | -8.45 | 0.47 | + |
| 2023 | 26.18 | 12.40 | 0.47 | - |
| 2024 | 24.89 | 10.26 | 0.41 | - |
| 2025 | 17.72 | 19.10 | 1.08 | + |
| 2026 | 14.30 | -1.45 | -0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-03 | 2024-01-04 | -16.78 | 701 |
| 2026-01-12 | 2026-08-27 | -8.93 | 228 |
| 2025-01-27 | 2025-05-12 | -8.56 | 106 |
| 2024-07-11 | 2024-10-16 | -4.58 | 98 |
| 2021-11-09 | 2021-12-23 | -4.42 | 45 |
| 2022-01-18 | 2022-02-01 | -3.47 | 15 |
| 2024-10-21 | 2025-01-15 | -3.25 | 87 |
| 2026-08-31 | 2026-09-22 | -2.83 | 23 |
| 2024-04-10 | 2024-05-08 | -2.40 | 29 |
| 2024-05-20 | 2024-06-21 | -2.01 | 33 |