| Metric | SPY | EFFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 14.39% | 16.15% |
| CAGR﹪ | 14.51% | 16.29% |
| Sharpe | 0.83 | 1.17 |
| Prob. Sharpe Ratio | 79.61% | 87.29% |
| Smart Sharpe | 0.82 | 1.06 |
| Sortino | 1.22 | 1.64 |
| Smart Sortino | 1.2 | 1.49 |
| Sortino/√2 | 0.86 | 1.16 |
| Smart Sortino/√2 | 0.85 | 1.05 |
| Omega | 1.2 | 1.28 |
| 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.) | 12.86% | 10.25% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.63 | 2.7 |
| Skew | -0.02 | -0.46 |
| Kurtosis | 0.78 | 0.68 |
| Ulcer Performance Index | 6.68 | 6.64 |
| Risk-Adjusted Return | 14.51% | 17.33% |
| Risk-Return Ratio | 0.07 | 0.1 |
| Avg. Return | 0.07% | 0.07% |
| Avg. Win | 0.68% | 0.59% |
| Avg. Loss | -0.73% | -0.67% |
| Win/Loss Ratio | 0.94 | 0.88 |
| Profit Ratio | 1.02 | 0.55 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.04% | 1.16% |
| Expected Yearly | 6.95% | 7.77% |
| Kelly Criterion | 0.69% | 9.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.0% |
| Expected Shortfall (cVaR) | -1.66% | -1.48% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.28 |
| Gain/Pain (1M) | 1.83 | 1.56 |
| Payoff Ratio | 0.94 | 0.88 |
| Profit Factor | 1.2 | 1.28 |
| Common Sense Ratio | 1.19 | 1.29 |
| CPC Index | 0.58 | 0.65 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.84 | 3.27 |
| Outlier Loss Ratio | 3.01 | 3.0 |
| MTD | 1.47% | -2.24% |
| 3M | 1.46% | 3.02% |
| 6M | 6.94% | 0.83% |
| YTD | 13.33% | 12.0% |
| 1Y | 14.39% | 16.15% |
| 3Y (ann.) | 14.51% | 16.29% |
| 5Y (ann.) | 14.51% | 16.29% |
| 10Y (ann.) | 14.51% | 16.29% |
| All-time (ann.) | 14.51% | 16.29% |
| Best Day | 2.91% | 1.69% |
| Worst Day | -2.58% | -2.21% |
| Best Month | 10.51% | 5.66% |
| Worst Month | -4.94% | -3.85% |
| Best Year | 13.33% | 12.0% |
| Worst Year | 0.94% | 3.71% |
| Avg. Drawdown | -1.74% | -2.06% |
| Avg. Drawdown Days | 14 | 19 |
| Recovery Factor | 1.61 | 2.57 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 0.8 |
| Avg. Up Month | 2.98% | 2.77% |
| Avg. Down Month | -2.29% | -2.56% |
| Win Days | 52.0% | 57.69% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.36 |
| Alpha | - | 0.1 |
| Correlation | - | 45.34% |
| Treynor Ratio | - | 44.68% |
| Year | SPY | EFFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 3.71 | 3.95 | + |
| 2026 | 13.33 | 12.00 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-08-31 | -6.03 | 110 |
| 2026-03-02 | 2026-04-21 | -4.69 | 51 |
| 2026-10-13 | 2026-11-04 | -4.38 | 23 |
| 2025-11-13 | 2025-12-18 | -4.20 | 36 |
| 2026-01-30 | 2026-02-19 | -3.27 | 21 |
| 2026-01-16 | 2026-01-22 | -2.16 | 7 |
| 2026-01-07 | 2026-01-09 | -1.49 | 3 |
| 2025-12-29 | 2026-01-02 | -1.32 | 5 |
| 2026-09-25 | 2026-10-05 | -1.23 | 11 |
| 2026-05-06 | 2026-05-07 | -0.73 | 2 |