| Metric | SPY | IMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 39.05% | 7.46% |
| CAGR﹪ | 24.51% | 4.9% |
| Sharpe | 1.1 | 0.1 |
| Prob. Sharpe Ratio | 91.99% | 54.73% |
| Smart Sharpe | 0.99 | 0.08 |
| Sortino | 1.69 | 0.13 |
| Smart Sortino | 1.51 | 0.11 |
| Sortino/√2 | 1.2 | 0.09 |
| Smart Sortino/√2 | 1.07 | 0.08 |
| Omega | 1.31 | 1.09 |
| Max Drawdown | -13.72% | -15.1% |
| Max DD Date | 2025-04-08 | 2025-08-01 |
| Max DD Period Start | 2025-03-26 | 2025-03-20 |
| Max DD Period End | 2025-05-09 | 2026-03-05 |
| Longest DD Days | 76 | 351 |
| Volatility (ann.) | 17.26% | 11.77% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 1.79 | 0.32 |
| Skew | 1.45 | -0.62 |
| Kurtosis | 25.45 | 6.07 |
| Ulcer Performance Index | 15.15 | 0.83 |
| Risk-Adjusted Return | 24.51% | 4.9% |
| Risk-Return Ratio | 0.09 | 0.03 |
| Avg. Return | 0.09% | 0.02% |
| Avg. Win | 0.72% | 0.5% |
| Avg. Loss | -0.78% | -0.67% |
| Win/Loss Ratio | 0.92 | 0.76 |
| Profit Ratio | 0.87 | 0.69 |
| Expected Daily | 0.09% | 0.02% |
| Expected Monthly | 1.75% | 0.38% |
| Expected Yearly | 17.92% | 3.66% |
| Kelly Criterion | 6.2% | -2.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.7% | -1.2% |
| Expected Shortfall (cVaR) | -2.96% | -1.9% |
| Max Consecutive Wins | 9 | 11 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.31 | 0.09 |
| Gain/Pain (1M) | 4.59 | 0.46 |
| Payoff Ratio | 0.92 | 0.76 |
| Profit Factor | 1.31 | 1.09 |
| Common Sense Ratio | 1.33 | 0.9 |
| CPC Index | 0.66 | 0.46 |
| Tail Ratio | 1.01 | 0.83 |
| Outlier Win Ratio | 3.63 | 2.83 |
| Outlier Loss Ratio | 3.95 | 4.25 |
| MTD | 1.08% | 1.35% |
| 3M | 3.82% | 4.23% |
| 6M | 19.85% | 7.75% |
| YTD | 14.3% | 16.75% |
| 1Y | 17.78% | 23.15% |
| 3Y (ann.) | 24.51% | 4.9% |
| 5Y (ann.) | 24.51% | 4.9% |
| 10Y (ann.) | 24.51% | 4.9% |
| All-time (ann.) | 24.51% | 4.9% |
| Best Day | 10.5% | 4.22% |
| Worst Day | -5.85% | -3.66% |
| Best Month | 10.51% | 4.66% |
| Worst Month | -4.94% | -11.63% |
| Best Year | 21.65% | 16.75% |
| Worst Year | 14.3% | -7.96% |
| Avg. Drawdown | -1.62% | -2.05% |
| Avg. Drawdown Days | 11 | 37 |
| Recovery Factor | 2.56 | 0.55 |
| Ulcer Index | 0.03 | 0.09 |
| Serenity Index | 2.01 | 0.04 |
| Avg. Up Month | 3.02% | 1.71% |
| Avg. Down Month | -0.99% | -5.15% |
| Win Days | 55.15% | 55.67% |
| Win Month | 73.68% | 68.42% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.27 |
| Alpha | - | -0.01 |
| Correlation | - | 38.89% |
| Treynor Ratio | - | 28.11% |
| Year | SPY | IMF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 21.65 | -7.96 | -0.37 | - |
| 2026 | 14.30 | 16.75 | 1.17 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-03-20 | 2026-03-05 | -15.10 | 351 |
| 2026-05-20 | 2026-08-27 | -4.54 | 100 |
| 2026-03-13 | 2026-03-30 | -2.97 | 18 |
| 2026-04-07 | 2026-04-21 | -1.67 | 15 |
| 2026-09-22 | 2026-09-22 | -0.87 | 1 |
| 2026-03-09 | 2026-03-09 | -0.84 | 1 |
| 2026-05-06 | 2026-05-08 | -0.75 | 3 |
| 2026-05-14 | 2026-05-18 | -0.66 | 5 |
| 2026-09-14 | 2026-09-18 | -0.33 | 5 |
| 2026-04-24 | 2026-04-27 | -0.28 | 4 |