| Metric | SPY | DLEUX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 200.03% | 88.51% |
| CAGR﹪ | 16.3% | 9.1% |
| Sharpe | 0.72 | 0.41 |
| Prob. Sharpe Ratio | 97.33% | 86.27% |
| Smart Sharpe | 0.62 | 0.39 |
| Sortino | 1.02 | 0.56 |
| Smart Sortino | 0.88 | 0.54 |
| Sortino/√2 | 0.72 | 0.4 |
| Smart Sortino/√2 | 0.62 | 0.38 |
| Omega | 1.18 | 1.11 |
| 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.) | 19.54% | 18.41% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.48 | 0.25 |
| Skew | -0.29 | -0.81 |
| Kurtosis | 13.9 | 10.19 |
| Ulcer Performance Index | 23.16 | 8.24 |
| Risk-Adjusted Return | 16.3% | 9.48% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.9% | 0.9% |
| Avg. Loss | -0.95% | -1.01% |
| Win/Loss Ratio | 0.94 | 0.89 |
| Profit Ratio | 0.77 | 0.72 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.26% | 0.72% |
| Expected Yearly | 14.72% | 8.25% |
| Kelly Criterion | 7.7% | 1.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.87% |
| Expected Shortfall (cVaR) | -3.2% | -3.11% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 10 |
| Gain/Pain Ratio | 0.18 | 0.11 |
| Gain/Pain (1M) | 1.12 | 0.51 |
| Payoff Ratio | 0.94 | 0.89 |
| Profit Factor | 1.18 | 1.11 |
| Common Sense Ratio | 1.13 | 1.12 |
| CPC Index | 0.61 | 0.53 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.7 | 3.85 |
| Outlier Loss Ratio | 4.1 | 3.96 |
| MTD | 1.08% | -5.0% |
| 3M | 3.82% | 0.44% |
| 6M | 19.85% | 7.06% |
| YTD | 14.3% | 10.78% |
| 1Y | 17.78% | 18.93% |
| 3Y (ann.) | 24.86% | 17.89% |
| 5Y (ann.) | 12.49% | 5.8% |
| 10Y (ann.) | 16.3% | 9.1% |
| All-time (ann.) | 16.3% | 9.1% |
| 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 | -1.81% | -2.8% |
| Avg. Drawdown Days | 16 | 36 |
| Recovery Factor | 3.67 | 2.09 |
| Ulcer Index | 0.09 | 0.11 |
| Serenity Index | 0.87 | 0.32 |
| Avg. Up Month | 4.39% | 4.61% |
| Avg. Down Month | -4.23% | -4.8% |
| Win Days | 55.24% | 53.52% |
| Win Month | 67.05% | 56.82% |
| Win Quarter | 76.67% | 66.67% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.46 |
| Alpha | - | 0.03 |
| Correlation | - | 49.24% |
| Treynor Ratio | - | 190.82% |
| 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 | 14.30 | 10.78 | 0.75 | - |
| 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 |
| 2026-03-02 | 2026-04-09 | -7.38 | 39 |
| 2026-08-26 | 2026-09-22 | -7.27 | 28 |
| 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 |