| Metric | SPY | EGRIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 6.48% | 4.11% |
| CAGR﹪ | 13.27% | 8.32% |
| Sharpe | 0.78 | 1.64 |
| Prob. Sharpe Ratio | 70.87% | 87.72% |
| Smart Sharpe | 0.75 | 1.62 |
| Sortino | 1.14 | 2.57 |
| Smart Sortino | 1.09 | 2.55 |
| Sortino/√2 | 0.8 | 1.82 |
| Smart Sortino/√2 | 0.77 | 1.8 |
| Omega | 1.19 | 1.62 |
| Max Drawdown | -4.49% | -1.22% |
| Max DD Date | 2026-06-10 | 2026-11-04 |
| Max DD Period Start | 2026-06-03 | 2026-10-19 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 25 |
| Volatility (ann.) | 12.4% | 2.72% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.95 | 6.8 |
| Skew | -0.15 | 0.05 |
| Kurtosis | 0.59 | -0.12 |
| Ulcer Performance Index | 3.89 | 12.62 |
| Risk-Adjusted Return | 13.27% | 10.15% |
| Risk-Return Ratio | 0.07 | 0.19 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.77% | 0.18% |
| Avg. Loss | -0.67% | -0.15% |
| Win/Loss Ratio | 1.15 | 1.14 |
| Profit Ratio | 1.15 | 0.49 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.9% | 0.58% |
| Expected Yearly | 6.48% | 4.11% |
| Kelly Criterion | 7.35% | 18.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.25% |
| Expected Shortfall (cVaR) | -1.63% | -0.35% |
| Max Consecutive Wins | 4 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | 0.62 |
| Gain/Pain (1M) | 3.26 | 3.3 |
| Payoff Ratio | 1.15 | 1.14 |
| Profit Factor | 1.19 | 1.62 |
| Common Sense Ratio | 1.47 | 2.18 |
| CPC Index | 0.69 | 1.04 |
| Tail Ratio | 1.23 | 1.35 |
| Outlier Win Ratio | 2.66 | 3.06 |
| Outlier Loss Ratio | 3.07 | 2.51 |
| MTD | 1.47% | -0.54% |
| 3M | 1.46% | 1.49% |
| 6M | 6.48% | 4.11% |
| YTD | 6.48% | 4.11% |
| 1Y | 6.48% | 4.11% |
| 3Y (ann.) | 13.27% | 8.32% |
| 5Y (ann.) | 13.27% | 8.32% |
| 10Y (ann.) | 13.27% | 8.32% |
| All-time (ann.) | 13.27% | 8.32% |
| Best Day | 1.8% | 0.46% |
| Worst Day | -2.58% | -0.4% |
| Best Month | 4.52% | 1.65% |
| Worst Month | -1.03% | -0.69% |
| Best Year | 6.48% | 4.11% |
| Worst Year | 6.48% | 4.11% |
| Avg. Drawdown | -1.57% | -0.38% |
| Avg. Drawdown Days | 17 | 8 |
| Recovery Factor | 1.48 | 3.31 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.91 | 2.57 |
| Avg. Up Month | 2.41% | 0.82% |
| Avg. Down Month | -0.91% | -0.69% |
| Win Days | 50.39% | 56.73% |
| Win Month | 57.14% | 71.43% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.07 |
| Correlation | - | 23.16% |
| Treynor Ratio | - | 80.91% |
| Year | SPY | EGRIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 4.11 | 0.63 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-10-19 | 2026-11-04 | -1.22 | 17 |
| 2026-05-12 | 2026-05-29 | -0.72 | 18 |
| 2026-07-07 | 2026-07-31 | -0.71 | 25 |
| 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 |
| 2026-08-31 | 2026-08-31 | -0.23 | 1 |
| 2026-09-17 | 2026-09-23 | -0.23 | 7 |
| 2026-08-06 | 2026-08-07 | -0.16 | 2 |
| 2026-09-28 | 2026-09-29 | -0.15 | 2 |