| Metric | SPY | DLEUX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 18.6% | 7.29% |
| CAGR﹪ | 40.67% | 15.11% |
| Sharpe | 2.32 | 0.82 |
| Prob. Sharpe Ratio | 95.04% | 72.04% |
| Smart Sharpe | 2.3 | 0.81 |
| Sortino | 3.78 | 1.29 |
| Smart Sortino | 3.75 | 1.28 |
| Sortino/√2 | 2.67 | 0.91 |
| Smart Sortino/√2 | 2.65 | 0.91 |
| Omega | 1.54 | 1.2 |
| Max Drawdown | -4.49% | -7.27% |
| Max DD Date | 2026-06-10 | 2026-09-18 |
| Max DD Period Start | 2026-06-03 | 2026-08-26 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 62 |
| Volatility (ann.) | 13.55% | 13.99% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 9.05 | 2.08 |
| Skew | 0.1 | 0.51 |
| Kurtosis | 1.12 | 1.12 |
| Ulcer Performance Index | 11.86 | 2.58 |
| Risk-Adjusted Return | 40.67% | 15.74% |
| Risk-Return Ratio | 0.16 | 0.07 |
| Avg. Return | 0.1% | 0.06% |
| Avg. Win | 0.84% | 0.72% |
| Avg. Loss | -0.57% | -0.71% |
| Win/Loss Ratio | 1.48 | 1.02 |
| Profit Ratio | 1.12 | 0.77 |
| Expected Daily | 0.14% | 0.06% |
| Expected Monthly | 2.47% | 1.01% |
| Expected Yearly | 18.6% | 7.29% |
| Kelly Criterion | 22.97% | 7.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.39% |
| Expected Shortfall (cVaR) | -1.77% | -1.72% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.54 | 0.2 |
| Gain/Pain (1M) | 10.92 | 0.79 |
| Payoff Ratio | 1.48 | 1.02 |
| Profit Factor | 1.54 | 1.2 |
| Common Sense Ratio | 2.01 | 1.37 |
| CPC Index | 1.23 | 0.66 |
| Tail Ratio | 1.3 | 1.14 |
| Outlier Win Ratio | 3.21 | 4.18 |
| Outlier Loss Ratio | 3.16 | 2.68 |
| MTD | 1.08% | -5.0% |
| 3M | 3.82% | 0.44% |
| 6M | 18.6% | 7.29% |
| YTD | 18.6% | 7.29% |
| 1Y | 18.6% | 7.29% |
| 3Y (ann.) | 40.67% | 15.11% |
| 5Y (ann.) | 40.67% | 15.11% |
| 10Y (ann.) | 40.67% | 15.11% |
| All-time (ann.) | 40.67% | 15.11% |
| Best Day | 2.91% | 2.94% |
| Worst Day | -2.58% | -1.83% |
| Best Month | 10.51% | 5.2% |
| Worst Month | -1.03% | -5.0% |
| Best Year | 18.6% | 7.29% |
| Worst Year | 18.6% | 7.29% |
| Avg. Drawdown | -1.13% | -2.54% |
| Avg. Drawdown Days | 9 | 15 |
| Recovery Factor | 3.9 | 1.03 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 2.75 | 0.39 |
| Avg. Up Month | 5.27% | 4.34% |
| Avg. Down Month | -1.03% | -3.66% |
| Win Days | 53.97% | 53.33% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.27 |
| Alpha | - | 0.05 |
| Correlation | - | 26.49% |
| Treynor Ratio | - | 26.65% |
| Year | SPY | DLEUX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 7.29 | 0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 2026-08-10 | 2026-08-24 | -3.45 | 15 |
| 2026-05-07 | 2026-05-20 | -2.14 | 14 |
| 2026-07-31 | 2026-08-06 | -0.94 | 7 |
| 2026-04-15 | 2026-04-16 | -0.92 | 2 |
| 2026-03-26 | 2026-03-27 | -0.42 | 2 |
| 2026-04-07 | 2026-04-07 | -0.21 | 1 |
| 2026-05-22 | 2026-05-22 | -0.06 | 1 |