| Metric | SPY | EAGMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 62.0% |
| Cumulative Return | 207.58% | 52.69% |
| CAGR﹪ | 16.68% | 5.98% |
| Sharpe | 0.74 | 1.1 |
| Prob. Sharpe Ratio | 97.6% | 99.72% |
| Smart Sharpe | 0.64 | 0.93 |
| Sortino | 1.04 | 1.46 |
| Smart Sortino | 0.9 | 1.23 |
| Sortino/√2 | 0.74 | 1.03 |
| Smart Sortino/√2 | 0.64 | 0.87 |
| Omega | 1.19 | 1.56 |
| 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.) | 19.56% | 2.7% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.64 |
| Skew | -0.29 | -2.0 |
| Kurtosis | 13.84 | 18.7 |
| Ulcer Performance Index | 26.03 | 26.64 |
| Risk-Adjusted Return | 16.68% | 9.65% |
| Risk-Return Ratio | 0.06 | 0.14 |
| Avg. Return | 0.1% | 0.04% |
| Avg. Win | 0.8% | 0.16% |
| Avg. Loss | -1.19% | -0.21% |
| Win/Loss Ratio | 0.67 | 0.77 |
| Profit Ratio | 0.77 | 0.12 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.28% | 0.48% |
| Expected Yearly | 15.08% | 5.43% |
| Kelly Criterion | -11.35% | 19.88% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.26% |
| Expected Shortfall (cVaR) | -3.2% | -0.53% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 14 |
| Gain/Pain Ratio | 0.19 | 0.56 |
| Gain/Pain (1M) | 1.17 | 2.01 |
| Payoff Ratio | 0.67 | 0.77 |
| Profit Factor | 1.19 | 1.56 |
| Common Sense Ratio | 1.14 | 1.61 |
| CPC Index | 0.44 | 0.78 |
| Tail Ratio | 0.96 | 1.03 |
| Outlier Win Ratio | 3.69 | 4.46 |
| Outlier Loss Ratio | 4.1 | 2.54 |
| 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.) | 16.68% | 5.98% |
| All-time (ann.) | 16.68% | 5.98% |
| 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 | -1.78% | -0.44% |
| Avg. Drawdown Days | 16 | 17 |
| Recovery Factor | 3.75 | 4.57 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.03 | 0.66 |
| Avg. Up Month | 3.89% | 1.05% |
| Avg. Down Month | -5.11% | -1.05% |
| Win Days | 55.26% | 65.19% |
| Win Month | 67.05% | 73.56% |
| Win Quarter | 76.67% | 80.0% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.02 |
| Alpha | - | 0.05 |
| Correlation | - | 14.8% |
| Treynor Ratio | - | 2577.95% |
| 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 | 14.30 | 6.96 | 0.49 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-24 | 2020-11-05 | -9.32 | 256 |
| 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 |
| 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 |