| Metric | SPY | EBSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 17.87% | 12.11% |
| CAGR﹪ | 18.02% | 12.21% |
| Sharpe | 1.04 | 0.96 |
| Prob. Sharpe Ratio | 84.73% | 83.11% |
| Smart Sharpe | 1.01 | 0.91 |
| Sortino | 1.51 | 1.44 |
| Smart Sortino | 1.47 | 1.37 |
| Sortino/√2 | 1.07 | 1.02 |
| Smart Sortino/√2 | 1.04 | 0.97 |
| Omega | 1.25 | 1.26 |
| Max Drawdown | -8.88% | -5.85% |
| Max DD Date | 2026-03-30 | 2025-12-09 |
| Max DD Period Start | 2026-01-28 | 2025-10-17 |
| Max DD Period End | 2026-04-13 | 2026-03-12 |
| Longest DD Days | 76 | 147 |
| Volatility (ann.) | 12.99% | 8.2% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.03 | 2.09 |
| Skew | -0.15 | 0.09 |
| Kurtosis | 1.05 | 0.15 |
| Ulcer Performance Index | 8.3 | 4.6 |
| Risk-Adjusted Return | 18.02% | 13.57% |
| Risk-Return Ratio | 0.08 | 0.09 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.63% | 0.47% |
| Avg. Loss | -0.7% | -0.44% |
| Win/Loss Ratio | 0.9 | 1.07 |
| Profit Ratio | 0.94 | 0.56 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.27% | 0.88% |
| Expected Yearly | 8.57% | 5.88% |
| Kelly Criterion | 1.76% | 13.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.8% |
| Expected Shortfall (cVaR) | -1.72% | -1.0% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.26 |
| Gain/Pain (1M) | 2.6 | 1.66 |
| Payoff Ratio | 0.9 | 1.07 |
| Profit Factor | 1.25 | 1.26 |
| Common Sense Ratio | 1.24 | 1.37 |
| CPC Index | 0.6 | 0.74 |
| Tail Ratio | 0.99 | 1.09 |
| Outlier Win Ratio | 2.88 | 3.63 |
| Outlier Loss Ratio | 3.19 | 2.56 |
| MTD | 1.08% | 4.69% |
| 3M | 3.82% | 5.3% |
| 6M | 19.85% | 7.31% |
| YTD | 14.3% | 14.53% |
| 1Y | 17.87% | 12.11% |
| 3Y (ann.) | 18.02% | 12.21% |
| 5Y (ann.) | 18.02% | 12.21% |
| 10Y (ann.) | 18.02% | 12.21% |
| All-time (ann.) | 18.02% | 12.21% |
| Best Day | 2.91% | 1.62% |
| Worst Day | -2.7% | -1.25% |
| Best Month | 10.51% | 4.69% |
| Worst Month | -4.94% | -2.24% |
| Best Year | 14.3% | 14.53% |
| Worst Year | 3.13% | -2.12% |
| Avg. Drawdown | -1.71% | -1.19% |
| Avg. Drawdown Days | 13 | 22 |
| Recovery Factor | 1.94 | 2.01 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.16 | 0.44 |
| Avg. Up Month | 2.71% | 2.42% |
| Avg. Down Month | -1.03% | -0.79% |
| Win Days | 53.6% | 55.16% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.08 |
| Alpha | - | 0.1 |
| Correlation | - | 12.65% |
| Treynor Ratio | - | 151.56% |
| Year | SPY | EBSIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -2.12 | -0.68 | - |
| 2026 | 14.30 | 14.53 | 1.02 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-17 | 2026-03-12 | -5.85 | 147 |
| 2026-04-30 | 2026-09-01 | -4.44 | 125 |
| 2025-10-06 | 2025-10-10 | -1.40 | 5 |
| 2026-03-31 | 2026-04-10 | -1.29 | 11 |
| 2026-03-23 | 2026-03-26 | -1.00 | 4 |
| 2026-04-17 | 2026-04-21 | -0.68 | 5 |
| 2025-10-02 | 2025-10-02 | -0.50 | 1 |
| 2025-09-25 | 2025-09-25 | -0.30 | 1 |
| 2026-03-16 | 2026-03-17 | -0.30 | 2 |
| 2026-09-16 | 2026-09-17 | -0.28 | 2 |