| Metric | SPY | DLEUX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 197.48% | 100.76% |
| CAGR﹪ | 15.87% | 9.88% |
| Sharpe | 0.71 | 0.45 |
| Prob. Sharpe Ratio | 97.17% | 88.59% |
| Smart Sharpe | 0.61 | 0.43 |
| Sortino | 1.0 | 0.62 |
| Smart Sortino | 0.86 | 0.59 |
| Sortino/√2 | 0.7 | 0.44 |
| Smart Sortino/√2 | 0.61 | 0.42 |
| Omega | 1.18 | 1.12 |
| Max Drawdown | -33.72% | -36.3% |
| Max DD Date | 2020-03-23 | 2020-03-20 |
| Max DD Period Start | 2020-02-20 | 2020-01-21 |
| Max DD Period End | 2020-08-07 | 2020-11-09 |
| Longest DD Days | 714 | 1164 |
| Volatility (ann.) | 19.43% | 18.39% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.47 | 0.27 |
| Skew | -0.29 | -0.79 |
| Kurtosis | 13.99 | 10.09 |
| Ulcer Performance Index | 23.05 | 9.42 |
| Risk-Adjusted Return | 15.87% | 10.29% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.89% | 0.9% |
| Avg. Loss | -0.94% | -1.0% |
| Win/Loss Ratio | 0.95 | 0.89 |
| Profit Ratio | 0.78 | 0.72 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.22% | 0.78% |
| Expected Yearly | 14.6% | 9.1% |
| Kelly Criterion | 7.69% | 1.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.86% |
| Expected Shortfall (cVaR) | -3.2% | -3.09% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 10 |
| Gain/Pain Ratio | 0.18 | 0.12 |
| Gain/Pain (1M) | 1.1 | 0.54 |
| Payoff Ratio | 0.95 | 0.89 |
| Profit Factor | 1.18 | 1.12 |
| Common Sense Ratio | 1.13 | 1.15 |
| CPC Index | 0.61 | 0.53 |
| Tail Ratio | 0.96 | 1.03 |
| Outlier Win Ratio | 3.7 | 3.87 |
| Outlier Loss Ratio | 4.12 | 3.92 |
| 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.) | 15.87% | 9.88% |
| All-time (ann.) | 15.87% | 9.88% |
| Best Day | 10.5% | 5.89% |
| Worst Day | -10.94% | -12.29% |
| Best Month | 12.7% | 18.06% |
| Worst Month | -12.49% | -19.66% |
| Best Year | 28.73% | 28.95% |
| Worst Year | -20.18% | -18.74% |
| Avg. Drawdown | -1.82% | -2.82% |
| Avg. Drawdown Days | 16 | 36 |
| Recovery Factor | 3.65 | 2.27 |
| Ulcer Index | 0.09 | 0.11 |
| Serenity Index | 0.87 | 0.35 |
| Avg. Up Month | 4.32% | 4.57% |
| Avg. Down Month | -4.08% | -4.93% |
| Win Days | 55.13% | 53.55% |
| Win Month | 65.56% | 57.78% |
| Win Quarter | 77.42% | 67.74% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.46 |
| Alpha | - | 0.03 |
| Correlation | - | 48.75% |
| Treynor Ratio | - | 218.45% |
| Year | SPY | DLEUX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 10.84 | 0.66 | - |
| 2020 | 18.33 | 10.53 | 0.57 | - |
| 2021 | 28.73 | 18.10 | 0.63 | - |
| 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 |
|---|---|---|---|
| 2020-01-21 | 2020-11-09 | -36.30 | 294 |
| 2021-06-16 | 2024-08-22 | -32.78 | 1164 |
| 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 |
| 2019-07-05 | 2019-10-29 | -5.85 | 117 |
| 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 |