| Metric | SPY | EVNT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 86.58% | 28.83% |
| CAGR﹪ | 13.36% | 5.23% |
| Sharpe | 0.59 | 0.19 |
| Prob. Sharpe Ratio | 90.85% | 66.32% |
| Smart Sharpe | 0.58 | 0.18 |
| Sortino | 0.86 | 0.27 |
| Smart Sortino | 0.83 | 0.25 |
| Sortino/√2 | 0.61 | 0.19 |
| Smart Sortino/√2 | 0.59 | 0.18 |
| Omega | 1.16 | 1.12 |
| Max Drawdown | -24.5% | -13.85% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| Max DD Period Start | 2022-01-04 | 2021-11-02 |
| Max DD Period End | 2023-12-12 | 2023-12-20 |
| Longest DD Days | 708 | 779 |
| Volatility (ann.) | 17.2% | 9.07% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.38 |
| Skew | 0.32 | 0.35 |
| Kurtosis | 8.95 | 6.57 |
| Ulcer Performance Index | 10.24 | 5.66 |
| Risk-Adjusted Return | 13.36% | 5.28% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.88% | 0.46% |
| Avg. Loss | -0.92% | -0.47% |
| Win/Loss Ratio | 0.96 | 0.98 |
| Profit Ratio | 0.83 | 0.89 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.42% |
| Expected Yearly | 10.95% | 4.31% |
| Kelly Criterion | 6.03% | 2.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.92% |
| Expected Shortfall (cVaR) | -2.58% | -1.3% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.12 |
| Gain/Pain (1M) | 0.87 | 0.77 |
| Payoff Ratio | 0.96 | 0.98 |
| Profit Factor | 1.16 | 1.12 |
| Common Sense Ratio | 1.17 | 1.14 |
| CPC Index | 0.6 | 0.57 |
| Tail Ratio | 1.01 | 1.02 |
| Outlier Win Ratio | 3.41 | 3.61 |
| Outlier Loss Ratio | 3.77 | 3.77 |
| MTD | 1.08% | 0.94% |
| 3M | 3.82% | 2.85% |
| 6M | 19.85% | 6.29% |
| YTD | 14.3% | 7.02% |
| 1Y | 17.78% | 9.41% |
| 3Y (ann.) | 24.86% | 11.4% |
| 5Y (ann.) | 13.06% | 5.52% |
| 10Y (ann.) | 13.36% | 5.23% |
| All-time (ann.) | 13.36% | 5.23% |
| Best Day | 10.5% | 4.7% |
| Worst Day | -5.85% | -3.13% |
| Best Month | 10.51% | 5.1% |
| Worst Month | -9.24% | -4.25% |
| Best Year | 26.18% | 13.71% |
| Worst Year | -18.18% | -8.6% |
| Avg. Drawdown | -1.89% | -1.14% |
| Avg. Drawdown Days | 20 | 30 |
| Recovery Factor | 2.85 | 1.98 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.47 | 0.28 |
| Avg. Up Month | 4.37% | 1.83% |
| Avg. Down Month | -4.62% | -1.9% |
| Win Days | 54.04% | 51.91% |
| Win Month | 63.93% | 60.66% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.34 |
| Alpha | - | 0.01 |
| Correlation | - | 63.9% |
| Treynor Ratio | - | 85.6% |
| Year | SPY | EVNT | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -2.75 | -0.36 | - |
| 2022 | -18.18 | -8.60 | 0.47 | + |
| 2023 | 26.18 | 13.28 | 0.51 | - |
| 2024 | 24.89 | 5.14 | 0.21 | - |
| 2025 | 17.72 | 13.71 | 0.77 | - |
| 2026 | 14.30 | 7.02 | 0.49 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-02 | 2023-12-20 | -13.85 | 779 |
| 2023-12-22 | 2024-07-15 | -5.15 | 207 |
| 2025-03-07 | 2025-04-25 | -5.06 | 50 |
| 2025-10-16 | 2026-01-05 | -3.35 | 82 |
| 2024-08-01 | 2024-08-16 | -2.56 | 16 |
| 2025-09-09 | 2025-10-14 | -2.04 | 36 |
| 2026-08-17 | 2026-09-22 | -1.94 | 37 |
| 2026-02-27 | 2026-04-07 | -1.86 | 40 |
| 2024-12-09 | 2025-01-07 | -1.81 | 30 |
| 2025-07-24 | 2025-08-12 | -1.61 | 20 |