| Metric | SPY | IMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | 9.02% |
| CAGR﹪ | 40.67% | 18.85% |
| Sharpe | 2.32 | 1.7 |
| Prob. Sharpe Ratio | 95.04% | 87.59% |
| Smart Sharpe | 2.3 | 1.47 |
| Sortino | 3.78 | 2.4 |
| Smart Sortino | 3.75 | 2.07 |
| Sortino/√2 | 2.67 | 1.69 |
| Smart Sortino/√2 | 2.65 | 1.46 |
| Omega | 1.54 | 1.45 |
| Max Drawdown | -4.49% | -4.54% |
| Max DD Date | 2026-06-10 | 2026-06-24 |
| Max DD Period Start | 2026-06-03 | 2026-05-20 |
| Max DD Period End | 2026-07-31 | 2026-08-27 |
| Longest DD Days | 59 | 100 |
| Volatility (ann.) | 13.55% | 8.24% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 9.05 | 4.15 |
| Skew | 0.1 | -0.71 |
| Kurtosis | 1.12 | 1.46 |
| Ulcer Performance Index | 11.86 | 5.32 |
| Risk-Adjusted Return | 40.67% | 18.85% |
| Risk-Return Ratio | 0.16 | 0.13 |
| Avg. Return | 0.14% | 0.07% |
| Avg. Win | 0.77% | 0.41% |
| Avg. Loss | -0.56% | -0.5% |
| Win/Loss Ratio | 1.36 | 0.82 |
| Profit Ratio | 1.12 | 0.72 |
| Expected Daily | 0.14% | 0.07% |
| Expected Monthly | 2.47% | 1.24% |
| Expected Yearly | 18.6% | 9.02% |
| Kelly Criterion | 20.07% | 8.69% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.78% |
| Expected Shortfall (cVaR) | -1.77% | -1.21% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.54 | 0.45 |
| Gain/Pain (1M) | 10.92 | 6.61 |
| Payoff Ratio | 1.36 | 0.82 |
| Profit Factor | 1.54 | 1.45 |
| Common Sense Ratio | 2.01 | 1.47 |
| CPC Index | 1.13 | 0.7 |
| Tail Ratio | 1.3 | 1.01 |
| Outlier Win Ratio | 3.21 | 2.8 |
| Outlier Loss Ratio | 3.16 | 4.13 |
| MTD | 1.08% | 1.35% |
| 3M | 3.82% | 4.23% |
| 6M | 18.6% | 9.02% |
| YTD | 18.6% | 9.02% |
| 1Y | 18.6% | 9.02% |
| 3Y (ann.) | 40.67% | 18.85% |
| 5Y (ann.) | 40.67% | 18.85% |
| 10Y (ann.) | 40.67% | 18.85% |
| All-time (ann.) | 40.67% | 18.85% |
| Best Day | 2.91% | 1.21% |
| Worst Day | -2.58% | -1.62% |
| Best Month | 10.51% | 3.12% |
| Worst Month | -1.03% | -1.38% |
| Best Year | 18.6% | 9.02% |
| Worst Year | 18.6% | 9.02% |
| Avg. Drawdown | -1.13% | -0.82% |
| Avg. Drawdown Days | 9 | 12 |
| Recovery Factor | 3.9 | 1.94 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.75 | 0.71 |
| Avg. Up Month | 3.91% | 1.4% |
| Avg. Down Month | -1.03% | -1.38% |
| Win Days | 53.97% | 58.73% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.17 |
| Correlation | - | 3.98% |
| Treynor Ratio | - | 372.85% |
| Year | SPY | IMF | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 9.02 | 0.48 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-20 | 2026-08-27 | -4.54 | 100 |
| 2026-04-07 | 2026-04-21 | -1.67 | 15 |
| 2026-09-22 | 2026-09-22 | -0.87 | 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 |
| 2026-08-31 | 2026-08-31 | -0.27 | 1 |
| 2026-09-02 | 2026-09-08 | -0.25 | 7 |
| 2026-03-25 | 2026-03-25 | -0.09 | 1 |