| Metric | SPY | EVOAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 86.58% | 42.78% |
| CAGR﹪ | 13.36% | 7.43% |
| Sharpe | 0.59 | 0.4 |
| Prob. Sharpe Ratio | 90.85% | 81.26% |
| Smart Sharpe | 0.58 | 0.36 |
| Sortino | 0.86 | 0.54 |
| Smart Sortino | 0.83 | 0.49 |
| Sortino/√2 | 0.61 | 0.38 |
| Smart Sortino/√2 | 0.59 | 0.34 |
| Omega | 1.16 | 1.15 |
| Max Drawdown | -24.5% | -19.04% |
| Max DD Date | 2022-10-12 | 2025-05-14 |
| Max DD Period Start | 2022-01-04 | 2024-04-12 |
| Max DD Period End | 2023-12-12 | 2026-01-27 |
| Longest DD Days | 708 | 656 |
| Volatility (ann.) | 17.2% | 9.48% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.55 | 0.39 |
| Skew | 0.32 | -0.88 |
| Kurtosis | 8.95 | 4.52 |
| Ulcer Performance Index | 10.24 | 5.45 |
| Risk-Adjusted Return | 13.36% | 8.25% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.67% | 0.46% |
| Avg. Loss | -0.8% | -0.55% |
| Win/Loss Ratio | 0.84 | 0.84 |
| Profit Ratio | 0.83 | 0.49 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.03% | 0.59% |
| Expected Yearly | 10.95% | 6.12% |
| Kelly Criterion | -0.37% | 3.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.95% |
| Expected Shortfall (cVaR) | -2.58% | -1.49% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.15 |
| Gain/Pain (1M) | 0.87 | 0.74 |
| Payoff Ratio | 0.84 | 0.84 |
| Profit Factor | 1.16 | 1.15 |
| Common Sense Ratio | 1.17 | 1.11 |
| CPC Index | 0.53 | 0.54 |
| Tail Ratio | 1.01 | 0.96 |
| Outlier Win Ratio | 3.41 | 3.32 |
| Outlier Loss Ratio | 3.77 | 3.38 |
| MTD | 1.08% | 3.03% |
| 3M | 3.82% | 6.26% |
| 6M | 19.85% | 8.03% |
| YTD | 14.3% | 13.35% |
| 1Y | 17.78% | 22.11% |
| 3Y (ann.) | 24.86% | 7.01% |
| 5Y (ann.) | 13.06% | 6.93% |
| 10Y (ann.) | 13.36% | 7.43% |
| All-time (ann.) | 13.36% | 7.43% |
| Best Day | 10.5% | 2.87% |
| Worst Day | -5.85% | -4.12% |
| Best Month | 10.51% | 9.33% |
| Worst Month | -9.24% | -6.54% |
| Best Year | 26.18% | 13.35% |
| Worst Year | -18.18% | -1.41% |
| Avg. Drawdown | -1.89% | -2.44% |
| Avg. Drawdown Days | 20 | 56 |
| Recovery Factor | 2.85 | 1.99 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 0.47 | 0.17 |
| Avg. Up Month | 3.3% | 2.74% |
| Avg. Down Month | -3.16% | -2.11% |
| Win Days | 54.04% | 55.84% |
| Win Month | 63.93% | 57.38% |
| Win Quarter | 66.67% | 57.14% |
| Win Year | 83.33% | 83.33% |
| Beta | - | -0.01 |
| Alpha | - | 0.08 |
| Correlation | - | -2.66% |
| Treynor Ratio | - | -2915.42% |
| Year | SPY | EVOAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -1.41 | -0.19 | - |
| 2022 | -18.18 | 12.66 | -0.70 | + |
| 2023 | 26.18 | 4.76 | 0.18 | - |
| 2024 | 24.89 | 3.54 | 0.14 | - |
| 2025 | 17.72 | 4.54 | 0.26 | - |
| 2026 | 14.30 | 13.35 | 0.93 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-12 | 2026-01-27 | -19.04 | 656 |
| 2022-06-15 | 2024-02-08 | -13.75 | 604 |
| 2021-10-27 | 2022-02-09 | -6.23 | 106 |
| 2026-05-20 | 2026-08-31 | -5.33 | 104 |
| 2022-03-09 | 2022-03-23 | -3.08 | 15 |
| 2026-01-30 | 2026-02-24 | -2.70 | 26 |
| 2022-05-06 | 2022-06-03 | -2.21 | 29 |
| 2026-03-02 | 2026-04-06 | -2.10 | 36 |
| 2022-04-19 | 2022-05-04 | -2.02 | 16 |
| 2026-04-08 | 2026-04-23 | -1.95 | 16 |