| Metric | SPY | IMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 19.23% |
| CAGR﹪ | 14.51% | 19.4% |
| Sharpe | 0.83 | 1.38 |
| Prob. Sharpe Ratio | 79.61% | 90.55% |
| Smart Sharpe | 0.82 | 1.11 |
| Sortino | 1.22 | 1.89 |
| Smart Sortino | 1.2 | 1.52 |
| Sortino/√2 | 0.86 | 1.34 |
| Smart Sortino/√2 | 0.85 | 1.07 |
| Omega | 1.2 | 1.36 |
| Max Drawdown | -8.88% | -4.54% |
| Max DD Date | 2026-03-30 | 2026-06-24 |
| Max DD Period Start | 2026-01-28 | 2026-05-20 |
| Max DD Period End | 2026-04-13 | 2026-08-27 |
| Longest DD Days | 76 | 100 |
| Volatility (ann.) | 12.86% | 10.61% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.63 | 4.28 |
| Skew | -0.02 | -0.97 |
| Kurtosis | 0.78 | 4.03 |
| Ulcer Performance Index | 6.68 | 12.64 |
| Risk-Adjusted Return | 14.51% | 19.4% |
| Risk-Return Ratio | 0.07 | 0.11 |
| Avg. Return | 0.06% | 0.07% |
| Avg. Win | 0.65% | 0.5% |
| Avg. Loss | -0.65% | -0.61% |
| Win/Loss Ratio | 1.01 | 0.82 |
| Profit Ratio | 1.02 | 0.64 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.04% | 1.36% |
| Expected Yearly | 6.95% | 9.19% |
| Kelly Criterion | 4.29% | 9.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.03% |
| Expected Shortfall (cVaR) | -1.66% | -1.65% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.2 | 0.36 |
| Gain/Pain (1M) | 1.83 | 3.98 |
| Payoff Ratio | 1.01 | 0.82 |
| Profit Factor | 1.2 | 1.36 |
| Common Sense Ratio | 1.19 | 1.27 |
| CPC Index | 0.63 | 0.66 |
| Tail Ratio | 0.99 | 0.94 |
| Outlier Win Ratio | 2.84 | 2.73 |
| Outlier Loss Ratio | 3.01 | 3.83 |
| MTD | 1.47% | -1.41% |
| 3M | 1.46% | 0.53% |
| 6M | 6.94% | 0.23% |
| YTD | 13.33% | 13.33% |
| 1Y | 14.39% | 19.23% |
| 3Y (ann.) | 14.51% | 19.4% |
| 5Y (ann.) | 14.51% | 19.4% |
| 10Y (ann.) | 14.51% | 19.4% |
| All-time (ann.) | 14.51% | 19.4% |
| Best Day | 2.91% | 2.38% |
| Worst Day | -2.58% | -3.47% |
| Best Month | 10.51% | 4.66% |
| Worst Month | -4.94% | -1.83% |
| Best Year | 13.33% | 13.33% |
| Worst Year | 0.94% | 5.21% |
| Avg. Drawdown | -1.74% | -1.17% |
| Avg. Drawdown Days | 14 | 10 |
| Recovery Factor | 1.61 | 4.0 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 2.3 |
| Avg. Up Month | 2.98% | 1.97% |
| Avg. Down Month | -0.97% | -1.6% |
| Win Days | 52.0% | 59.2% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.2 |
| Alpha | - | 0.15 |
| Correlation | - | 24.54% |
| Treynor Ratio | - | 94.99% |
| Year | SPY | IMF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 5.21 | 5.55 | + |
| 2026 | 13.33 | 13.33 | 1.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-20 | 2026-08-27 | -4.54 | 100 |
| 2026-09-22 | 2026-11-04 | -3.78 | 44 |
| 2026-01-30 | 2026-02-06 | -3.59 | 8 |
| 2026-03-13 | 2026-03-30 | -2.97 | 18 |
| 2025-11-13 | 2025-12-04 | -2.55 | 22 |
| 2026-02-12 | 2026-02-23 | -2.19 | 12 |
| 2026-01-15 | 2026-01-23 | -2.07 | 9 |
| 2026-04-07 | 2026-04-21 | -1.67 | 15 |
| 2026-03-03 | 2026-03-05 | -1.48 | 3 |
| 2026-01-07 | 2026-01-09 | -1.16 | 3 |