| Metric | SPY | DLEUX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 17.87% | 17.83% |
| CAGR﹪ | 18.02% | 17.99% |
| Sharpe | 1.04 | 1.0 |
| Prob. Sharpe Ratio | 84.73% | 83.99% |
| Smart Sharpe | 1.01 | 0.92 |
| Sortino | 1.51 | 1.5 |
| Smart Sortino | 1.47 | 1.38 |
| Sortino/√2 | 1.07 | 1.06 |
| Smart Sortino/√2 | 1.04 | 0.98 |
| Omega | 1.25 | 1.24 |
| Max Drawdown | -8.88% | -7.38% |
| Max DD Date | 2026-03-30 | 2026-03-23 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-04-09 |
| Longest DD Days | 76 | 62 |
| Volatility (ann.) | 12.99% | 13.56% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 2.03 | 2.44 |
| Skew | -0.15 | 0.12 |
| Kurtosis | 1.05 | 0.77 |
| Ulcer Performance Index | 8.3 | 6.57 |
| Risk-Adjusted Return | 18.02% | 18.94% |
| Risk-Return Ratio | 0.08 | 0.08 |
| Avg. Return | 0.04% | 0.07% |
| Avg. Win | 0.7% | 0.71% |
| Avg. Loss | -0.64% | -0.77% |
| Win/Loss Ratio | 1.1 | 0.93 |
| Profit Ratio | 0.94 | 0.67 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.27% | 1.27% |
| Expected Yearly | 8.57% | 8.55% |
| Kelly Criterion | 11.34% | 7.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.34% |
| Expected Shortfall (cVaR) | -1.72% | -1.7% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.24 |
| Gain/Pain (1M) | 2.6 | 1.32 |
| Payoff Ratio | 1.1 | 0.93 |
| Profit Factor | 1.25 | 1.24 |
| Common Sense Ratio | 1.24 | 1.29 |
| CPC Index | 0.73 | 0.64 |
| Tail Ratio | 0.99 | 1.05 |
| Outlier Win Ratio | 2.88 | 3.64 |
| Outlier Loss Ratio | 3.19 | 2.65 |
| MTD | 1.08% | -5.0% |
| 3M | 3.82% | 0.44% |
| 6M | 19.85% | 7.06% |
| YTD | 14.3% | 10.78% |
| 1Y | 17.87% | 17.83% |
| 3Y (ann.) | 18.02% | 17.99% |
| 5Y (ann.) | 18.02% | 17.99% |
| 10Y (ann.) | 18.02% | 17.99% |
| All-time (ann.) | 18.02% | 17.99% |
| Best Day | 2.91% | 2.94% |
| Worst Day | -2.7% | -2.63% |
| Best Month | 10.51% | 6.81% |
| Worst Month | -4.94% | -5.0% |
| Best Year | 14.3% | 10.78% |
| Worst Year | 3.13% | 6.36% |
| Avg. Drawdown | -1.71% | -2.16% |
| Avg. Drawdown Days | 13 | 12 |
| Recovery Factor | 1.94 | 2.35 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.16 | 0.92 |
| Avg. Up Month | 2.85% | 3.39% |
| Avg. Down Month | -2.98% | -3.64% |
| Win Days | 53.6% | 55.27% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.35 |
| Alpha | - | 0.11 |
| Correlation | - | 33.5% |
| Treynor Ratio | - | 51.03% |
| Year | SPY | DLEUX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 6.36 | 2.04 | + |
| 2026 | 14.30 | 10.78 | 0.75 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-04-09 | -7.38 | 39 |
| 2026-08-26 | 2026-09-22 | -7.27 | 28 |
| 2026-05-28 | 2026-07-28 | -5.60 | 62 |
| 2026-04-20 | 2026-05-05 | -4.37 | 16 |
| 2025-11-14 | 2025-12-22 | -4.05 | 39 |
| 2026-08-10 | 2026-08-24 | -3.45 | 15 |
| 2025-10-28 | 2025-11-10 | -3.23 | 14 |
| 2025-10-09 | 2025-10-15 | -2.28 | 7 |
| 2026-01-07 | 2026-01-09 | -2.21 | 3 |
| 2025-09-24 | 2025-09-30 | -2.16 | 7 |