| Metric | SPY | EMEQ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 96.33% |
| CAGR﹪ | 18.02% | 97.39% |
| Sharpe | 1.04 | 1.74 |
| Prob. Sharpe Ratio | 84.73% | 95.37% |
| Smart Sharpe | 1.01 | 1.54 |
| Sortino | 1.51 | 2.54 |
| Smart Sortino | 1.47 | 2.26 |
| Sortino/√2 | 1.07 | 1.8 |
| Smart Sortino/√2 | 1.04 | 1.6 |
| Omega | 1.25 | 1.37 |
| Max Drawdown | -8.88% | -26.25% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2026-01-28 | 2026-06-23 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 92 |
| Volatility (ann.) | 12.99% | 41.99% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | 0.11 | 0.11 |
| Calmar | 2.03 | 3.71 |
| Skew | -0.15 | -0.47 |
| Kurtosis | 1.05 | 2.36 |
| Ulcer Performance Index | 8.3 | 9.91 |
| Risk-Adjusted Return | 18.02% | 97.39% |
| Risk-Return Ratio | 0.08 | 0.12 |
| Avg. Return | 0.07% | 0.31% |
| Avg. Win | 0.71% | 2.22% |
| Avg. Loss | -0.72% | -2.19% |
| Win/Loss Ratio | 0.99 | 1.02 |
| Profit Ratio | 0.94 | 0.72 |
| Expected Daily | 0.07% | 0.27% |
| Expected Monthly | 1.27% | 5.33% |
| Expected Yearly | 8.57% | 40.12% |
| Kelly Criterion | 6.54% | 16.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -4.05% |
| Expected Shortfall (cVaR) | -1.72% | -5.94% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.37 |
| Gain/Pain (1M) | 2.6 | 2.42 |
| Payoff Ratio | 0.99 | 1.02 |
| Profit Factor | 1.25 | 1.37 |
| Common Sense Ratio | 1.24 | 1.41 |
| CPC Index | 0.66 | 0.81 |
| Tail Ratio | 0.99 | 1.03 |
| Outlier Win Ratio | 2.88 | 3.12 |
| Outlier Loss Ratio | 3.19 | 3.78 |
| MTD | 1.08% | 6.21% |
| 3M | 3.82% | -9.1% |
| 6M | 19.85% | 50.25% |
| YTD | 14.3% | 70.6% |
| 1Y | 17.87% | 96.33% |
| 3Y (ann.) | 18.02% | 97.39% |
| 5Y (ann.) | 18.02% | 97.39% |
| 10Y (ann.) | 18.02% | 97.39% |
| All-time (ann.) | 18.02% | 97.39% |
| Best Day | 2.91% | 8.82% |
| Worst Day | -2.7% | -11.57% |
| Best Month | 10.51% | 24.41% |
| Worst Month | -4.94% | -15.17% |
| Best Year | 14.3% | 70.6% |
| Worst Year | 3.13% | 15.08% |
| Avg. Drawdown | -1.71% | -4.37% |
| Avg. Drawdown Days | 13 | 11 |
| Recovery Factor | 1.94 | 2.91 |
| Ulcer Index | 0.02 | 0.1 |
| Serenity Index | 1.16 | 1.02 |
| Avg. Up Month | 3.35% | 13.15% |
| Avg. Down Month | -4.94% | -13.54% |
| Win Days | 53.6% | 58.0% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 2.2 |
| Alpha | - | 0.39 |
| Correlation | - | 68.06% |
| Treynor Ratio | - | 43.8% |
| Year | SPY | EMEQ | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 15.08 | 4.83 | + |
| 2026 | 14.30 | 70.60 | 4.94 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-09-22 | -26.25 | 92 |
| 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 |
| 2025-11-04 | 2025-12-24 | -7.09 | 51 |
| 2025-10-07 | 2025-10-16 | -5.68 | 10 |
| 2026-01-29 | 2026-02-06 | -3.20 | 9 |
| 2026-04-20 | 2026-04-21 | -2.49 | 2 |
| 2025-09-24 | 2025-09-30 | -2.43 | 7 |
| 2026-01-20 | 2026-01-20 | -2.16 | 1 |