| Metric | SPY | EVNT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 88.89% | 28.5% |
| CAGR﹪ | 13.26% | 5.03% |
| Sharpe | 0.59 | 0.17 |
| Prob. Sharpe Ratio | 91.14% | 65.25% |
| Smart Sharpe | 0.58 | 0.16 |
| Sortino | 0.86 | 0.25 |
| Smart Sortino | 0.83 | 0.23 |
| Sortino/√2 | 0.61 | 0.18 |
| Smart Sortino/√2 | 0.59 | 0.16 |
| Omega | 1.16 | 1.11 |
| Max Drawdown | -24.5% | -13.84% |
| 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.) | 17.08% | 8.97% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.54 | 0.36 |
| Skew | 0.31 | 0.35 |
| Kurtosis | 9.0 | 6.72 |
| Ulcer Performance Index | 10.65 | 5.66 |
| Risk-Adjusted Return | 13.26% | 5.13% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.87% | 0.45% |
| Avg. Loss | -0.91% | -0.47% |
| Win/Loss Ratio | 0.96 | 0.98 |
| Profit Ratio | 0.84 | 0.86 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.01% | 0.4% |
| Expected Yearly | 11.18% | 4.27% |
| Kelly Criterion | 6.0% | 3.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.71% | -0.91% |
| Expected Shortfall (cVaR) | -2.57% | -1.29% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.11 |
| Gain/Pain (1M) | 0.9 | 0.76 |
| Payoff Ratio | 0.96 | 0.98 |
| Profit Factor | 1.16 | 1.11 |
| Common Sense Ratio | 1.16 | 1.12 |
| CPC Index | 0.6 | 0.57 |
| Tail Ratio | 1.0 | 1.01 |
| Outlier Win Ratio | 3.43 | 3.66 |
| Outlier Loss Ratio | 3.79 | 3.77 |
| 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.) | 13.26% | 5.03% |
| All-time (ann.) | 13.26% | 5.03% |
| 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 | -1.89% | -1.15% |
| Avg. Drawdown Days | 20 | 30 |
| Recovery Factor | 2.9 | 1.96 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.49 | 0.28 |
| Avg. Up Month | 4.38% | 1.82% |
| Avg. Down Month | -4.48% | -1.94% |
| Win Days | 53.93% | 52.11% |
| Win Month | 61.9% | 61.9% |
| Win Quarter | 68.18% | 68.18% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.34 |
| Alpha | - | 0.01 |
| Correlation | - | 63.84% |
| Treynor Ratio | - | 84.97% |
| Year | SPY | EVNT | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 9.81 | -3.22 | -0.33 | - |
| 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 |
|---|---|---|---|
| 2021-11-02 | 2023-12-20 | -13.84 | 779 |
| 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 |