| Metric | SPY | IMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 22.59% |
| CAGR﹪ | 18.02% | 22.79% |
| Sharpe | 1.04 | 1.61 |
| Prob. Sharpe Ratio | 84.73% | 93.53% |
| Smart Sharpe | 1.01 | 1.28 |
| Sortino | 1.51 | 2.21 |
| Smart Sortino | 1.47 | 1.76 |
| Sortino/√2 | 1.07 | 1.56 |
| Smart Sortino/√2 | 1.04 | 1.25 |
| Omega | 1.25 | 1.42 |
| 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.) | 12.99% | 10.67% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 2.03 | 5.02 |
| Skew | -0.15 | -1.01 |
| Kurtosis | 1.05 | 4.0 |
| Ulcer Performance Index | 8.3 | 14.47 |
| Risk-Adjusted Return | 18.02% | 22.79% |
| Risk-Return Ratio | 0.08 | 0.12 |
| Avg. Return | 0.07% | 0.08% |
| Avg. Win | 0.66% | 0.51% |
| Avg. Loss | -0.67% | -0.61% |
| Win/Loss Ratio | 0.98 | 0.83 |
| Profit Ratio | 0.94 | 0.65 |
| Expected Daily | 0.07% | 0.08% |
| Expected Monthly | 1.27% | 1.58% |
| Expected Yearly | 8.57% | 10.72% |
| Kelly Criterion | 6.4% | 10.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.02% |
| Expected Shortfall (cVaR) | -1.72% | -1.62% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | 0.42 |
| Gain/Pain (1M) | 2.6 | 10.97 |
| Payoff Ratio | 0.98 | 0.83 |
| Profit Factor | 1.25 | 1.42 |
| Common Sense Ratio | 1.24 | 1.3 |
| CPC Index | 0.66 | 0.7 |
| Tail Ratio | 0.99 | 0.91 |
| Outlier Win Ratio | 2.88 | 2.68 |
| Outlier Loss Ratio | 3.19 | 3.87 |
| MTD | 1.08% | 1.35% |
| 3M | 3.82% | 4.23% |
| 6M | 19.85% | 7.75% |
| YTD | 14.3% | 16.75% |
| 1Y | 17.87% | 22.59% |
| 3Y (ann.) | 18.02% | 22.79% |
| 5Y (ann.) | 18.02% | 22.79% |
| 10Y (ann.) | 18.02% | 22.79% |
| All-time (ann.) | 18.02% | 22.79% |
| Best Day | 2.91% | 2.38% |
| Worst Day | -2.7% | -3.47% |
| Best Month | 10.51% | 4.66% |
| Worst Month | -4.94% | -1.38% |
| Best Year | 14.3% | 16.75% |
| Worst Year | 3.13% | 5.0% |
| Avg. Drawdown | -1.71% | -1.08% |
| Avg. Drawdown Days | 13 | 9 |
| Recovery Factor | 1.94 | 4.62 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 2.59 |
| Avg. Up Month | 2.42% | 1.73% |
| Avg. Down Month | -1.03% | -1.38% |
| Win Days | 53.6% | 59.6% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.23 |
| Alpha | - | 0.17 |
| Correlation | - | 27.57% |
| Treynor Ratio | - | 99.78% |
| Year | SPY | IMF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 5.00 | 1.60 | + |
| 2026 | 14.30 | 16.75 | 1.17 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-20 | 2026-08-27 | -4.54 | 100 |
| 2026-01-30 | 2026-02-06 | -3.59 | 8 |
| 2025-10-21 | 2025-12-10 | -3.51 | 51 |
| 2026-03-13 | 2026-03-30 | -2.97 | 18 |
| 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 |
| 2026-09-22 | 2026-09-22 | -0.87 | 1 |