| Metric | SPY | EFFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 17.89% | 21.54% |
| CAGR﹪ | 18.12% | 21.83% |
| Sharpe | 1.04 | 1.52 |
| Prob. Sharpe Ratio | 84.76% | 92.94% |
| Smart Sharpe | 1.01 | 1.47 |
| Sortino | 1.51 | 2.16 |
| Smart Sortino | 1.47 | 2.1 |
| Sortino/√2 | 1.07 | 1.53 |
| Smart Sortino/√2 | 1.04 | 1.48 |
| Omega | 1.25 | 1.35 |
| Max Drawdown | -8.88% | -6.03% |
| Max DD Date | 2026-03-30 | 2026-06-24 |
| Max DD Period Start | 2026-01-28 | 2026-05-14 |
| Max DD Period End | 2026-04-13 | 2026-08-31 |
| Longest DD Days | 76 | 110 |
| Volatility (ann.) | 13.02% | 10.79% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 2.04 | 3.62 |
| Skew | -0.15 | -0.47 |
| Kurtosis | 1.03 | 0.59 |
| Ulcer Performance Index | 8.29 | 8.91 |
| Risk-Adjusted Return | 18.12% | 23.22% |
| Risk-Return Ratio | 0.08 | 0.12 |
| Avg. Return | 0.09% | 0.09% |
| Avg. Win | 0.68% | 0.61% |
| Avg. Loss | -0.73% | -0.71% |
| Win/Loss Ratio | 0.93 | 0.85 |
| Profit Ratio | 0.92 | 0.5 |
| Expected Daily | 0.07% | 0.08% |
| Expected Monthly | 1.27% | 1.51% |
| Expected Yearly | 8.58% | 10.25% |
| Kelly Criterion | 4.05% | 12.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.04% |
| Expected Shortfall (cVaR) | -1.72% | -1.54% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.35 |
| Gain/Pain (1M) | 2.61 | 2.88 |
| Payoff Ratio | 0.93 | 0.85 |
| Profit Factor | 1.25 | 1.35 |
| Common Sense Ratio | 1.24 | 1.37 |
| CPC Index | 0.62 | 0.69 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.88 | 3.17 |
| Outlier Loss Ratio | 3.17 | 2.94 |
| MTD | 1.09% | 2.16% |
| 3M | 3.84% | 5.99% |
| 6M | 19.87% | 10.64% |
| YTD | 14.32% | 16.21% |
| 1Y | 17.89% | 21.54% |
| 3Y (ann.) | 18.12% | 21.83% |
| 5Y (ann.) | 18.12% | 21.83% |
| 10Y (ann.) | 18.12% | 21.83% |
| All-time (ann.) | 18.12% | 21.83% |
| Best Day | 2.91% | 1.7% |
| Worst Day | -2.7% | -2.21% |
| Best Month | 10.51% | 5.66% |
| Worst Month | -4.94% | -3.85% |
| Best Year | 14.32% | 16.21% |
| Worst Year | 3.13% | 4.59% |
| Avg. Drawdown | -1.71% | -1.9% |
| Avg. Drawdown Days | 13 | 17 |
| Recovery Factor | 1.95 | 3.33 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 1.12 |
| Avg. Up Month | 2.42% | 2.24% |
| Avg. Down Month | -2.98% | -3.48% |
| Win Days | 53.82% | 59.83% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.41 |
| Alpha | - | 0.13 |
| Correlation | - | 49.33% |
| Treynor Ratio | - | 52.68% |
| Year | SPY | EFFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 4.59 | 1.47 | + |
| 2026 | 14.32 | 16.21 | 1.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-08-31 | -6.03 | 110 |
| 2026-03-02 | 2026-04-21 | -4.69 | 51 |
| 2025-10-28 | 2025-12-19 | -4.20 | 53 |
| 2026-01-30 | 2026-02-19 | -3.27 | 21 |
| 2025-10-09 | 2025-10-14 | -2.38 | 6 |
| 2026-01-16 | 2026-01-22 | -2.16 | 7 |
| 2026-01-07 | 2026-01-09 | -1.49 | 3 |
| 2025-10-17 | 2025-10-17 | -1.33 | 1 |
| 2025-12-29 | 2026-01-02 | -1.32 | 5 |
| 2025-09-24 | 2025-09-26 | -1.07 | 3 |