| Metric | SPY | EFFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 36.73% | 10.43% |
| CAGR﹪ | 16.17% | 4.87% |
| Sharpe | 0.73 | 0.09 |
| Prob. Sharpe Ratio | 85.91% | 54.95% |
| Smart Sharpe | 0.66 | 0.08 |
| Sortino | 1.08 | 0.11 |
| Smart Sortino | 0.98 | 0.1 |
| Sortino/√2 | 0.76 | 0.08 |
| Smart Sortino/√2 | 0.69 | 0.07 |
| Omega | 1.21 | 1.09 |
| Max Drawdown | -18.76% | -13.98% |
| Max DD Date | 2025-04-08 | 2025-04-11 |
| Max DD Period Start | 2025-02-20 | 2024-10-02 |
| Max DD Period End | 2025-06-25 | 2026-01-02 |
| Longest DD Days | 126 | 458 |
| Volatility (ann.) | 16.35% | 9.77% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.86 | 0.35 |
| Skew | 1.18 | -0.8 |
| Kurtosis | 23.08 | 2.89 |
| Ulcer Performance Index | 10.15 | 1.79 |
| Risk-Adjusted Return | 16.17% | 5.23% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.73% | 0.52% |
| Avg. Loss | -0.82% | -0.64% |
| Win/Loss Ratio | 0.9 | 0.82 |
| Profit Ratio | 0.81 | 0.54 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.21% | 0.38% |
| Expected Yearly | 10.99% | 3.36% |
| Kelly Criterion | 4.69% | 0.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.63% | -0.99% |
| Expected Shortfall (cVaR) | -2.49% | -1.5% |
| Max Consecutive Wins | 9 | 7 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.21 | 0.09 |
| Gain/Pain (1M) | 1.92 | 0.41 |
| Payoff Ratio | 0.9 | 0.82 |
| Profit Factor | 1.21 | 1.09 |
| Common Sense Ratio | 1.18 | 1.05 |
| CPC Index | 0.6 | 0.5 |
| Tail Ratio | 0.97 | 0.96 |
| Outlier Win Ratio | 3.54 | 3.7 |
| Outlier Loss Ratio | 3.89 | 3.38 |
| MTD | 1.47% | -2.24% |
| 3M | 1.46% | 3.02% |
| 6M | 6.94% | 0.83% |
| YTD | 13.33% | 12.0% |
| 1Y | 13.43% | 14.58% |
| 3Y (ann.) | 16.17% | 4.87% |
| 5Y (ann.) | 16.17% | 4.87% |
| 10Y (ann.) | 16.17% | 4.87% |
| All-time (ann.) | 16.17% | 4.87% |
| Best Day | 10.5% | 1.7% |
| Worst Day | -5.85% | -3.14% |
| Best Month | 10.51% | 5.66% |
| Worst Month | -5.57% | -6.4% |
| Best Year | 17.72% | 12.0% |
| Worst Year | 2.49% | -3.02% |
| Avg. Drawdown | -1.82% | -3.0% |
| Avg. Drawdown Days | 14 | 54 |
| Recovery Factor | 1.82 | 0.78 |
| Ulcer Index | 0.04 | 0.06 |
| Serenity Index | 0.96 | 0.09 |
| Avg. Up Month | 3.17% | 2.26% |
| Avg. Down Month | -2.24% | -2.94% |
| Win Days | 54.94% | 55.26% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 77.78% | 55.56% |
| Win Year | 100.0% | 66.67% |
| Beta | - | 0.27 |
| Alpha | - | 0.01 |
| Correlation | - | 45.39% |
| Treynor Ratio | - | 38.42% |
| Year | SPY | EFFIX | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 2.49 | -3.02 | -1.21 | - |
| 2025 | 17.72 | 1.67 | 0.09 | - |
| 2026 | 13.33 | 12.00 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-10-02 | 2026-01-02 | -13.98 | 458 |
| 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 |
| 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 |
| 2026-09-25 | 2026-10-08 | -1.23 | 14 |
| 2026-05-06 | 2026-05-07 | -0.73 | 2 |
| 2026-09-16 | 2026-09-18 | -0.44 | 3 |