| Metric | SPY | EGRIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 83.0% |
| Cumulative Return | 18.6% | 7.33% |
| CAGR﹪ | 40.67% | 15.2% |
| Sharpe | 2.32 | 3.41 |
| Prob. Sharpe Ratio | 95.04% | 99.29% |
| Smart Sharpe | 2.3 | 2.99 |
| Sortino | 3.78 | 5.96 |
| Smart Sortino | 3.75 | 5.23 |
| Sortino/√2 | 2.67 | 4.22 |
| Smart Sortino/√2 | 2.65 | 3.7 |
| Omega | 1.54 | 2.15 |
| Max Drawdown | -4.49% | -0.9% |
| Max DD Date | 2026-06-10 | 2026-04-08 |
| Max DD Period Start | 2026-06-03 | 2026-03-30 |
| Max DD Period End | 2026-07-31 | 2026-04-10 |
| Longest DD Days | 59 | 22 |
| Volatility (ann.) | 13.55% | 3.1% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 9.05 | 16.82 |
| Skew | 0.1 | 0.18 |
| Kurtosis | 1.12 | 0.82 |
| Ulcer Performance Index | 11.86 | 26.25 |
| Risk-Adjusted Return | 40.67% | 18.31% |
| Risk-Return Ratio | 0.16 | 0.29 |
| Avg. Return | 0.16% | 0.07% |
| Avg. Win | 0.77% | 0.22% |
| Avg. Loss | -0.59% | -0.17% |
| Win/Loss Ratio | 1.31 | 1.27 |
| Profit Ratio | 1.12 | 0.47 |
| Expected Daily | 0.14% | 0.06% |
| Expected Monthly | 2.47% | 1.02% |
| Expected Yearly | 18.6% | 7.33% |
| Kelly Criterion | 18.85% | 31.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.27% |
| Expected Shortfall (cVaR) | -1.77% | -0.39% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 1.15 |
| Gain/Pain (1M) | 10.92 | 17.27 |
| Payoff Ratio | 1.31 | 1.27 |
| Profit Factor | 1.54 | 2.15 |
| Common Sense Ratio | 2.01 | 3.41 |
| CPC Index | 1.09 | 1.68 |
| Tail Ratio | 1.3 | 1.59 |
| Outlier Win Ratio | 3.21 | 3.17 |
| Outlier Loss Ratio | 3.16 | 2.66 |
| MTD | 1.08% | 1.01% |
| 3M | 3.82% | 3.41% |
| 6M | 18.6% | 7.33% |
| YTD | 18.6% | 7.33% |
| 1Y | 18.6% | 7.33% |
| 3Y (ann.) | 40.67% | 15.2% |
| 5Y (ann.) | 40.67% | 15.2% |
| 10Y (ann.) | 40.67% | 15.2% |
| All-time (ann.) | 40.67% | 15.2% |
| Best Day | 2.91% | 0.74% |
| Worst Day | -2.58% | -0.49% |
| Best Month | 10.51% | 2.15% |
| Worst Month | -1.03% | -0.41% |
| Best Year | 18.6% | 7.33% |
| Worst Year | 18.6% | 7.33% |
| Avg. Drawdown | -1.13% | -0.35% |
| Avg. Drawdown Days | 9 | 7 |
| Recovery Factor | 3.9 | 7.86 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.75 | 7.37 |
| Avg. Up Month | 3.91% | 1.22% |
| Avg. Down Month | -0.77% | -0.41% |
| Win Days | 53.97% | 61.54% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.12 |
| Correlation | - | 23.25% |
| Treynor Ratio | - | 137.59% |
| Year | SPY | EGRIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 7.33 | 0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-30 | 2026-04-10 | -0.90 | 12 |
| 2026-05-12 | 2026-05-29 | -0.72 | 18 |
| 2026-07-10 | 2026-07-31 | -0.71 | 22 |
| 2026-04-23 | 2026-05-04 | -0.57 | 12 |
| 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 |
| 2026-08-06 | 2026-08-11 | -0.16 | 6 |