| Metric | SPY | EGRIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 74.99% | 56.66% |
| CAGR﹪ | 11.91% | 9.45% |
| Sharpe | 0.52 | 1.3 |
| Prob. Sharpe Ratio | 87.6% | 99.62% |
| Smart Sharpe | 0.5 | 1.11 |
| Sortino | 0.74 | 1.74 |
| Smart Sortino | 0.72 | 1.5 |
| Sortino/√2 | 0.53 | 1.23 |
| Smart Sortino/√2 | 0.51 | 1.06 |
| Omega | 1.14 | 1.52 |
| Max Drawdown | -24.5% | -10.18% |
| Max DD Date | 2022-10-12 | 2022-07-15 |
| Max DD Period Start | 2022-01-04 | 2022-02-16 |
| Max DD Period End | 2023-12-12 | 2023-02-13 |
| Longest DD Days | 708 | 363 |
| Volatility (ann.) | 17.19% | 4.05% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.49 | 0.93 |
| Skew | 0.33 | -1.86 |
| Kurtosis | 8.98 | 16.48 |
| Ulcer Performance Index | 8.86 | 23.19 |
| Risk-Adjusted Return | 11.91% | 11.52% |
| Risk-Return Ratio | 0.05 | 0.14 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.74% | 0.21% |
| Avg. Loss | -0.88% | -0.22% |
| Win/Loss Ratio | 0.84 | 0.93 |
| Profit Ratio | 0.86 | 0.29 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.92% | 0.74% |
| Expected Yearly | 9.77% | 7.77% |
| Kelly Criterion | -1.89% | 22.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.38% |
| Expected Shortfall (cVaR) | -2.58% | -0.65% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.52 |
| Gain/Pain (1M) | 0.79 | 2.13 |
| Payoff Ratio | 0.84 | 0.93 |
| Profit Factor | 1.14 | 1.52 |
| Common Sense Ratio | 1.15 | 1.86 |
| CPC Index | 0.51 | 0.88 |
| Tail Ratio | 1.0 | 1.23 |
| Outlier Win Ratio | 3.4 | 3.95 |
| Outlier Loss Ratio | 3.8 | 3.33 |
| MTD | 1.47% | -0.54% |
| 3M | 1.46% | 1.49% |
| 6M | 6.94% | 4.53% |
| YTD | 13.33% | 10.52% |
| 1Y | 13.43% | 14.64% |
| 3Y (ann.) | 20.78% | 14.53% |
| 5Y (ann.) | 12.86% | 9.6% |
| 10Y (ann.) | 11.91% | 9.45% |
| All-time (ann.) | 11.91% | 9.45% |
| Best Day | 10.5% | 1.31% |
| Worst Day | -5.85% | -2.65% |
| Best Month | 10.51% | 4.28% |
| Worst Month | -9.24% | -2.97% |
| Best Year | 26.18% | 20.35% |
| Worst Year | -18.18% | -1.94% |
| Avg. Drawdown | -1.94% | -0.52% |
| Avg. Drawdown Days | 21 | 14 |
| Recovery Factor | 2.58 | 4.45 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.43 | 0.71 |
| Avg. Up Month | 3.84% | 1.66% |
| Avg. Down Month | -4.2% | -1.22% |
| Win Days | 53.48% | 62.51% |
| Win Month | 62.3% | 70.49% |
| Win Quarter | 71.43% | 76.19% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.01 |
| Alpha | - | 0.09 |
| Correlation | - | 4.49% |
| Treynor Ratio | - | 5352.26% |
| Year | SPY | EGRIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 1.22 | 0.71 | - |
| 2022 | -18.18 | -1.94 | 0.11 | + |
| 2023 | 26.18 | 8.37 | 0.32 | - |
| 2024 | 24.89 | 9.50 | 0.38 | - |
| 2025 | 17.72 | 20.35 | 1.15 | + |
| 2026 | 13.33 | 10.52 | 0.79 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-16 | 2023-02-13 | -10.18 | 363 |
| 2026-02-19 | 2026-06-03 | -3.37 | 105 |
| 2023-08-31 | 2023-12-13 | -2.24 | 105 |
| 2024-04-09 | 2024-05-06 | -2.08 | 28 |
| 2025-03-28 | 2025-04-23 | -2.02 | 27 |
| 2024-07-16 | 2024-09-12 | -1.86 | 59 |
| 2022-01-04 | 2022-02-04 | -1.66 | 32 |
| 2024-05-22 | 2024-07-03 | -1.40 | 43 |
| 2026-10-19 | 2026-11-04 | -1.22 | 17 |
| 2024-09-30 | 2024-11-14 | -1.11 | 46 |