| Metric | SPY | DUBS |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 18.1% |
| CAGR﹪ | 14.51% | 18.26% |
| Sharpe | 0.83 | 1.02 |
| Prob. Sharpe Ratio | 79.61% | 84.44% |
| Smart Sharpe | 0.82 | 1.01 |
| Sortino | 1.22 | 1.49 |
| Smart Sortino | 1.2 | 1.47 |
| Sortino/√2 | 0.86 | 1.06 |
| Smart Sortino/√2 | 0.85 | 1.04 |
| Omega | 1.2 | 1.24 |
| Max Drawdown | -8.88% | -8.29% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-04-10 |
| Longest DD Days | 76 | 59 |
| Volatility (ann.) | 12.86% | 13.72% |
| R^2 | 0.97 | 0.97 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 1.63 | 2.2 |
| Skew | -0.02 | -0.15 |
| Kurtosis | 0.78 | 1.2 |
| Ulcer Performance Index | 6.68 | 9.08 |
| Risk-Adjusted Return | 14.51% | 18.26% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.06% | 0.07% |
| Avg. Win | 0.69% | 0.74% |
| Avg. Loss | -0.64% | -0.66% |
| Win/Loss Ratio | 1.08 | 1.12 |
| Profit Ratio | 1.02 | 0.99 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.04% | 1.29% |
| Expected Yearly | 6.95% | 8.67% |
| Kelly Criterion | 7.43% | 10.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.35% |
| Expected Shortfall (cVaR) | -1.66% | -1.76% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.24 |
| Gain/Pain (1M) | 1.83 | 2.71 |
| Payoff Ratio | 1.08 | 1.12 |
| Profit Factor | 1.2 | 1.24 |
| Common Sense Ratio | 1.19 | 1.24 |
| CPC Index | 0.67 | 0.73 |
| Tail Ratio | 0.99 | 1.0 |
| Outlier Win Ratio | 2.84 | 2.9 |
| Outlier Loss Ratio | 3.01 | 3.08 |
| MTD | 1.47% | 1.77% |
| 3M | 1.46% | 2.4% |
| 6M | 6.94% | 8.69% |
| YTD | 13.33% | 16.5% |
| 1Y | 14.39% | 18.1% |
| 3Y (ann.) | 14.51% | 18.26% |
| 5Y (ann.) | 14.51% | 18.26% |
| 10Y (ann.) | 14.51% | 18.26% |
| All-time (ann.) | 14.51% | 18.26% |
| Best Day | 2.91% | 3.05% |
| Worst Day | -2.58% | -3.19% |
| Best Month | 10.51% | 11.0% |
| Worst Month | -4.94% | -4.29% |
| Best Year | 13.33% | 16.5% |
| Worst Year | 0.94% | 1.38% |
| Avg. Drawdown | -1.74% | -1.84% |
| Avg. Drawdown Days | 14 | 13 |
| Recovery Factor | 1.61 | 2.12 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 1.47 |
| Avg. Up Month | 2.8% | 3.04% |
| Avg. Down Month | -1.61% | -1.37% |
| Win Days | 52.0% | 52.61% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.05 |
| Alpha | - | 0.03 |
| Correlation | - | 98.25% |
| Treynor Ratio | - | 17.27% |
| Year | SPY | DUBS | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.38 | 1.47 | + |
| 2026 | 13.33 | 16.50 | 1.24 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-10 | -8.29 | 44 |
| 2026-06-03 | 2026-07-31 | -4.74 | 59 |
| 2025-11-12 | 2025-12-02 | -4.42 | 21 |
| 2026-10-07 | 2026-11-04 | -3.54 | 29 |
| 2026-01-13 | 2026-01-26 | -2.90 | 14 |
| 2026-08-14 | 2026-09-18 | -2.70 | 36 |
| 2026-01-29 | 2026-02-24 | -2.69 | 27 |
| 2025-12-12 | 2025-12-22 | -2.36 | 11 |
| 2026-05-15 | 2026-05-22 | -1.70 | 8 |
| 2026-09-23 | 2026-10-02 | -1.21 | 10 |