| Metric | SPY | DUBS |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 83.19% | 86.38% |
| CAGR﹪ | 19.63% | 20.25% |
| Sharpe | 0.97 | 1.03 |
| Prob. Sharpe Ratio | 96.48% | 97.11% |
| Smart Sharpe | 0.91 | 0.97 |
| Sortino | 1.43 | 1.49 |
| Smart Sortino | 1.34 | 1.41 |
| Sortino/√2 | 1.01 | 1.05 |
| Smart Sortino/√2 | 0.95 | 0.99 |
| Omega | 1.27 | 1.28 |
| Max Drawdown | -18.76% | -18.48% |
| Max DD Date | 2025-04-08 | 2025-04-08 |
| Max DD Period Start | 2025-02-20 | 2025-02-20 |
| Max DD Period End | 2025-06-25 | 2025-06-26 |
| Longest DD Days | 126 | 130 |
| Volatility (ann.) | 14.88% | 14.44% |
| R^2 | 0.96 | 0.96 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.05 | 1.1 |
| Skew | 0.88 | 0.38 |
| Kurtosis | 20.99 | 15.16 |
| Ulcer Performance Index | 24.82 | 26.77 |
| Risk-Adjusted Return | 19.63% | 20.25% |
| Risk-Return Ratio | 0.08 | 0.08 |
| Avg. Return | 0.08% | 0.08% |
| Avg. Win | 0.68% | 0.67% |
| Avg. Loss | -0.7% | -0.67% |
| Win/Loss Ratio | 0.98 | 1.0 |
| Profit Ratio | 0.77 | 0.82 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.45% | 1.49% |
| Expected Yearly | 16.34% | 16.84% |
| Kelly Criterion | 11.49% | 10.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.47% | -1.42% |
| Expected Shortfall (cVaR) | -2.15% | -2.03% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.27 | 0.28 |
| Gain/Pain (1M) | 2.12 | 2.45 |
| Payoff Ratio | 0.98 | 1.0 |
| Profit Factor | 1.27 | 1.28 |
| Common Sense Ratio | 1.15 | 1.21 |
| CPC Index | 0.7 | 0.71 |
| Tail Ratio | 0.91 | 0.94 |
| Outlier Win Ratio | 3.24 | 3.2 |
| Outlier Loss Ratio | 3.59 | 4.07 |
| MTD | 1.47% | 1.77% |
| 3M | 1.46% | 2.4% |
| 6M | 6.94% | 8.69% |
| YTD | 13.33% | 16.5% |
| 1Y | 13.43% | 17.24% |
| 3Y (ann.) | 20.78% | 21.88% |
| 5Y (ann.) | 19.63% | 20.25% |
| 10Y (ann.) | 19.63% | 20.25% |
| All-time (ann.) | 19.63% | 20.25% |
| Best Day | 10.5% | 9.19% |
| Worst Day | -5.85% | -5.89% |
| Best Month | 10.51% | 11.0% |
| Worst Month | -5.57% | -5.23% |
| Best Year | 24.89% | 24.08% |
| Worst Year | 9.95% | 8.1% |
| Avg. Drawdown | -1.7% | -1.65% |
| Avg. Drawdown Days | 13 | 12 |
| Recovery Factor | 3.43 | 3.56 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 1.91 | 2.02 |
| Avg. Up Month | 3.4% | 3.33% |
| Avg. Down Month | -2.26% | -2.03% |
| Win Days | 56.12% | 55.42% |
| Win Month | 66.67% | 66.67% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.95 |
| Alpha | - | 0.01 |
| Correlation | - | 98.18% |
| Treynor Ratio | - | 90.63% |
| Year | SPY | DUBS | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 9.95 | 8.10 | 0.81 | - |
| 2024 | 24.89 | 24.08 | 0.97 | - |
| 2025 | 17.72 | 19.28 | 1.09 | + |
| 2026 | 13.33 | 16.50 | 1.24 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-20 | 2025-06-26 | -18.48 | 127 |
| 2023-08-01 | 2023-12-08 | -9.36 | 130 |
| 2026-02-26 | 2026-04-10 | -8.29 | 44 |
| 2024-07-17 | 2024-08-29 | -8.16 | 44 |
| 2024-04-01 | 2024-05-13 | -4.85 | 43 |
| 2026-06-03 | 2026-07-31 | -4.74 | 59 |
| 2025-10-29 | 2025-12-09 | -4.68 | 42 |
| 2024-12-12 | 2025-01-21 | -3.92 | 41 |
| 2024-09-03 | 2024-09-18 | -3.73 | 16 |
| 2026-10-07 | 2026-11-04 | -3.54 | 29 |