| Metric | SPY | EGRIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 86.58% | 57.4% |
| CAGR﹪ | 13.36% | 9.55% |
| Sharpe | 0.59 | 1.34 |
| Prob. Sharpe Ratio | 90.85% | 99.7% |
| Smart Sharpe | 0.58 | 1.15 |
| Sortino | 0.86 | 1.8 |
| Smart Sortino | 0.83 | 1.55 |
| Sortino/√2 | 0.61 | 1.27 |
| Smart Sortino/√2 | 0.59 | 1.09 |
| Omega | 1.16 | 1.53 |
| 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.) | 17.2% | 4.04% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.55 | 0.94 |
| Skew | 0.32 | -1.88 |
| Kurtosis | 8.95 | 16.69 |
| Ulcer Performance Index | 10.24 | 23.49 |
| Risk-Adjusted Return | 13.36% | 11.79% |
| 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 | 0.92 |
| Profit Ratio | 0.83 | 0.28 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.03% | 0.75% |
| Expected Yearly | 10.95% | 7.85% |
| Kelly Criterion | -0.38% | 22.69% |
| 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 | 0.16 | 0.53 |
| Gain/Pain (1M) | 0.87 | 2.22 |
| Payoff Ratio | 0.84 | 0.92 |
| Profit Factor | 1.16 | 1.53 |
| Common Sense Ratio | 1.17 | 1.88 |
| CPC Index | 0.53 | 0.89 |
| Tail Ratio | 1.01 | 1.23 |
| Outlier Win Ratio | 3.41 | 3.99 |
| Outlier Loss Ratio | 3.77 | 3.31 |
| MTD | 1.08% | 1.01% |
| 3M | 3.82% | 3.41% |
| 6M | 19.85% | 6.54% |
| YTD | 14.3% | 11.46% |
| 1Y | 17.78% | 19.08% |
| 3Y (ann.) | 24.86% | 15.38% |
| 5Y (ann.) | 13.06% | 9.72% |
| 10Y (ann.) | 13.36% | 9.55% |
| All-time (ann.) | 13.36% | 9.55% |
| 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 | -1.89% | -0.52% |
| Avg. Drawdown Days | 20 | 14 |
| Recovery Factor | 2.85 | 4.5 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.47 | 0.72 |
| Avg. Up Month | 3.76% | 1.64% |
| Avg. Down Month | -4.33% | -1.3% |
| Win Days | 54.04% | 62.92% |
| Win Month | 63.93% | 72.13% |
| Win Quarter | 66.67% | 80.95% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.01 |
| Alpha | - | 0.09 |
| Correlation | - | 4.5% |
| Treynor Ratio | - | 5422.77% |
| Year | SPY | EGRIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.84 | 0.11 | - |
| 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 | 14.30 | 11.46 | 0.80 | - |
| 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 | 2024-05-08 | -2.08 | 30 |
| 2025-03-28 | 2025-04-23 | -2.02 | 27 |
| 2024-07-16 | 2024-09-12 | -1.86 | 59 |
| 2022-01-04 | 2022-02-09 | -1.66 | 37 |
| 2024-05-22 | 2024-07-03 | -1.40 | 43 |
| 2021-10-12 | 2021-12-20 | -1.22 | 70 |
| 2024-09-30 | 2024-11-19 | -1.11 | 51 |