| Metric | SPY | EAGMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 62.0% |
| Cumulative Return | 86.58% | 36.5% |
| CAGR﹪ | 13.36% | 6.46% |
| Sharpe | 0.59 | 0.94 |
| Prob. Sharpe Ratio | 90.85% | 97.58% |
| Smart Sharpe | 0.58 | 0.87 |
| Sortino | 0.86 | 1.25 |
| Smart Sortino | 0.83 | 1.16 |
| Sortino/√2 | 0.61 | 0.89 |
| Smart Sortino/√2 | 0.59 | 0.82 |
| Omega | 1.16 | 1.62 |
| Max Drawdown | -24.5% | -7.48% |
| Max DD Date | 2022-10-12 | 2022-07-22 |
| Max DD Period Start | 2022-01-04 | 2022-02-11 |
| Max DD Period End | 2023-12-12 | 2023-01-26 |
| Longest DD Days | 708 | 350 |
| Volatility (ann.) | 17.2% | 2.67% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.86 |
| Skew | 0.32 | -1.95 |
| Kurtosis | 8.95 | 21.1 |
| Ulcer Performance Index | 10.24 | 18.56 |
| Risk-Adjusted Return | 13.36% | 10.42% |
| Risk-Return Ratio | 0.05 | 0.15 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.75% | 0.16% |
| Avg. Loss | -0.94% | -0.2% |
| Win/Loss Ratio | 0.8 | 0.81 |
| Profit Ratio | 0.83 | 0.12 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.51% |
| Expected Yearly | 10.95% | 5.32% |
| Kelly Criterion | -3.71% | 22.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.25% |
| Expected Shortfall (cVaR) | -2.58% | -0.49% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.16 | 0.62 |
| Gain/Pain (1M) | 0.87 | 2.56 |
| Payoff Ratio | 0.8 | 0.81 |
| Profit Factor | 1.16 | 1.62 |
| Common Sense Ratio | 1.17 | 1.64 |
| CPC Index | 0.5 | 0.86 |
| Tail Ratio | 1.01 | 1.01 |
| Outlier Win Ratio | 3.41 | 4.47 |
| Outlier Loss Ratio | 3.77 | 2.47 |
| MTD | 1.08% | 0.55% |
| 3M | 3.82% | 2.04% |
| 6M | 19.85% | 3.91% |
| YTD | 14.3% | 6.96% |
| 1Y | 17.78% | 11.26% |
| 3Y (ann.) | 24.86% | 9.88% |
| 5Y (ann.) | 13.06% | 6.61% |
| 10Y (ann.) | 13.36% | 6.46% |
| All-time (ann.) | 13.36% | 6.46% |
| Best Day | 10.5% | 1.21% |
| Worst Day | -5.85% | -1.7% |
| Best Month | 10.51% | 2.51% |
| Worst Month | -9.24% | -2.09% |
| Best Year | 26.18% | 11.12% |
| Worst Year | -18.18% | -0.75% |
| Avg. Drawdown | -1.89% | -0.37% |
| Avg. Drawdown Days | 20 | 15 |
| Recovery Factor | 2.85 | 4.18 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.47 | 0.51 |
| Avg. Up Month | 3.71% | 1.01% |
| Avg. Down Month | -4.57% | -0.74% |
| Win Days | 54.04% | 65.58% |
| Win Month | 63.93% | 75.0% |
| Win Quarter | 66.67% | 80.95% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.0 |
| Alpha | - | 0.06 |
| Correlation | - | 2.16% |
| Treynor Ratio | - | 10874.17% |
| Year | SPY | EAGMX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.07 | 0.01 | - |
| 2022 | -18.18 | -0.75 | 0.04 | + |
| 2023 | 26.18 | 6.69 | 0.26 | - |
| 2024 | 24.89 | 8.40 | 0.34 | - |
| 2025 | 17.72 | 11.12 | 0.63 | - |
| 2026 | 14.30 | 6.96 | 0.49 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-11 | 2023-01-26 | -7.48 | 350 |
| 2025-03-28 | 2025-05-05 | -1.63 | 39 |
| 2026-02-19 | 2026-05-04 | -1.48 | 75 |
| 2023-08-30 | 2023-12-07 | -1.14 | 100 |
| 2024-07-29 | 2024-08-28 | -0.97 | 31 |
| 2024-04-10 | 2024-05-02 | -0.95 | 23 |
| 2022-01-05 | 2022-02-04 | -0.93 | 31 |
| 2021-10-12 | 2021-12-31 | -0.93 | 81 |
| 2023-02-27 | 2023-04-06 | -0.88 | 39 |
| 2023-07-06 | 2023-07-12 | -0.60 | 7 |