| Metric | SPY | EVNT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 74.99% | 29.5% |
| CAGR﹪ | 11.91% | 5.34% |
| Sharpe | 0.52 | 0.19 |
| Prob. Sharpe Ratio | 87.6% | 66.72% |
| Smart Sharpe | 0.5 | 0.18 |
| Sortino | 0.74 | 0.28 |
| Smart Sortino | 0.72 | 0.26 |
| Sortino/√2 | 0.53 | 0.2 |
| Smart Sortino/√2 | 0.51 | 0.18 |
| Omega | 1.14 | 1.12 |
| Max Drawdown | -24.5% | -13.14% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| Max DD Period Start | 2022-01-04 | 2021-11-12 |
| Max DD Period End | 2023-12-12 | 2023-12-13 |
| Longest DD Days | 708 | 762 |
| Volatility (ann.) | 17.19% | 9.02% |
| R^2 | 0.42 | 0.42 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.41 |
| Skew | 0.33 | 0.35 |
| Kurtosis | 8.98 | 6.74 |
| Ulcer Performance Index | 8.86 | 6.32 |
| Risk-Adjusted Return | 11.91% | 5.45% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.88% | 0.46% |
| Avg. Loss | -0.91% | -0.47% |
| Win/Loss Ratio | 0.96 | 0.98 |
| Profit Ratio | 0.86 | 0.85 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.42% |
| Expected Yearly | 9.77% | 4.4% |
| Kelly Criterion | 5.25% | 3.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.91% |
| Expected Shortfall (cVaR) | -2.58% | -1.31% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.12 |
| Gain/Pain (1M) | 0.79 | 0.81 |
| Payoff Ratio | 0.96 | 0.98 |
| Profit Factor | 1.14 | 1.12 |
| Common Sense Ratio | 1.15 | 1.14 |
| CPC Index | 0.59 | 0.57 |
| Tail Ratio | 1.0 | 1.02 |
| Outlier Win Ratio | 3.4 | 3.67 |
| Outlier Loss Ratio | 3.8 | 3.76 |
| MTD | 1.47% | 0.57% |
| 3M | 1.46% | 0.95% |
| 6M | 6.94% | 4.12% |
| YTD | 13.33% | 7.28% |
| 1Y | 13.43% | 9.08% |
| 3Y (ann.) | 20.78% | 9.71% |
| 5Y (ann.) | 12.86% | 6.26% |
| 10Y (ann.) | 11.91% | 5.34% |
| All-time (ann.) | 11.91% | 5.34% |
| 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% | -8.61% |
| Avg. Drawdown | -1.94% | -1.1% |
| Avg. Drawdown Days | 21 | 29 |
| Recovery Factor | 2.58 | 2.12 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.43 | 0.33 |
| Avg. Up Month | 4.29% | 1.85% |
| Avg. Down Month | -4.86% | -1.97% |
| Win Days | 53.48% | 52.29% |
| Win Month | 62.3% | 62.3% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.34 |
| Alpha | - | 0.01 |
| Correlation | - | 64.83% |
| Treynor Ratio | - | 86.72% |
| Year | SPY | EVNT | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -2.47 | -1.43 | - |
| 2022 | -18.18 | -8.61 | 0.47 | + |
| 2023 | 26.18 | 13.28 | 0.51 | - |
| 2024 | 24.89 | 5.14 | 0.21 | - |
| 2025 | 17.72 | 13.71 | 0.77 | - |
| 2026 | 13.33 | 7.28 | 0.55 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-12 | 2023-12-13 | -13.14 | 762 |
| 2023-12-22 | 2024-07-15 | -5.15 | 207 |
| 2025-03-07 | 2025-04-25 | -5.05 | 50 |
| 2025-10-16 | 2026-01-05 | -3.34 | 82 |
| 2024-08-01 | 2024-08-16 | -2.56 | 16 |
| 2025-09-09 | 2025-10-14 | -2.04 | 36 |
| 2026-08-17 | 2026-11-04 | -1.94 | 80 |
| 2026-02-27 | 2026-04-07 | -1.86 | 40 |
| 2024-12-09 | 2025-01-07 | -1.82 | 30 |
| 2025-07-24 | 2025-08-12 | -1.61 | 20 |