| Metric | SPY | DLEUX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 14.39% | 23.09% |
| CAGR﹪ | 14.51% | 23.29% |
| Sharpe | 0.83 | 1.29 |
| Prob. Sharpe Ratio | 79.61% | 90.2% |
| Smart Sharpe | 0.82 | 1.22 |
| Sortino | 1.22 | 2.0 |
| Smart Sortino | 1.2 | 1.9 |
| Sortino/√2 | 0.86 | 1.41 |
| Smart Sortino/√2 | 0.85 | 1.34 |
| Omega | 1.2 | 1.3 |
| Max Drawdown | -8.88% | -11.12% |
| Max DD Date | 2026-03-30 | 2026-10-01 |
| Max DD Period Start | 2026-01-28 | 2026-08-26 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 71 |
| Volatility (ann.) | 12.86% | 14.21% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 1.63 | 2.09 |
| Skew | -0.02 | 0.26 |
| Kurtosis | 0.78 | 1.11 |
| Ulcer Performance Index | 6.68 | 6.09 |
| Risk-Adjusted Return | 14.51% | 24.52% |
| Risk-Return Ratio | 0.07 | 0.1 |
| Avg. Return | 0.04% | 0.09% |
| Avg. Win | 0.72% | 0.74% |
| Avg. Loss | -0.61% | -0.76% |
| Win/Loss Ratio | 1.19 | 0.98 |
| Profit Ratio | 1.02 | 0.66 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 1.04% | 1.61% |
| Expected Yearly | 6.95% | 10.94% |
| Kelly Criterion | 11.55% | 10.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.39% |
| Expected Shortfall (cVaR) | -1.66% | -1.8% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.3 |
| Gain/Pain (1M) | 1.83 | 1.33 |
| Payoff Ratio | 1.19 | 0.98 |
| Profit Factor | 1.2 | 1.3 |
| Common Sense Ratio | 1.19 | 1.46 |
| CPC Index | 0.74 | 0.71 |
| Tail Ratio | 0.99 | 1.13 |
| Outlier Win Ratio | 2.84 | 4.1 |
| Outlier Loss Ratio | 3.01 | 2.68 |
| MTD | 1.47% | 3.06% |
| 3M | 1.46% | 1.14% |
| 6M | 6.94% | 5.7% |
| YTD | 13.33% | 17.98% |
| 1Y | 14.39% | 23.09% |
| 3Y (ann.) | 14.51% | 23.29% |
| 5Y (ann.) | 14.51% | 23.29% |
| 10Y (ann.) | 14.51% | 23.29% |
| All-time (ann.) | 14.51% | 23.29% |
| Best Day | 2.91% | 3.26% |
| Worst Day | -2.58% | -2.63% |
| Best Month | 10.51% | 6.85% |
| Worst Month | -4.94% | -8.12% |
| Best Year | 13.33% | 17.98% |
| Worst Year | 0.94% | 4.32% |
| Avg. Drawdown | -1.74% | -2.62% |
| Avg. Drawdown Days | 14 | 17 |
| Recovery Factor | 1.61 | 1.96 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.94 | 0.57 |
| Avg. Up Month | 2.81% | 3.53% |
| Avg. Down Month | -2.1% | -5.13% |
| Win Days | 52.0% | 55.93% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.31 |
| Alpha | - | 0.17 |
| Correlation | - | 28.31% |
| Treynor Ratio | - | 73.79% |
| Year | SPY | DLEUX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 4.32 | 4.61 | + |
| 2026 | 13.33 | 17.98 | 1.35 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-26 | 2026-11-04 | -11.12 | 71 |
| 2026-03-02 | 2026-04-09 | -7.38 | 39 |
| 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 |
| 2026-01-07 | 2026-01-09 | -2.21 | 3 |
| 2026-05-07 | 2026-05-20 | -2.14 | 14 |
| 2026-02-05 | 2026-02-06 | -1.38 | 2 |
| 2026-01-15 | 2026-01-22 | -1.37 | 8 |