| Metric | SPY | EGRIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 204.97% | 86.2% |
| CAGR﹪ | 16.25% | 8.76% |
| Sharpe | 0.72 | 1.35 |
| Prob. Sharpe Ratio | 97.45% | 99.96% |
| Smart Sharpe | 0.63 | 1.07 |
| Sortino | 1.02 | 1.79 |
| Smart Sortino | 0.88 | 1.43 |
| Sortino/√2 | 0.72 | 1.27 |
| Smart Sortino/√2 | 0.62 | 1.01 |
| Omega | 1.18 | 1.47 |
| Max Drawdown | -33.72% | -14.17% |
| Max DD Date | 2020-03-23 | 2020-03-25 |
| Max DD Period Start | 2020-02-20 | 2020-02-21 |
| Max DD Period End | 2020-08-07 | 2020-09-01 |
| Longest DD Days | 708 | 363 |
| Volatility (ann.) | 19.45% | 4.17% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.62 |
| Skew | -0.29 | -1.99 |
| Kurtosis | 13.94 | 16.4 |
| Ulcer Performance Index | 25.91 | 33.29 |
| Risk-Adjusted Return | 16.25% | 10.68% |
| Risk-Return Ratio | 0.05 | 0.13 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.77% | 0.21% |
| Avg. Loss | -1.05% | -0.23% |
| Win/Loss Ratio | 0.74 | 0.89 |
| Profit Ratio | 0.78 | 0.29 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.69% |
| Expected Yearly | 14.96% | 8.08% |
| Kelly Criterion | -5.52% | 19.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.4% |
| Expected Shortfall (cVaR) | -3.2% | -0.72% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.47 |
| Gain/Pain (1M) | 1.15 | 1.73 |
| Payoff Ratio | 0.74 | 0.89 |
| Profit Factor | 1.18 | 1.47 |
| Common Sense Ratio | 1.13 | 1.78 |
| CPC Index | 0.48 | 0.81 |
| Tail Ratio | 0.96 | 1.21 |
| Outlier Win Ratio | 3.69 | 4.12 |
| Outlier Loss Ratio | 4.12 | 3.46 |
| 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.) | 16.25% | 8.76% |
| All-time (ann.) | 16.25% | 8.76% |
| Best Day | 10.5% | 1.31% |
| Worst Day | -10.94% | -2.65% |
| Best Month | 12.7% | 5.43% |
| Worst Month | -12.49% | -10.49% |
| Best Year | 28.73% | 20.35% |
| Worst Year | -18.18% | -1.94% |
| Avg. Drawdown | -1.79% | -0.61% |
| Avg. Drawdown Days | 16 | 16 |
| Recovery Factor | 3.72 | 4.43 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 1.03 | 0.86 |
| Avg. Up Month | 4.01% | 1.75% |
| Avg. Down Month | -4.67% | -1.65% |
| Win Days | 55.15% | 61.86% |
| Win Month | 65.56% | 68.89% |
| Win Quarter | 77.42% | 77.42% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.03 |
| Alpha | - | 0.08 |
| Correlation | - | 15.97% |
| Treynor Ratio | - | 2517.42% |
| Year | SPY | EGRIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 10.83 | 0.66 | - |
| 2020 | 18.33 | 4.71 | 0.26 | - |
| 2021 | 28.73 | 3.67 | 0.13 | - |
| 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 |
|---|---|---|---|
| 2020-02-21 | 2020-09-01 | -14.17 | 194 |
| 2022-02-16 | 2023-02-13 | -10.18 | 363 |
| 2026-02-19 | 2026-06-03 | -3.37 | 105 |
| 2021-02-17 | 2021-06-02 | -2.37 | 106 |
| 2023-08-31 | 2023-12-13 | -2.24 | 105 |
| 2024-04-09 | 2024-05-06 | -2.08 | 28 |
| 2019-08-01 | 2019-09-18 | -2.05 | 49 |
| 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 |