| Metric | SPY | EVOAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 74.99% | 36.23% |
| CAGR﹪ | 11.91% | 6.42% |
| Sharpe | 0.52 | 0.3 |
| Prob. Sharpe Ratio | 87.6% | 74.39% |
| Smart Sharpe | 0.5 | 0.27 |
| Sortino | 0.74 | 0.39 |
| Smart Sortino | 0.72 | 0.36 |
| Sortino/√2 | 0.53 | 0.28 |
| Smart Sortino/√2 | 0.51 | 0.25 |
| Omega | 1.14 | 1.13 |
| 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.) | 17.19% | 9.47% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.34 |
| Skew | 0.33 | -0.89 |
| Kurtosis | 8.98 | 4.55 |
| Ulcer Performance Index | 8.86 | 4.61 |
| Risk-Adjusted Return | 11.91% | 7.13% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.67% | 0.46% |
| Avg. Loss | -0.79% | -0.55% |
| Win/Loss Ratio | 0.85 | 0.83 |
| Profit Ratio | 0.86 | 0.49 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.51% |
| Expected Yearly | 9.77% | 5.29% |
| Kelly Criterion | -1.27% | 2.08% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.95% |
| Expected Shortfall (cVaR) | -2.58% | -1.48% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.13 |
| Gain/Pain (1M) | 0.79 | 0.62 |
| Payoff Ratio | 0.85 | 0.83 |
| Profit Factor | 1.14 | 1.13 |
| Common Sense Ratio | 1.15 | 1.05 |
| CPC Index | 0.52 | 0.52 |
| Tail Ratio | 1.0 | 0.93 |
| Outlier Win Ratio | 3.4 | 3.3 |
| Outlier Loss Ratio | 3.8 | 3.38 |
| MTD | 1.47% | -1.84% |
| 3M | 1.46% | 3.59% |
| 6M | 6.94% | 2.51% |
| YTD | 13.33% | 10.17% |
| 1Y | 13.43% | 15.77% |
| 3Y (ann.) | 20.78% | 6.51% |
| 5Y (ann.) | 12.86% | 7.39% |
| 10Y (ann.) | 11.91% | 6.42% |
| All-time (ann.) | 11.91% | 6.42% |
| 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% | 12.66% |
| Worst Year | -18.18% | -3.22% |
| Avg. Drawdown | -1.94% | -2.61% |
| Avg. Drawdown Days | 21 | 58 |
| Recovery Factor | 2.58 | 1.74 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 0.43 | 0.15 |
| Avg. Up Month | 3.23% | 2.72% |
| Avg. Down Month | -3.13% | -1.95% |
| Win Days | 53.48% | 55.54% |
| Win Month | 62.3% | 54.1% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 83.33% |
| Beta | - | -0.02 |
| Alpha | - | 0.07 |
| Correlation | - | -3.01% |
| Treynor Ratio | - | -2187.05% |
| Year | SPY | EVOAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -3.22 | -1.86 | - |
| 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 | 13.33 | 10.17 | 0.76 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-12 | 2026-01-27 | -19.04 | 656 |
| 2022-06-15 | 2024-02-08 | -13.75 | 604 |
| 2021-11-26 | 2022-02-09 | -6.02 | 76 |
| 2026-05-20 | 2026-08-31 | -5.33 | 104 |
| 2026-09-29 | 2026-11-04 | -4.28 | 37 |
| 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 |