| Metric | SPY | EVOAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 204.97% | 40.95% |
| CAGR﹪ | 16.25% | 4.74% |
| Sharpe | 0.72 | 0.22 |
| Prob. Sharpe Ratio | 97.45% | 72.6% |
| Smart Sharpe | 0.63 | 0.2 |
| Sortino | 1.02 | 0.29 |
| Smart Sortino | 0.88 | 0.26 |
| Sortino/√2 | 0.72 | 0.21 |
| Smart Sortino/√2 | 0.62 | 0.18 |
| Omega | 1.18 | 1.09 |
| 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.) | 19.45% | 10.35% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.16 |
| Skew | -0.29 | -0.88 |
| Kurtosis | 13.94 | 3.61 |
| Ulcer Performance Index | 25.91 | 3.3 |
| Risk-Adjusted Return | 16.25% | 5.27% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.7% | 0.49% |
| Avg. Loss | -0.88% | -0.62% |
| Win/Loss Ratio | 0.79 | 0.78 |
| Profit Ratio | 0.78 | 0.46 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.38% |
| Expected Yearly | 14.96% | 4.38% |
| Kelly Criterion | -1.74% | -0.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.05% |
| Expected Shortfall (cVaR) | -3.2% | -1.68% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.09 |
| Gain/Pain (1M) | 1.15 | 0.42 |
| Payoff Ratio | 0.79 | 0.78 |
| Profit Factor | 1.18 | 1.09 |
| Common Sense Ratio | 1.13 | 0.99 |
| CPC Index | 0.51 | 0.48 |
| Tail Ratio | 0.96 | 0.91 |
| Outlier Win Ratio | 3.69 | 3.26 |
| Outlier Loss Ratio | 4.12 | 3.65 |
| 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.) | 16.25% | 4.74% |
| All-time (ann.) | 16.25% | 4.74% |
| 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% | 12.66% |
| Worst Year | -18.18% | -13.13% |
| Avg. Drawdown | -1.79% | -2.9% |
| Avg. Drawdown Days | 16 | 71 |
| Recovery Factor | 3.72 | 1.29 |
| Ulcer Index | 0.08 | 0.12 |
| Serenity Index | 1.03 | 0.08 |
| Avg. Up Month | 3.83% | 2.61% |
| Avg. Down Month | -4.04% | -2.65% |
| Win Days | 55.15% | 55.95% |
| Win Month | 65.56% | 56.67% |
| Win Quarter | 77.42% | 54.84% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.01 |
| Alpha | - | 0.05 |
| Correlation | - | 1.08% |
| Treynor Ratio | - | 7095.82% |
| 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 | 13.33 | 10.17 | 0.76 | - |
| 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 |
| 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 |
| 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 |