| Metric | SPY | EGRIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 14.39% | 14.74% |
| CAGR﹪ | 14.51% | 14.86% |
| Sharpe | 0.83 | 2.78 |
| Prob. Sharpe Ratio | 79.61% | 99.47% |
| Smart Sharpe | 0.82 | 2.15 |
| Sortino | 1.22 | 4.11 |
| Smart Sortino | 1.2 | 3.18 |
| Sortino/√2 | 0.86 | 2.9 |
| Smart Sortino/√2 | 0.85 | 2.25 |
| Omega | 1.2 | 1.93 |
| 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.) | 12.86% | 3.7% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 1.63 | 4.42 |
| Skew | -0.02 | -0.85 |
| Kurtosis | 0.78 | 3.39 |
| Ulcer Performance Index | 6.68 | 15.43 |
| Risk-Adjusted Return | 14.51% | 18.12% |
| Risk-Return Ratio | 0.07 | 0.24 |
| Avg. Return | 0.12% | 0.07% |
| Avg. Win | 0.67% | 0.22% |
| Avg. Loss | -0.62% | -0.2% |
| Win/Loss Ratio | 1.08 | 1.09 |
| Profit Ratio | 1.02 | 0.32 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.04% | 1.06% |
| Expected Yearly | 6.95% | 7.11% |
| Kelly Criterion | 7.42% | 32.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.33% |
| Expected Shortfall (cVaR) | -1.66% | -0.59% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.93 |
| Gain/Pain (1M) | 1.83 | 3.27 |
| Payoff Ratio | 1.08 | 1.09 |
| Profit Factor | 1.2 | 1.93 |
| Common Sense Ratio | 1.19 | 2.51 |
| CPC Index | 0.67 | 1.36 |
| Tail Ratio | 0.99 | 1.3 |
| Outlier Win Ratio | 2.84 | 3.61 |
| Outlier Loss Ratio | 3.01 | 3.78 |
| MTD | 1.47% | -0.54% |
| 3M | 1.46% | 1.49% |
| 6M | 6.94% | 4.53% |
| YTD | 13.33% | 10.52% |
| 1Y | 14.39% | 14.74% |
| 3Y (ann.) | 14.51% | 14.86% |
| 5Y (ann.) | 14.51% | 14.86% |
| 10Y (ann.) | 14.51% | 14.86% |
| All-time (ann.) | 14.51% | 14.86% |
| Best Day | 2.91% | 0.74% |
| Worst Day | -2.58% | -0.97% |
| Best Month | 10.51% | 4.28% |
| Worst Month | -4.94% | -2.97% |
| Best Year | 13.33% | 10.52% |
| Worst Year | 0.94% | 3.81% |
| Avg. Drawdown | -1.74% | -0.5% |
| Avg. Drawdown Days | 14 | 11 |
| Recovery Factor | 1.61 | 4.11 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 1.34 |
| Avg. Up Month | 2.98% | 1.88% |
| Avg. Down Month | -2.92% | -1.83% |
| Win Days | 52.0% | 64.88% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.04 |
| Alpha | - | 0.13 |
| Correlation | - | 14.7% |
| Treynor Ratio | - | 348.44% |
| Year | SPY | EGRIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 3.81 | 4.06 | + |
| 2026 | 13.33 | 10.52 | 0.79 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-19 | 2026-06-03 | -3.37 | 105 |
| 2026-10-19 | 2026-11-04 | -1.22 | 17 |
| 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 |
| 2026-10-02 | 2026-10-15 | -0.46 | 14 |
| 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 |