| Metric | SPY | EGRIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 17.87% | 18.58% |
| CAGR﹪ | 18.02% | 18.74% |
| Sharpe | 1.04 | 3.65 |
| Prob. Sharpe Ratio | 84.73% | 99.94% |
| Smart Sharpe | 1.01 | 2.88 |
| Sortino | 1.51 | 5.52 |
| Smart Sortino | 1.47 | 4.35 |
| Sortino/√2 | 1.07 | 3.9 |
| Smart Sortino/√2 | 1.04 | 3.08 |
| Omega | 1.25 | 2.32 |
| Max Drawdown | -8.88% | -3.37% |
| Max DD Date | 2026-03-30 | 2026-04-08 |
| Max DD Period Start | 2026-01-28 | 2026-02-19 |
| Max DD Period End | 2026-04-13 | 2026-06-03 |
| Longest DD Days | 76 | 105 |
| Volatility (ann.) | 12.99% | 3.65% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 2.03 | 5.57 |
| Skew | -0.15 | -0.96 |
| Kurtosis | 1.05 | 3.92 |
| Ulcer Performance Index | 8.3 | 19.78 |
| Risk-Adjusted Return | 18.02% | 23.13% |
| Risk-Return Ratio | 0.08 | 0.3 |
| Avg. Return | 0.14% | 0.08% |
| Avg. Win | 0.66% | 0.22% |
| Avg. Loss | -0.62% | -0.2% |
| Win/Loss Ratio | 1.07 | 1.07 |
| Profit Ratio | 0.94 | 0.25 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.27% | 1.32% |
| Expected Yearly | 8.57% | 8.89% |
| Kelly Criterion | 10.24% | 40.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.31% |
| Expected Shortfall (cVaR) | -1.72% | -0.56% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 1.32 |
| Gain/Pain (1M) | 2.6 | 5.72 |
| Payoff Ratio | 1.07 | 1.07 |
| Profit Factor | 1.25 | 2.32 |
| Common Sense Ratio | 1.24 | 3.88 |
| CPC Index | 0.72 | 1.72 |
| Tail Ratio | 0.99 | 1.68 |
| Outlier Win Ratio | 2.88 | 3.63 |
| Outlier Loss Ratio | 3.19 | 3.7 |
| MTD | 1.08% | 1.01% |
| 3M | 3.82% | 3.41% |
| 6M | 19.85% | 6.54% |
| YTD | 14.3% | 11.46% |
| 1Y | 17.87% | 18.58% |
| 3Y (ann.) | 18.02% | 18.74% |
| 5Y (ann.) | 18.02% | 18.74% |
| 10Y (ann.) | 18.02% | 18.74% |
| All-time (ann.) | 18.02% | 18.74% |
| Best Day | 2.91% | 0.74% |
| Worst Day | -2.7% | -0.97% |
| Best Month | 10.51% | 4.28% |
| Worst Month | -4.94% | -2.97% |
| Best Year | 14.3% | 11.46% |
| Worst Year | 3.13% | 6.38% |
| Avg. Drawdown | -1.71% | -0.39% |
| Avg. Drawdown Days | 13 | 9 |
| Recovery Factor | 1.94 | 5.08 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 1.66 |
| Avg. Up Month | 2.41% | 1.66% |
| Avg. Down Month | -4.94% | -2.97% |
| Win Days | 53.6% | 69.31% |
| Win Month | 76.92% | 92.31% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.16 |
| Correlation | - | 17.67% |
| Treynor Ratio | - | 374.48% |
| Year | SPY | EGRIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 6.38 | 2.04 | + |
| 2026 | 14.30 | 11.46 | 0.80 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-19 | 2026-06-03 | -3.37 | 105 |
| 2026-07-10 | 2026-07-31 | -0.71 | 22 |
| 2026-01-30 | 2026-02-02 | -0.57 | 4 |
| 2025-12-08 | 2025-12-12 | -0.49 | 5 |
| 2026-06-05 | 2026-06-11 | -0.40 | 7 |
| 2026-06-23 | 2026-06-29 | -0.40 | 7 |
| 2026-07-07 | 2026-07-08 | -0.24 | 2 |
| 2026-08-31 | 2026-08-31 | -0.23 | 1 |
| 2026-09-17 | 2026-09-22 | -0.23 | 6 |
| 2025-10-14 | 2025-10-14 | -0.17 | 1 |