| Metric | SPY | DSEEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 14.39% | 5.58% |
| CAGR﹪ | 14.51% | 5.63% |
| Sharpe | 0.83 | 0.21 |
| Prob. Sharpe Ratio | 79.61% | 58.11% |
| Smart Sharpe | 0.82 | 0.19 |
| Sortino | 1.22 | 0.3 |
| Smart Sortino | 1.2 | 0.29 |
| Sortino/√2 | 0.86 | 0.22 |
| Smart Sortino/√2 | 0.85 | 0.2 |
| Omega | 1.2 | 1.08 |
| Max Drawdown | -8.88% | -10.8% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-08-21 |
| Longest DD Days | 76 | 173 |
| Volatility (ann.) | 12.86% | 12.77% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.63 | 0.52 |
| Skew | -0.02 | 0.25 |
| Kurtosis | 0.78 | 0.88 |
| Ulcer Performance Index | 6.68 | 1.4 |
| Risk-Adjusted Return | 14.51% | 5.8% |
| Risk-Return Ratio | 0.07 | 0.03 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.78% | 0.69% |
| Avg. Loss | -0.64% | -0.71% |
| Win/Loss Ratio | 1.22 | 0.98 |
| Profit Ratio | 1.02 | 0.95 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.04% | 0.42% |
| Expected Yearly | 6.95% | 2.75% |
| Kelly Criterion | 12.72% | -1.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.3% |
| Expected Shortfall (cVaR) | -1.66% | -1.73% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.08 |
| Gain/Pain (1M) | 1.83 | 0.35 |
| Payoff Ratio | 1.22 | 0.98 |
| Profit Factor | 1.2 | 1.08 |
| Common Sense Ratio | 1.19 | 1.29 |
| CPC Index | 0.76 | 0.53 |
| Tail Ratio | 0.99 | 1.19 |
| Outlier Win Ratio | 2.84 | 3.16 |
| Outlier Loss Ratio | 3.01 | 3.02 |
| MTD | 1.47% | 3.45% |
| 3M | 1.46% | 0.19% |
| 6M | 6.94% | 1.61% |
| YTD | 13.33% | 1.9% |
| 1Y | 14.39% | 5.58% |
| 3Y (ann.) | 14.51% | 5.63% |
| 5Y (ann.) | 14.51% | 5.63% |
| 10Y (ann.) | 14.51% | 5.63% |
| All-time (ann.) | 14.51% | 5.63% |
| Best Day | 2.91% | 3.04% |
| Worst Day | -2.58% | -2.48% |
| Best Month | 10.51% | 5.49% |
| Worst Month | -4.94% | -8.07% |
| Best Year | 13.33% | 3.61% |
| Worst Year | 0.94% | 1.9% |
| Avg. Drawdown | -1.74% | -2.98% |
| Avg. Drawdown Days | 14 | 32 |
| Recovery Factor | 1.61 | 0.58 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.94 | 0.15 |
| Avg. Up Month | 2.84% | 2.88% |
| Avg. Down Month | -2.63% | -7.72% |
| Win Days | 52.0% | 49.79% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.46 |
| Alpha | - | -0.0 |
| Correlation | - | 46.43% |
| Treynor Ratio | - | 12.11% |
| Year | SPY | DSEEX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 3.61 | 3.85 | + |
| 2026 | 13.33 | 1.90 | 0.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-08-21 | -10.80 | 173 |
| 2026-08-25 | 2026-11-04 | -9.50 | 72 |
| 2025-12-01 | 2025-12-23 | -1.86 | 23 |
| 2025-11-13 | 2025-11-20 | -1.70 | 8 |
| 2026-01-16 | 2026-01-21 | -1.48 | 6 |
| 2025-12-26 | 2026-01-08 | -1.31 | 14 |
| 2026-02-09 | 2026-02-26 | -1.28 | 18 |
| 2026-01-27 | 2026-02-03 | -1.04 | 8 |
| 2026-02-05 | 2026-02-05 | -0.55 | 1 |
| 2025-11-06 | 2025-11-06 | -0.32 | 1 |