| Metric | SPY | DSEEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 70.69% | 16.06% |
| CAGR﹪ | 11.36% | 3.04% |
| Sharpe | 0.49 | 0.07 |
| Prob. Sharpe Ratio | 86.25% | 56.03% |
| Smart Sharpe | 0.47 | 0.06 |
| Sortino | 0.7 | 0.1 |
| Smart Sortino | 0.68 | 0.08 |
| Sortino/√2 | 0.5 | 0.07 |
| Smart Sortino/√2 | 0.48 | 0.06 |
| Omega | 1.14 | 1.05 |
| Max Drawdown | -26.35% | -42.9% |
| Max DD Date | 2022-10-12 | 2022-10-14 |
| Max DD Period Start | 2022-01-04 | 2021-12-08 |
| Max DD Period End | 2023-12-18 | 2026-08-21 |
| Longest DD Days | 714 | 1718 |
| Volatility (ann.) | 17.16% | 21.6% |
| R^2 | 0.47 | 0.47 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.43 | 0.07 |
| Skew | 0.33 | 0.79 |
| Kurtosis | 9.05 | 94.77 |
| Ulcer Performance Index | 7.55 | 0.74 |
| Risk-Adjusted Return | 11.36% | 3.14% |
| Risk-Return Ratio | 0.04 | 0.02 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.89% | 0.91% |
| Avg. Loss | -0.89% | -0.92% |
| Win/Loss Ratio | 1.0 | 0.99 |
| Profit Ratio | 0.86 | 0.82 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.88% | 0.24% |
| Expected Yearly | 9.32% | 2.51% |
| Kelly Criterion | 6.76% | 2.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.22% |
| Expected Shortfall (cVaR) | -2.58% | -3.6% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 11 |
| Gain/Pain Ratio | 0.14 | 0.05 |
| Gain/Pain (1M) | 0.74 | 0.24 |
| Payoff Ratio | 1.0 | 0.99 |
| Profit Factor | 1.14 | 1.05 |
| Common Sense Ratio | 1.13 | 1.02 |
| CPC Index | 0.61 | 0.54 |
| Tail Ratio | 1.0 | 0.97 |
| Outlier Win Ratio | 3.42 | 3.58 |
| Outlier Loss Ratio | 3.8 | 3.62 |
| MTD | 1.47% | 3.45% |
| 3M | 1.46% | 0.19% |
| 6M | 6.94% | 1.61% |
| YTD | 13.33% | 1.9% |
| 1Y | 13.43% | 5.65% |
| 3Y (ann.) | 20.78% | 10.03% |
| 5Y (ann.) | 12.3% | 4.07% |
| 10Y (ann.) | 11.36% | 3.04% |
| All-time (ann.) | 11.36% | 3.04% |
| Best Day | 10.5% | 22.01% |
| Worst Day | -5.85% | -20.31% |
| Best Month | 10.51% | 12.42% |
| Worst Month | -10.5% | -12.42% |
| Best Year | 26.18% | 27.01% |
| Worst Year | -20.18% | -24.86% |
| Avg. Drawdown | -1.98% | -19.48% |
| Avg. Drawdown Days | 21 | 606 |
| Recovery Factor | 2.31 | 0.62 |
| Ulcer Index | 0.09 | 0.22 |
| Serenity Index | 0.34 | 0.04 |
| Avg. Up Month | 4.23% | 4.06% |
| Avg. Down Month | -4.18% | -5.29% |
| Win Days | 53.44% | 51.25% |
| Win Month | 62.3% | 57.38% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.87 |
| Alpha | - | -0.05 |
| Correlation | - | 68.81% |
| Treynor Ratio | - | 18.54% |
| Year | SPY | DSEEX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -3.40 | -1.97 | - |
| 2022 | -20.18 | -24.86 | 1.23 | - |
| 2023 | 26.18 | 27.01 | 1.03 | + |
| 2024 | 24.89 | 12.84 | 0.52 | - |
| 2025 | 17.72 | 9.48 | 0.54 | - |
| 2026 | 13.33 | 1.90 | 0.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-08 | 2026-08-21 | -42.90 | 1718 |
| 2026-08-25 | 2026-11-04 | -9.50 | 72 |
| 2021-11-09 | 2021-12-06 | -6.05 | 28 |