| Metric | SPY | DUBS |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 21.92% |
| CAGR﹪ | 18.02% | 22.11% |
| Sharpe | 1.04 | 1.22 |
| Prob. Sharpe Ratio | 84.73% | 88.49% |
| Smart Sharpe | 1.01 | 1.16 |
| Sortino | 1.51 | 1.78 |
| Smart Sortino | 1.47 | 1.68 |
| Sortino/√2 | 1.07 | 1.26 |
| Smart Sortino/√2 | 1.04 | 1.19 |
| Omega | 1.25 | 1.29 |
| 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.) | 12.99% | 13.92% |
| R^2 | 0.96 | 0.96 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 2.03 | 2.67 |
| Skew | -0.15 | -0.29 |
| Kurtosis | 1.05 | 1.75 |
| Ulcer Performance Index | 8.3 | 11.06 |
| Risk-Adjusted Return | 18.02% | 22.11% |
| Risk-Return Ratio | 0.08 | 0.09 |
| Avg. Return | 0.07% | 0.08% |
| Avg. Win | 0.69% | 0.73% |
| Avg. Loss | -0.65% | -0.67% |
| Win/Loss Ratio | 1.05 | 1.09 |
| Profit Ratio | 0.94 | 0.94 |
| Expected Daily | 0.07% | 0.08% |
| Expected Monthly | 1.27% | 1.54% |
| Expected Yearly | 8.57% | 10.42% |
| Kelly Criterion | 9.49% | 11.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.36% |
| Expected Shortfall (cVaR) | -1.72% | -1.86% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.29 |
| Gain/Pain (1M) | 2.6 | 3.79 |
| Payoff Ratio | 1.05 | 1.09 |
| Profit Factor | 1.25 | 1.29 |
| Common Sense Ratio | 1.24 | 1.29 |
| CPC Index | 0.7 | 0.76 |
| Tail Ratio | 0.99 | 1.0 |
| Outlier Win Ratio | 2.88 | 3.06 |
| Outlier Loss Ratio | 3.19 | 3.54 |
| MTD | 1.08% | 1.21% |
| 3M | 3.82% | 4.9% |
| 6M | 19.85% | 22.22% |
| YTD | 14.3% | 17.09% |
| 1Y | 17.87% | 21.92% |
| 3Y (ann.) | 18.02% | 22.11% |
| 5Y (ann.) | 18.02% | 22.11% |
| 10Y (ann.) | 18.02% | 22.11% |
| All-time (ann.) | 18.02% | 22.11% |
| Best Day | 2.91% | 3.05% |
| Worst Day | -2.7% | -3.28% |
| Best Month | 10.51% | 11.0% |
| Worst Month | -4.94% | -4.29% |
| Best Year | 14.3% | 17.09% |
| Worst Year | 3.13% | 4.13% |
| Avg. Drawdown | -1.71% | -1.72% |
| Avg. Drawdown Days | 13 | 12 |
| Recovery Factor | 1.94 | 2.51 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 1.79 |
| Avg. Up Month | 2.41% | 2.65% |
| Avg. Down Month | -2.28% | -1.92% |
| Win Days | 53.6% | 53.82% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.05 |
| Alpha | - | 0.03 |
| Correlation | - | 98.13% |
| Treynor Ratio | - | 20.85% |
| Year | SPY | DUBS | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 4.13 | 1.32 | + |
| 2026 | 14.30 | 17.09 | 1.20 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-10 | -8.29 | 44 |
| 2026-06-03 | 2026-07-31 | -4.74 | 59 |
| 2025-10-29 | 2025-12-03 | -4.68 | 36 |
| 2025-10-09 | 2025-10-23 | -3.53 | 15 |
| 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 |
| 2025-12-29 | 2026-01-05 | -1.08 | 8 |