| Metric | SPY | EMEQ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 43.18% | 147.04% |
| CAGR﹪ | 18.12% | 52.15% |
| Sharpe | 0.84 | 1.28 |
| Prob. Sharpe Ratio | 89.52% | 96.79% |
| Smart Sharpe | 0.76 | 1.15 |
| Sortino | 1.24 | 1.88 |
| Smart Sortino | 1.12 | 1.69 |
| Sortino/√2 | 0.88 | 1.33 |
| Smart Sortino/√2 | 0.8 | 1.2 |
| Omega | 1.24 | 1.29 |
| Max Drawdown | -18.76% | -26.3% |
| Max DD Date | 2025-04-08 | 2026-10-22 |
| Max DD Period Start | 2025-02-20 | 2026-06-23 |
| Max DD Period End | 2025-06-25 | 2026-11-04 |
| Longest DD Days | 126 | 228 |
| Volatility (ann.) | 16.22% | 33.95% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 0.97 | 1.98 |
| Skew | 1.15 | -0.24 |
| Kurtosis | 23.04 | 3.83 |
| Ulcer Performance Index | 12.12 | 16.09 |
| Risk-Adjusted Return | 18.12% | 52.15% |
| Risk-Return Ratio | 0.07 | 0.09 |
| Avg. Return | 0.07% | 0.19% |
| Avg. Win | 0.76% | 1.75% |
| Avg. Loss | -0.84% | -1.84% |
| Win/Loss Ratio | 0.91 | 0.95 |
| Profit Ratio | 0.8 | 0.78 |
| Expected Daily | 0.07% | 0.17% |
| Expected Monthly | 1.34% | 3.41% |
| Expected Yearly | 12.71% | 35.18% |
| Kelly Criterion | 6.26% | 10.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.61% | -3.33% |
| Expected Shortfall (cVaR) | -2.45% | -5.19% |
| Max Consecutive Wins | 9 | 15 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.24 | 0.29 |
| Gain/Pain (1M) | 2.18 | 2.01 |
| Payoff Ratio | 0.91 | 0.95 |
| Profit Factor | 1.24 | 1.29 |
| Common Sense Ratio | 1.2 | 1.46 |
| CPC Index | 0.62 | 0.69 |
| Tail Ratio | 0.97 | 1.14 |
| Outlier Win Ratio | 3.46 | 3.82 |
| Outlier Loss Ratio | 3.89 | 3.87 |
| MTD | 1.47% | 0.58% |
| 3M | 1.46% | -6.37% |
| 6M | 6.94% | 3.64% |
| YTD | 13.33% | 45.84% |
| 1Y | 13.43% | 48.92% |
| 3Y (ann.) | 18.12% | 52.15% |
| 5Y (ann.) | 18.12% | 52.15% |
| 10Y (ann.) | 18.12% | 52.15% |
| All-time (ann.) | 18.12% | 52.15% |
| Best Day | 10.5% | 9.07% |
| Worst Day | -5.85% | -11.57% |
| Best Month | 10.51% | 24.41% |
| Worst Month | -5.57% | -15.17% |
| Best Year | 17.72% | 69.78% |
| Worst Year | 7.32% | -0.23% |
| Avg. Drawdown | -1.68% | -3.99% |
| Avg. Drawdown Days | 13 | 18 |
| Recovery Factor | 2.06 | 3.91 |
| Ulcer Index | 0.04 | 0.09 |
| Serenity Index | 1.09 | 1.14 |
| Avg. Up Month | 3.71% | 10.4% |
| Avg. Down Month | -2.0% | -5.9% |
| Win Days | 55.43% | 56.17% |
| Win Month | 62.96% | 66.67% |
| Win Quarter | 80.0% | 70.0% |
| Win Year | 100.0% | 66.67% |
| Beta | - | 1.28 |
| Alpha | - | 0.25 |
| Correlation | - | 60.95% |
| Treynor Ratio | - | 115.29% |
| Year | SPY | EMEQ | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 7.32 | -0.23 | -0.03 | - |
| 2025 | 17.72 | 69.78 | 3.94 | + |
| 2026 | 13.33 | 45.84 | 3.44 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-11-04 | -26.30 | 135 |
| 2024-09-27 | 2025-05-12 | -19.24 | 228 |
| 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 |
| 2025-07-11 | 2025-08-12 | -3.83 | 33 |
| 2026-01-29 | 2026-02-06 | -3.20 | 9 |
| 2025-08-14 | 2025-09-04 | -3.19 | 22 |