| Metric | SPY | EAGMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 62.0% |
| Cumulative Return | 204.97% | 52.28% |
| CAGR﹪ | 16.25% | 5.84% |
| Sharpe | 0.72 | 1.06 |
| Prob. Sharpe Ratio | 97.45% | 99.65% |
| Smart Sharpe | 0.63 | 0.89 |
| Sortino | 1.02 | 1.4 |
| Smart Sortino | 0.88 | 1.18 |
| Sortino/√2 | 0.72 | 0.99 |
| Smart Sortino/√2 | 0.62 | 0.84 |
| Omega | 1.18 | 1.55 |
| Max Drawdown | -33.72% | -9.32% |
| Max DD Date | 2020-03-23 | 2020-03-24 |
| Max DD Period Start | 2020-02-20 | 2020-02-24 |
| Max DD Period End | 2020-08-07 | 2020-11-05 |
| Longest DD Days | 708 | 350 |
| Volatility (ann.) | 19.45% | 2.68% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.63 |
| Skew | -0.29 | -1.99 |
| Kurtosis | 13.94 | 18.8 |
| Ulcer Performance Index | 25.91 | 26.65 |
| Risk-Adjusted Return | 16.25% | 9.43% |
| Risk-Return Ratio | 0.05 | 0.13 |
| Avg. Return | 0.1% | 0.04% |
| Avg. Win | 0.8% | 0.16% |
| Avg. Loss | -1.19% | -0.2% |
| Win/Loss Ratio | 0.67 | 0.78 |
| Profit Ratio | 0.78 | 0.12 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.47% |
| Expected Yearly | 14.96% | 5.4% |
| Kelly Criterion | -11.34% | 19.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.26% |
| Expected Shortfall (cVaR) | -3.2% | -0.53% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 14 |
| Gain/Pain Ratio | 0.18 | 0.55 |
| Gain/Pain (1M) | 1.15 | 1.96 |
| Payoff Ratio | 0.67 | 0.78 |
| Profit Factor | 1.18 | 1.55 |
| Common Sense Ratio | 1.13 | 1.6 |
| CPC Index | 0.44 | 0.78 |
| Tail Ratio | 0.96 | 1.04 |
| Outlier Win Ratio | 3.69 | 4.49 |
| Outlier Loss Ratio | 4.12 | 2.57 |
| 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.) | 16.25% | 5.84% |
| All-time (ann.) | 16.25% | 5.84% |
| Best Day | 10.5% | 1.21% |
| Worst Day | -10.94% | -1.7% |
| Best Month | 12.7% | 2.7% |
| Worst Month | -12.49% | -6.8% |
| Best Year | 28.73% | 11.12% |
| Worst Year | -18.18% | -0.75% |
| Avg. Drawdown | -1.79% | -0.44% |
| Avg. Drawdown Days | 16 | 17 |
| Recovery Factor | 3.72 | 4.54 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.03 | 0.66 |
| Avg. Up Month | 3.95% | 1.06% |
| Avg. Down Month | -4.88% | -0.93% |
| Win Days | 55.15% | 64.84% |
| Win Month | 65.56% | 71.11% |
| Win Quarter | 77.42% | 77.42% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.02 |
| Alpha | - | 0.05 |
| Correlation | - | 14.65% |
| Treynor Ratio | - | 2584.4% |
| Year | SPY | EAGMX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 6.40 | 0.39 | - |
| 2020 | 18.33 | 3.27 | 0.18 | - |
| 2021 | 28.73 | 1.88 | 0.07 | - |
| 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 |
|---|---|---|---|
| 2020-02-24 | 2020-11-05 | -9.32 | 256 |
| 2022-02-11 | 2023-01-26 | -7.48 | 350 |
| 2025-03-24 | 2025-05-05 | -1.63 | 43 |
| 2026-02-19 | 2026-05-04 | -1.48 | 75 |
| 2021-02-17 | 2021-05-28 | -1.26 | 101 |
| 2019-08-01 | 2019-09-11 | -1.25 | 42 |
| 2023-08-30 | 2023-12-07 | -1.14 | 100 |
| 2021-09-08 | 2021-12-31 | -0.99 | 115 |
| 2024-07-29 | 2024-08-28 | -0.97 | 31 |
| 2024-04-10 | 2024-05-02 | -0.95 | 23 |