| Metric | SPY | EAGMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 62.0% |
| Cumulative Return | 74.99% | 36.78% |
| CAGR﹪ | 11.91% | 6.5% |
| Sharpe | 0.52 | 0.93 |
| Prob. Sharpe Ratio | 87.6% | 97.47% |
| Smart Sharpe | 0.5 | 0.86 |
| Sortino | 0.74 | 1.24 |
| Smart Sortino | 0.72 | 1.15 |
| Sortino/√2 | 0.53 | 0.88 |
| Smart Sortino/√2 | 0.51 | 0.81 |
| Omega | 1.14 | 1.63 |
| Max Drawdown | -24.5% | -7.48% |
| Max DD Date | 2022-10-12 | 2022-07-15 |
| 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.) | 17.19% | 2.67% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.87 |
| Skew | 0.33 | -1.95 |
| Kurtosis | 8.98 | 21.1 |
| Ulcer Performance Index | 8.86 | 18.72 |
| Risk-Adjusted Return | 11.91% | 10.49% |
| Risk-Return Ratio | 0.05 | 0.15 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.75% | 0.16% |
| Avg. Loss | -0.95% | -0.19% |
| Win/Loss Ratio | 0.79 | 0.82 |
| Profit Ratio | 0.86 | 0.12 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.51% |
| Expected Yearly | 9.77% | 5.36% |
| Kelly Criterion | -5.54% | 23.55% |
| 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 | 0.14 | 0.63 |
| Gain/Pain (1M) | 0.79 | 2.59 |
| Payoff Ratio | 0.79 | 0.82 |
| Profit Factor | 1.14 | 1.63 |
| Common Sense Ratio | 1.15 | 1.65 |
| CPC Index | 0.48 | 0.87 |
| Tail Ratio | 1.0 | 1.01 |
| Outlier Win Ratio | 3.4 | 4.47 |
| Outlier Loss Ratio | 3.8 | 2.47 |
| MTD | 1.47% | -0.22% |
| 3M | 1.46% | 1.14% |
| 6M | 6.94% | 2.99% |
| YTD | 13.33% | 6.67% |
| 1Y | 13.43% | 9.01% |
| 3Y (ann.) | 20.78% | 9.49% |
| 5Y (ann.) | 12.86% | 6.62% |
| 10Y (ann.) | 11.91% | 6.5% |
| All-time (ann.) | 11.91% | 6.5% |
| 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 | -1.94% | -0.35% |
| Avg. Drawdown Days | 21 | 13 |
| Recovery Factor | 2.58 | 4.21 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.43 | 0.51 |
| Avg. Up Month | 3.8% | 1.03% |
| Avg. Down Month | -4.51% | -0.61% |
| Win Days | 53.48% | 65.67% |
| Win Month | 62.3% | 72.13% |
| Win Quarter | 71.43% | 76.19% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.0 |
| Alpha | - | 0.06 |
| Correlation | - | 2.08% |
| Treynor Ratio | - | 11357.37% |
| Year | SPY | EAGMX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.54 | 0.31 | - |
| 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 | 13.33 | 6.67 | 0.50 | - |
| 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 |
| 2022-01-12 | 2022-02-04 | -0.93 | 24 |
| 2023-02-27 | 2023-04-06 | -0.88 | 39 |
| 2021-11-17 | 2021-12-20 | -0.64 | 34 |
| 2023-07-06 | 2023-07-14 | -0.60 | 9 |