| Metric | SPY | EMEQ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 52.07% |
| CAGR﹪ | 14.51% | 52.59% |
| Sharpe | 0.83 | 1.12 |
| Prob. Sharpe Ratio | 79.61% | 86.48% |
| Smart Sharpe | 0.82 | 1.02 |
| Sortino | 1.22 | 1.61 |
| Smart Sortino | 1.2 | 1.46 |
| Sortino/√2 | 0.86 | 1.14 |
| Smart Sortino/√2 | 0.85 | 1.03 |
| Omega | 1.2 | 1.23 |
| Max Drawdown | -8.88% | -26.3% |
| Max DD Date | 2026-03-30 | 2026-10-22 |
| Max DD Period Start | 2026-01-28 | 2026-06-23 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 135 |
| Volatility (ann.) | 12.86% | 42.34% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 1.63 | 2.0 |
| Skew | -0.02 | -0.39 |
| Kurtosis | 0.78 | 2.14 |
| Ulcer Performance Index | 6.68 | 4.3 |
| Risk-Adjusted Return | 14.51% | 52.59% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.06% | 0.2% |
| Avg. Win | 0.71% | 2.24% |
| Avg. Loss | -0.71% | -2.27% |
| Win/Loss Ratio | 1.01 | 0.99 |
| Profit Ratio | 1.02 | 0.76 |
| Expected Daily | 0.05% | 0.17% |
| Expected Monthly | 1.04% | 3.28% |
| Expected Yearly | 6.95% | 23.32% |
| Kelly Criterion | 4.51% | 11.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -4.18% |
| Expected Shortfall (cVaR) | -1.66% | -6.22% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.23 |
| Gain/Pain (1M) | 1.83 | 1.21 |
| Payoff Ratio | 1.01 | 0.99 |
| Profit Factor | 1.2 | 1.23 |
| Common Sense Ratio | 1.19 | 1.26 |
| CPC Index | 0.63 | 0.68 |
| Tail Ratio | 0.99 | 1.03 |
| Outlier Win Ratio | 2.84 | 3.13 |
| Outlier Loss Ratio | 3.01 | 3.69 |
| MTD | 1.47% | 0.58% |
| 3M | 1.46% | -6.37% |
| 6M | 6.94% | 3.64% |
| YTD | 13.33% | 45.84% |
| 1Y | 14.39% | 52.07% |
| 3Y (ann.) | 14.51% | 52.59% |
| 5Y (ann.) | 14.51% | 52.59% |
| 10Y (ann.) | 14.51% | 52.59% |
| All-time (ann.) | 14.51% | 52.59% |
| Best Day | 2.91% | 8.82% |
| Worst Day | -2.58% | -11.57% |
| Best Month | 10.51% | 24.41% |
| Worst Month | -4.94% | -15.17% |
| Best Year | 13.33% | 45.84% |
| Worst Year | 0.94% | 4.27% |
| Avg. Drawdown | -1.74% | -4.66% |
| Avg. Drawdown Days | 14 | 14 |
| Recovery Factor | 1.61 | 1.93 |
| Ulcer Index | 0.02 | 0.12 |
| Serenity Index | 0.94 | 0.46 |
| Avg. Up Month | 3.58% | 12.51% |
| Avg. Down Month | -2.92% | -12.39% |
| Win Days | 52.0% | 56.0% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 2.22 |
| Alpha | - | 0.19 |
| Correlation | - | 67.53% |
| Treynor Ratio | - | 23.42% |
| Year | SPY | EMEQ | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 4.27 | 4.56 | + |
| 2026 | 13.33 | 45.84 | 3.44 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-11-04 | -26.30 | 135 |
| 2026-02-26 | 2026-04-16 | -17.91 | 50 |
| 2026-06-03 | 2026-06-17 | -14.27 | 15 |
| 2026-05-12 | 2026-05-22 | -8.74 | 11 |
| 2025-11-13 | 2025-12-24 | -6.77 | 42 |
| 2026-01-29 | 2026-02-06 | -3.20 | 9 |
| 2026-04-20 | 2026-04-21 | -2.49 | 2 |
| 2026-01-20 | 2026-01-20 | -2.16 | 1 |
| 2026-04-23 | 2026-04-23 | -2.14 | 1 |
| 2026-05-07 | 2026-05-07 | -2.09 | 1 |