| Metric | SPY | EBSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 18.6% | 8.39% |
| CAGR﹪ | 40.67% | 17.49% |
| Sharpe | 2.32 | 1.64 |
| Prob. Sharpe Ratio | 95.04% | 87.72% |
| Smart Sharpe | 2.3 | 1.37 |
| Sortino | 3.78 | 2.56 |
| Smart Sortino | 3.75 | 2.14 |
| Sortino/√2 | 2.67 | 1.81 |
| Smart Sortino/√2 | 2.65 | 1.51 |
| Omega | 1.54 | 1.41 |
| Max Drawdown | -4.49% | -4.44% |
| Max DD Date | 2026-06-10 | 2026-07-17 |
| Max DD Period Start | 2026-06-03 | 2026-04-30 |
| Max DD Period End | 2026-07-31 | 2026-09-01 |
| Longest DD Days | 59 | 125 |
| Volatility (ann.) | 13.55% | 7.82% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 9.05 | 3.94 |
| Skew | 0.1 | 0.09 |
| Kurtosis | 1.12 | 0.1 |
| Ulcer Performance Index | 11.86 | 4.24 |
| Risk-Adjusted Return | 40.67% | 19.22% |
| Risk-Return Ratio | 0.16 | 0.13 |
| Avg. Return | 0.14% | 0.07% |
| Avg. Win | 0.68% | 0.46% |
| Avg. Loss | -0.68% | -0.41% |
| Win/Loss Ratio | 1.0 | 1.14 |
| Profit Ratio | 1.12 | 0.61 |
| Expected Daily | 0.14% | 0.06% |
| Expected Monthly | 2.47% | 1.16% |
| Expected Yearly | 18.6% | 8.39% |
| Kelly Criterion | 8.0% | 17.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.74% |
| Expected Shortfall (cVaR) | -1.77% | -0.97% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.54 | 0.41 |
| Gain/Pain (1M) | 10.92 | 2.23 |
| Payoff Ratio | 1.0 | 1.14 |
| Profit Factor | 1.54 | 1.41 |
| Common Sense Ratio | 2.01 | 1.69 |
| CPC Index | 0.83 | 0.9 |
| Tail Ratio | 1.3 | 1.2 |
| Outlier Win Ratio | 3.21 | 2.92 |
| Outlier Loss Ratio | 3.16 | 2.39 |
| MTD | 1.08% | 4.69% |
| 3M | 3.82% | 5.3% |
| 6M | 18.6% | 8.39% |
| YTD | 18.6% | 8.39% |
| 1Y | 18.6% | 8.39% |
| 3Y (ann.) | 40.67% | 17.49% |
| 5Y (ann.) | 40.67% | 17.49% |
| 10Y (ann.) | 40.67% | 17.49% |
| All-time (ann.) | 40.67% | 17.49% |
| Best Day | 2.91% | 1.61% |
| Worst Day | -2.58% | -1.17% |
| Best Month | 10.51% | 4.69% |
| Worst Month | -1.03% | -1.49% |
| Best Year | 18.6% | 8.39% |
| Worst Year | 18.6% | 8.39% |
| Avg. Drawdown | -1.13% | -0.95% |
| Avg. Drawdown Days | 9 | 18 |
| Recovery Factor | 3.9 | 1.85 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.75 | 0.51 |
| Avg. Up Month | 4.75% | 3.57% |
| Avg. Down Month | -1.03% | -0.79% |
| Win Days | 53.97% | 56.14% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.01 |
| Alpha | - | 0.17 |
| Correlation | - | -1.72% |
| Treynor Ratio | - | -847.41% |
| Year | SPY | EBSIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 8.39 | 0.45 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-04-30 | 2026-09-01 | -4.44 | 125 |
| 2026-03-31 | 2026-04-10 | -1.29 | 11 |
| 2026-04-17 | 2026-04-21 | -0.68 | 5 |
| 2026-03-25 | 2026-03-25 | -0.40 | 1 |
| 2026-09-16 | 2026-09-17 | -0.28 | 2 |
| 2026-09-21 | 2026-09-22 | -0.28 | 2 |
| 2026-09-04 | 2026-09-04 | -0.10 | 1 |
| 2026-09-14 | 2026-09-14 | -0.09 | 1 |