| Metric | SPY | EVOAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 14.39% | 17.02% |
| CAGR﹪ | 14.51% | 17.17% |
| Sharpe | 0.83 | 1.3 |
| Prob. Sharpe Ratio | 79.61% | 89.7% |
| Smart Sharpe | 0.82 | 1.27 |
| Sortino | 1.22 | 1.84 |
| Smart Sortino | 1.2 | 1.79 |
| Sortino/√2 | 0.86 | 1.3 |
| Smart Sortino/√2 | 0.85 | 1.27 |
| Omega | 1.2 | 1.31 |
| Max Drawdown | -8.88% | -5.33% |
| Max DD Date | 2026-03-30 | 2026-06-26 |
| Max DD Period Start | 2026-01-28 | 2026-05-20 |
| Max DD Period End | 2026-04-13 | 2026-08-31 |
| Longest DD Days | 76 | 104 |
| Volatility (ann.) | 12.86% | 9.73% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.63 | 3.22 |
| Skew | -0.02 | -0.55 |
| Kurtosis | 0.78 | 1.16 |
| Ulcer Performance Index | 6.68 | 8.72 |
| Risk-Adjusted Return | 14.51% | 19.07% |
| Risk-Return Ratio | 0.07 | 0.11 |
| Avg. Return | 0.05% | 0.07% |
| Avg. Win | 0.57% | 0.53% |
| Avg. Loss | -0.66% | -0.58% |
| Win/Loss Ratio | 0.86 | 0.91 |
| Profit Ratio | 1.02 | 0.51 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.04% | 1.22% |
| Expected Yearly | 6.95% | 8.18% |
| Kelly Criterion | -3.63% | 9.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.94% |
| Expected Shortfall (cVaR) | -1.66% | -1.35% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.31 |
| Gain/Pain (1M) | 1.83 | 2.32 |
| Payoff Ratio | 0.86 | 0.91 |
| Profit Factor | 1.2 | 1.31 |
| Common Sense Ratio | 1.19 | 1.38 |
| CPC Index | 0.54 | 0.68 |
| Tail Ratio | 0.99 | 1.05 |
| Outlier Win Ratio | 2.84 | 2.95 |
| Outlier Loss Ratio | 3.01 | 3.25 |
| MTD | 1.47% | -1.84% |
| 3M | 1.46% | 3.59% |
| 6M | 6.94% | 2.51% |
| YTD | 13.33% | 10.17% |
| 1Y | 14.39% | 17.02% |
| 3Y (ann.) | 14.51% | 17.17% |
| 5Y (ann.) | 14.51% | 17.17% |
| 10Y (ann.) | 14.51% | 17.17% |
| All-time (ann.) | 14.51% | 17.17% |
| Best Day | 2.91% | 1.61% |
| Worst Day | -2.58% | -2.4% |
| Best Month | 10.51% | 4.19% |
| Worst Month | -4.94% | -2.08% |
| Best Year | 13.33% | 10.17% |
| Worst Year | 0.94% | 6.21% |
| Avg. Drawdown | -1.74% | -1.41% |
| Avg. Drawdown Days | 14 | 14 |
| Recovery Factor | 1.61 | 3.04 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 1.2 |
| Avg. Up Month | 2.61% | 2.73% |
| Avg. Down Month | -2.29% | -1.69% |
| Win Days | 52.0% | 56.95% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.17 |
| Correlation | - | -2.36% |
| Treynor Ratio | - | -953.31% |
| Year | SPY | EVOAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 6.21 | 6.62 | + |
| 2026 | 13.33 | 10.17 | 0.76 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-20 | 2026-08-31 | -5.33 | 104 |
| 2026-09-29 | 2026-11-04 | -4.28 | 37 |
| 2026-01-30 | 2026-02-24 | -2.70 | 26 |
| 2026-03-02 | 2026-04-06 | -2.10 | 36 |
| 2025-11-13 | 2025-11-26 | -1.96 | 14 |
| 2026-04-08 | 2026-04-23 | -1.95 | 16 |
| 2025-12-29 | 2025-12-31 | -1.81 | 3 |
| 2026-01-07 | 2026-01-09 | -1.70 | 3 |
| 2026-05-06 | 2026-05-08 | -1.18 | 3 |
| 2026-01-16 | 2026-01-21 | -0.92 | 6 |