| Metric | SPY | EVNT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 90.51% | 28.21% |
| CAGR﹪ | 13.8% | 5.11% |
| Sharpe | 0.62 | 0.18 |
| Prob. Sharpe Ratio | 91.71% | 65.44% |
| Smart Sharpe | 0.6 | 0.17 |
| Sortino | 0.89 | 0.26 |
| Smart Sortino | 0.87 | 0.24 |
| Sortino/√2 | 0.63 | 0.18 |
| Smart Sortino/√2 | 0.61 | 0.17 |
| Omega | 1.16 | 1.11 |
| 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.) | 17.19% | 9.06% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.56 | 0.37 |
| Skew | 0.31 | 0.35 |
| Kurtosis | 8.94 | 6.58 |
| Ulcer Performance Index | 10.71 | 5.54 |
| Risk-Adjusted Return | 13.8% | 5.16% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.88% | 0.46% |
| Avg. Loss | -0.91% | -0.47% |
| Win/Loss Ratio | 0.96 | 0.98 |
| Profit Ratio | 0.83 | 0.9 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.06% | 0.41% |
| Expected Yearly | 11.34% | 4.23% |
| Kelly Criterion | 6.23% | 2.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.72% | -0.92% |
| Expected Shortfall (cVaR) | -2.58% | -1.3% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.11 |
| Gain/Pain (1M) | 0.92 | 0.75 |
| Payoff Ratio | 0.96 | 0.98 |
| Profit Factor | 1.16 | 1.11 |
| Common Sense Ratio | 1.18 | 1.14 |
| CPC Index | 0.6 | 0.57 |
| Tail Ratio | 1.01 | 1.02 |
| Outlier Win Ratio | 3.41 | 3.61 |
| Outlier Loss Ratio | 3.78 | 3.78 |
| 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.) | 13.8% | 5.11% |
| All-time (ann.) | 13.8% | 5.11% |
| 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 | -1.87% | -1.15% |
| Avg. Drawdown Days | 20 | 30 |
| Recovery Factor | 2.93 | 1.94 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.49 | 0.27 |
| Avg. Up Month | 4.37% | 1.83% |
| Avg. Down Month | -4.48% | -1.94% |
| Win Days | 54.07% | 51.86% |
| 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 | - | 63.84% |
| Treynor Ratio | - | 83.86% |
| Year | SPY | EVNT | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 9.81 | -3.22 | -0.33 | - |
| 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 |