| Metric | SPY | EFFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 18.62% | 11.63% |
| CAGR﹪ | 41.09% | 24.82% |
| Sharpe | 2.33 | 2.23 |
| Prob. Sharpe Ratio | 95.05% | 93.11% |
| Smart Sharpe | 2.31 | 2.11 |
| Sortino | 3.8 | 3.22 |
| Smart Sortino | 3.76 | 3.05 |
| Sortino/√2 | 2.69 | 2.27 |
| Smart Sortino/√2 | 2.66 | 2.15 |
| Omega | 1.54 | 1.52 |
| Max Drawdown | -4.49% | -6.03% |
| Max DD Date | 2026-06-10 | 2026-06-24 |
| Max DD Period Start | 2026-06-03 | 2026-05-14 |
| Max DD Period End | 2026-07-31 | 2026-08-31 |
| Longest DD Days | 59 | 110 |
| Volatility (ann.) | 13.6% | 8.48% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 9.14 | 4.12 |
| Skew | 0.1 | -0.77 |
| Kurtosis | 1.09 | 1.67 |
| Ulcer Performance Index | 11.83 | 4.21 |
| Risk-Adjusted Return | 41.09% | 26.13% |
| Risk-Return Ratio | 0.16 | 0.17 |
| Avg. Return | 0.16% | 0.09% |
| Avg. Win | 0.76% | 0.5% |
| Avg. Loss | -0.72% | -0.57% |
| Win/Loss Ratio | 1.05 | 0.87 |
| Profit Ratio | 1.08 | 0.52 |
| Expected Daily | 0.14% | 0.09% |
| Expected Monthly | 2.47% | 1.58% |
| Expected Yearly | 18.62% | 11.63% |
| Kelly Criterion | 11.18% | 16.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -0.79% |
| Expected Shortfall (cVaR) | -1.77% | -1.28% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.52 |
| Gain/Pain (1M) | 10.93 | 3.6 |
| Payoff Ratio | 1.05 | 0.87 |
| Profit Factor | 1.54 | 1.52 |
| Common Sense Ratio | 2.01 | 1.92 |
| CPC Index | 0.88 | 0.81 |
| Tail Ratio | 1.31 | 1.26 |
| Outlier Win Ratio | 3.22 | 2.67 |
| Outlier Loss Ratio | 3.1 | 3.11 |
| MTD | 1.09% | 2.16% |
| 3M | 3.84% | 5.99% |
| 6M | 18.62% | 11.63% |
| YTD | 18.62% | 11.63% |
| 1Y | 18.62% | 11.63% |
| 3Y (ann.) | 41.09% | 24.82% |
| 5Y (ann.) | 41.09% | 24.82% |
| 10Y (ann.) | 41.09% | 24.82% |
| All-time (ann.) | 41.09% | 24.82% |
| Best Day | 2.91% | 1.14% |
| Worst Day | -2.58% | -2.1% |
| Best Month | 10.51% | 5.66% |
| Worst Month | -1.03% | -3.12% |
| Best Year | 18.62% | 11.63% |
| Worst Year | 18.62% | 11.63% |
| Avg. Drawdown | -1.13% | -1.05% |
| Avg. Drawdown Days | 9 | 15 |
| Recovery Factor | 3.9 | 1.85 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 2.75 | 0.39 |
| Avg. Up Month | 3.91% | 2.71% |
| Avg. Down Month | -1.03% | -3.12% |
| Win Days | 54.4% | 61.02% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.23 |
| Alpha | - | 0.14 |
| Correlation | - | 37.46% |
| Treynor Ratio | - | 49.78% |
| Year | SPY | EFFIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.62 | 11.63 | 0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-08-31 | -6.03 | 110 |
| 2026-04-08 | 2026-04-09 | -0.86 | 2 |
| 2026-05-06 | 2026-05-07 | -0.73 | 2 |
| 2026-04-17 | 2026-04-21 | -0.56 | 5 |
| 2026-09-16 | 2026-09-18 | -0.44 | 3 |
| 2026-09-11 | 2026-09-14 | -0.35 | 4 |
| 2026-04-14 | 2026-04-14 | -0.19 | 1 |
| 2026-09-02 | 2026-09-04 | -0.18 | 3 |
| 2026-04-28 | 2026-04-28 | -0.09 | 1 |