| Metric | SPY | DSEEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 17.87% | -3.02% |
| CAGR﹪ | 18.02% | -3.04% |
| Sharpe | 1.04 | -0.52 |
| Prob. Sharpe Ratio | 84.73% | 30.31% |
| Smart Sharpe | 1.01 | -0.52 |
| Sortino | 1.51 | -0.73 |
| Smart Sortino | 1.47 | -0.73 |
| Sortino/√2 | 1.07 | -0.52 |
| Smart Sortino/√2 | 1.04 | -0.51 |
| Omega | 1.25 | 0.97 |
| 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.) | 12.99% | 12.17% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 2.03 | -0.28 |
| Skew | -0.15 | 0.08 |
| Kurtosis | 1.05 | 0.69 |
| Ulcer Performance Index | 8.3 | -0.9 |
| Risk-Adjusted Return | 18.02% | -3.17% |
| Risk-Return Ratio | 0.08 | -0.01 |
| Avg. Return | 0.08% | -0.01% |
| Avg. Win | 0.78% | 0.65% |
| Avg. Loss | -0.67% | -0.67% |
| Win/Loss Ratio | 1.16 | 0.96 |
| Profit Ratio | 0.94 | 1.0 |
| Expected Daily | 0.07% | -0.01% |
| Expected Monthly | 1.27% | -0.24% |
| Expected Yearly | 8.57% | -1.52% |
| Kelly Criterion | 13.63% | -6.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.27% |
| Expected Shortfall (cVaR) | -1.72% | -1.72% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | -0.03 |
| Gain/Pain (1M) | 2.6 | -0.13 |
| Payoff Ratio | 1.16 | 0.96 |
| Profit Factor | 1.25 | 0.97 |
| Common Sense Ratio | 1.24 | 1.14 |
| CPC Index | 0.78 | 0.44 |
| Tail Ratio | 0.99 | 1.18 |
| Outlier Win Ratio | 2.88 | 2.93 |
| Outlier Loss Ratio | 3.19 | 3.14 |
| MTD | 1.08% | -3.96% |
| 3M | 3.82% | -0.45% |
| 6M | 19.85% | 3.23% |
| YTD | 14.3% | -2.57% |
| 1Y | 17.87% | -3.02% |
| 3Y (ann.) | 18.02% | -3.04% |
| 5Y (ann.) | 18.02% | -3.04% |
| 10Y (ann.) | 18.02% | -3.04% |
| All-time (ann.) | 18.02% | -3.04% |
| Best Day | 2.91% | 2.5% |
| Worst Day | -2.7% | -2.48% |
| Best Month | 10.51% | 5.49% |
| Worst Month | -4.94% | -8.07% |
| Best Year | 14.3% | -0.46% |
| Worst Year | 3.13% | -2.57% |
| Avg. Drawdown | -1.71% | -3.23% |
| Avg. Drawdown Days | 13 | 33 |
| Recovery Factor | 1.94 | 0.22 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.16 | -0.07 |
| Avg. Up Month | 2.98% | 2.64% |
| Avg. Down Month | -4.94% | -8.07% |
| Win Days | 53.6% | 47.5% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 20.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.48 |
| Alpha | - | -0.11 |
| Correlation | - | 50.96% |
| Treynor Ratio | - | -6.32% |
| Year | SPY | DSEEX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -0.46 | -0.15 | - |
| 2026 | 14.30 | -2.57 | -0.18 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-08-21 | -10.80 | 173 |
| 2026-08-25 | 2026-09-22 | -6.67 | 29 |
| 2025-10-28 | 2025-11-26 | -4.34 | 30 |
| 2025-09-24 | 2025-10-24 | -2.98 | 31 |
| 2025-12-01 | 2025-12-23 | -1.86 | 23 |
| 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 |