| Metric | SPY | DLEUX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 70.69% | 37.43% |
| CAGR﹪ | 11.36% | 6.61% |
| Sharpe | 0.49 | 0.23 |
| Prob. Sharpe Ratio | 86.25% | 69.96% |
| Smart Sharpe | 0.47 | 0.23 |
| Sortino | 0.7 | 0.34 |
| Smart Sortino | 0.68 | 0.33 |
| Sortino/√2 | 0.5 | 0.24 |
| Smart Sortino/√2 | 0.48 | 0.23 |
| Omega | 1.14 | 1.08 |
| Max Drawdown | -26.35% | -32.64% |
| Max DD Date | 2022-10-12 | 2022-10-12 |
| Max DD Period Start | 2022-01-04 | 2022-01-13 |
| Max DD Period End | 2023-12-18 | 2024-08-22 |
| Longest DD Days | 714 | 953 |
| Volatility (ann.) | 17.16% | 16.84% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.43 | 0.2 |
| Skew | 0.33 | 0.01 |
| Kurtosis | 9.05 | 3.32 |
| Ulcer Performance Index | 7.55 | 3.36 |
| Risk-Adjusted Return | 11.36% | 6.88% |
| Risk-Return Ratio | 0.04 | 0.03 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.85% | 0.87% |
| Avg. Loss | -0.85% | -0.93% |
| Win/Loss Ratio | 1.0 | 0.93 |
| Profit Ratio | 0.86 | 0.78 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.88% | 0.52% |
| Expected Yearly | 9.32% | 5.44% |
| Kelly Criterion | 6.94% | 0.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.71% |
| Expected Shortfall (cVaR) | -2.58% | -2.46% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 10 |
| Gain/Pain Ratio | 0.14 | 0.08 |
| Gain/Pain (1M) | 0.74 | 0.36 |
| Payoff Ratio | 1.0 | 0.93 |
| Profit Factor | 1.14 | 1.08 |
| Common Sense Ratio | 1.13 | 1.08 |
| CPC Index | 0.61 | 0.53 |
| Tail Ratio | 1.0 | 1.0 |
| Outlier Win Ratio | 3.42 | 3.59 |
| Outlier Loss Ratio | 3.8 | 3.38 |
| MTD | 1.47% | 3.06% |
| 3M | 1.46% | 1.14% |
| 6M | 6.94% | 5.7% |
| YTD | 13.33% | 17.98% |
| 1Y | 13.43% | 23.27% |
| 3Y (ann.) | 20.78% | 15.61% |
| 5Y (ann.) | 12.3% | 8.04% |
| 10Y (ann.) | 11.36% | 6.61% |
| All-time (ann.) | 11.36% | 6.61% |
| Best Day | 10.5% | 5.76% |
| Worst Day | -5.85% | -5.49% |
| Best Month | 10.51% | 12.49% |
| Worst Month | -10.5% | -11.22% |
| Best Year | 26.18% | 28.95% |
| Worst Year | -20.18% | -18.74% |
| Avg. Drawdown | -1.98% | -3.25% |
| Avg. Drawdown Days | 21 | 45 |
| Recovery Factor | 2.31 | 1.19 |
| Ulcer Index | 0.09 | 0.11 |
| Serenity Index | 0.34 | 0.15 |
| Avg. Up Month | 4.06% | 4.43% |
| Avg. Down Month | -4.11% | -4.94% |
| Win Days | 53.44% | 52.17% |
| Win Month | 62.3% | 55.74% |
| Win Quarter | 71.43% | 61.9% |
| Win Year | 83.33% | 50.0% |
| Beta | - | 0.37 |
| Alpha | - | 0.03 |
| Correlation | - | 37.65% |
| Treynor Ratio | - | 101.34% |
| Year | SPY | DLEUX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.95 | -0.55 | - |
| 2022 | -20.18 | -18.74 | 0.93 | + |
| 2023 | 26.18 | 16.80 | 0.64 | - |
| 2024 | 24.89 | -3.90 | -0.16 | - |
| 2025 | 17.72 | 28.95 | 1.63 | + |
| 2026 | 13.33 | 17.98 | 1.35 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-13 | 2024-08-22 | -32.64 | 953 |
| 2024-09-30 | 2025-08-21 | -17.95 | 326 |
| 2026-08-26 | 2026-11-04 | -11.12 | 71 |
| 2026-03-02 | 2026-04-09 | -7.38 | 39 |
| 2021-11-10 | 2022-01-04 | -6.55 | 56 |
| 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 |