| Metric | SPY | EVOAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 207.58% | 45.02% |
| CAGR﹪ | 16.68% | 5.24% |
| Sharpe | 0.74 | 0.27 |
| Prob. Sharpe Ratio | 97.6% | 76.23% |
| Smart Sharpe | 0.64 | 0.24 |
| Sortino | 1.04 | 0.35 |
| Smart Sortino | 0.9 | 0.31 |
| Sortino/√2 | 0.74 | 0.25 |
| Smart Sortino/√2 | 0.64 | 0.22 |
| Omega | 1.19 | 1.1 |
| Max Drawdown | -33.72% | -29.76% |
| Max DD Date | 2020-03-23 | 2020-09-24 |
| Max DD Period Start | 2020-02-20 | 2019-09-04 |
| Max DD Period End | 2020-08-07 | 2022-03-07 |
| Longest DD Days | 708 | 916 |
| Volatility (ann.) | 19.56% | 10.39% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.18 |
| Skew | -0.29 | -0.88 |
| Kurtosis | 13.84 | 3.62 |
| Ulcer Performance Index | 26.03 | 3.59 |
| Risk-Adjusted Return | 16.68% | 5.82% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.7% | 0.49% |
| Avg. Loss | -0.89% | -0.62% |
| Win/Loss Ratio | 0.78 | 0.78 |
| Profit Ratio | 0.77 | 0.46 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.28% | 0.42% |
| Expected Yearly | 15.08% | 4.76% |
| Kelly Criterion | -1.73% | -0.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.05% |
| Expected Shortfall (cVaR) | -3.2% | -1.69% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.19 | 0.1 |
| Gain/Pain (1M) | 1.17 | 0.47 |
| Payoff Ratio | 0.78 | 0.78 |
| Profit Factor | 1.19 | 1.1 |
| Common Sense Ratio | 1.14 | 1.0 |
| CPC Index | 0.51 | 0.48 |
| Tail Ratio | 0.96 | 0.91 |
| Outlier Win Ratio | 3.69 | 3.25 |
| Outlier Loss Ratio | 4.1 | 3.63 |
| 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.) | 16.68% | 5.24% |
| All-time (ann.) | 16.68% | 5.24% |
| Best Day | 10.5% | 2.91% |
| Worst Day | -10.94% | -4.12% |
| Best Month | 12.7% | 9.33% |
| Worst Month | -12.49% | -10.19% |
| Best Year | 28.73% | 13.35% |
| Worst Year | -18.18% | -13.13% |
| Avg. Drawdown | -1.78% | -2.86% |
| Avg. Drawdown Days | 16 | 72 |
| Recovery Factor | 3.75 | 1.38 |
| Ulcer Index | 0.08 | 0.13 |
| Serenity Index | 1.03 | 0.08 |
| Avg. Up Month | 3.75% | 2.62% |
| Avg. Down Month | -4.28% | -2.69% |
| Win Days | 55.26% | 56.14% |
| Win Month | 67.05% | 57.95% |
| Win Quarter | 76.67% | 56.67% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.01 |
| Alpha | - | 0.06 |
| Correlation | - | 1.09% |
| Treynor Ratio | - | 7809.87% |
| Year | SPY | EVOAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 3.06 | 0.19 | - |
| 2020 | 18.33 | -13.13 | -0.72 | - |
| 2021 | 28.73 | 11.85 | 0.41 | - |
| 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 |
|---|---|---|---|
| 2019-09-04 | 2022-03-07 | -29.76 | 916 |
| 2024-04-12 | 2026-01-27 | -19.04 | 656 |
| 2022-06-15 | 2024-02-08 | -13.75 | 604 |
| 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 |
| 2019-07-05 | 2019-07-22 | -2.50 | 18 |
| 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 |