| Metric | SPY | EBSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 74.99% | 47.49% |
| CAGR﹪ | 11.91% | 8.13% |
| Sharpe | 0.52 | 0.46 |
| Prob. Sharpe Ratio | 87.6% | 84.55% |
| Smart Sharpe | 0.5 | 0.46 |
| Sortino | 0.74 | 0.63 |
| Smart Sortino | 0.72 | 0.62 |
| Sortino/√2 | 0.53 | 0.45 |
| Smart Sortino/√2 | 0.51 | 0.44 |
| Omega | 1.14 | 1.16 |
| Max Drawdown | -24.5% | -10.97% |
| Max DD Date | 2022-10-12 | 2024-01-03 |
| Max DD Period Start | 2022-01-04 | 2023-03-09 |
| Max DD Period End | 2023-12-12 | 2024-09-25 |
| Longest DD Days | 708 | 567 |
| Volatility (ann.) | 17.19% | 9.55% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.49 | 0.74 |
| Skew | 0.33 | -0.78 |
| Kurtosis | 8.98 | 5.31 |
| Ulcer Performance Index | 8.86 | 11.33 |
| Risk-Adjusted Return | 11.91% | 8.74% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.71% | 0.49% |
| Avg. Loss | -0.74% | -0.51% |
| Win/Loss Ratio | 0.97 | 0.96 |
| Profit Ratio | 0.86 | 0.67 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.92% | 0.64% |
| Expected Yearly | 9.77% | 6.69% |
| Kelly Criterion | 5.52% | 4.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.96% |
| Expected Shortfall (cVaR) | -2.58% | -1.46% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.16 |
| Gain/Pain (1M) | 0.79 | 0.82 |
| Payoff Ratio | 0.97 | 0.96 |
| Profit Factor | 1.14 | 1.16 |
| Common Sense Ratio | 1.15 | 1.21 |
| CPC Index | 0.59 | 0.59 |
| Tail Ratio | 1.0 | 1.05 |
| Outlier Win Ratio | 3.4 | 3.21 |
| Outlier Loss Ratio | 3.8 | 3.32 |
| MTD | 1.47% | -2.45% |
| 3M | 1.46% | 0.61% |
| 6M | 6.94% | -3.11% |
| YTD | 13.33% | 6.41% |
| 1Y | 13.43% | 4.48% |
| 3Y (ann.) | 20.78% | 4.98% |
| 5Y (ann.) | 12.86% | 8.76% |
| 10Y (ann.) | 11.91% | 8.13% |
| All-time (ann.) | 11.91% | 8.13% |
| Best Day | 10.5% | 2.53% |
| Worst Day | -5.85% | -5.09% |
| Best Month | 10.51% | 9.12% |
| Worst Month | -9.24% | -4.85% |
| Best Year | 26.18% | 30.94% |
| Worst Year | -18.18% | -2.33% |
| Avg. Drawdown | -1.94% | -2.1% |
| Avg. Drawdown Days | 21 | 41 |
| Recovery Factor | 2.58 | 3.75 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.43 | 0.65 |
| Avg. Up Month | 3.73% | 2.32% |
| Avg. Down Month | -1.96% | -2.3% |
| Win Days | 53.48% | 53.24% |
| Win Month | 62.3% | 54.1% |
| Win Quarter | 71.43% | 66.67% |
| Win Year | 83.33% | 50.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.09 |
| Correlation | - | -3.47% |
| Treynor Ratio | - | -2465.07% |
| Year | SPY | EBSIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -2.33 | -1.35 | - |
| 2022 | -18.18 | 30.94 | -1.70 | + |
| 2023 | 26.18 | -1.83 | -0.07 | - |
| 2024 | 24.89 | 11.64 | 0.47 | - |
| 2025 | 17.72 | -1.11 | -0.06 | - |
| 2026 | 13.33 | 6.41 | 0.48 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-03-09 | 2024-09-25 | -10.97 | 567 |
| 2022-10-21 | 2023-03-03 | -8.47 | 134 |
| 2026-09-25 | 2026-11-04 | -8.29 | 41 |
| 2025-04-03 | 2026-03-19 | -7.41 | 351 |
| 2021-11-17 | 2022-01-25 | -5.59 | 70 |
| 2024-09-30 | 2024-12-10 | -4.88 | 72 |
| 2026-04-30 | 2026-09-01 | -4.44 | 125 |
| 2022-06-15 | 2022-08-18 | -4.03 | 65 |
| 2022-05-13 | 2022-06-07 | -3.12 | 26 |
| 2025-02-03 | 2025-03-28 | -2.34 | 54 |