| Metric | SPY | EBSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 156.7% | 86.0% |
| CAGR﹪ | 17.41% | 11.14% |
| Sharpe | 0.86 | 0.83 |
| Prob. Sharpe Ratio | 98.15% | 97.56% |
| Smart Sharpe | 0.83 | 0.82 |
| Sortino | 1.25 | 1.16 |
| Smart Sortino | 1.21 | 1.15 |
| Sortino/√2 | 0.88 | 0.82 |
| Smart Sortino/√2 | 0.86 | 0.81 |
| Omega | 1.2 | 1.22 |
| 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.) | 16.6% | 9.38% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.71 | 1.02 |
| Skew | 0.27 | -0.76 |
| Kurtosis | 8.84 | 5.01 |
| Ulcer Performance Index | 20.09 | 22.21 |
| Risk-Adjusted Return | 17.41% | 11.98% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.71% | 0.48% |
| Avg. Loss | -0.72% | -0.52% |
| Win/Loss Ratio | 0.98 | 0.93 |
| Profit Ratio | 0.84 | 0.62 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.32% | 0.87% |
| Expected Yearly | 14.42% | 9.27% |
| Kelly Criterion | 8.13% | 6.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.65% | -0.93% |
| Expected Shortfall (cVaR) | -2.43% | -1.43% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.2 | 0.22 |
| Gain/Pain (1M) | 1.24 | 1.38 |
| Payoff Ratio | 0.98 | 0.93 |
| Profit Factor | 1.2 | 1.22 |
| Common Sense Ratio | 1.22 | 1.28 |
| CPC Index | 0.64 | 0.62 |
| Tail Ratio | 1.02 | 1.05 |
| Outlier Win Ratio | 3.42 | 3.25 |
| Outlier Loss Ratio | 3.9 | 3.31 |
| MTD | 1.08% | 4.69% |
| 3M | 3.82% | 5.3% |
| 6M | 19.85% | 7.31% |
| YTD | 14.3% | 14.53% |
| 1Y | 17.78% | 12.91% |
| 3Y (ann.) | 24.86% | 6.19% |
| 5Y (ann.) | 13.06% | 9.76% |
| 10Y (ann.) | 17.41% | 11.14% |
| All-time (ann.) | 17.41% | 11.14% |
| Best Day | 10.5% | 2.53% |
| Worst Day | -5.85% | -5.09% |
| Best Month | 10.88% | 9.12% |
| Worst Month | -9.24% | -3.23% |
| Best Year | 28.73% | 30.94% |
| Worst Year | -18.18% | -1.83% |
| Avg. Drawdown | -1.61% | -1.73% |
| Avg. Drawdown Days | 15 | 32 |
| Recovery Factor | 4.18 | 5.89 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.75 | 1.15 |
| Avg. Up Month | 3.91% | 2.47% |
| Avg. Down Month | -1.85% | -1.6% |
| Win Days | 54.47% | 54.9% |
| Win Month | 66.67% | 56.94% |
| Win Quarter | 75.0% | 70.83% |
| Win Year | 85.71% | 71.43% |
| Beta | - | 0.01 |
| Alpha | - | 0.11 |
| Correlation | - | 2.4% |
| Treynor Ratio | - | 6340.31% |
| Year | SPY | EBSIX | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 14.94 | 4.94 | 0.33 | - |
| 2021 | 28.73 | 9.05 | 0.31 | - |
| 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 | 14.30 | 14.53 | 1.02 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-03-09 | 2024-09-25 | -10.97 | 567 |
| 2022-10-21 | 2023-03-03 | -8.47 | 134 |
| 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 |
| 2021-06-03 | 2021-10-15 | -4.85 | 135 |
| 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 |
| 2021-01-22 | 2021-02-04 | -2.94 | 14 |