| Metric | SPY | IMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 6.48% | -0.25% |
| CAGR﹪ | 13.27% | -0.49% |
| Sharpe | 0.78 | -0.47 |
| Prob. Sharpe Ratio | 70.87% | 36.85% |
| Smart Sharpe | 0.75 | -0.4 |
| Sortino | 1.14 | -0.61 |
| Smart Sortino | 1.09 | -0.51 |
| Sortino/√2 | 0.8 | -0.43 |
| Smart Sortino/√2 | 0.77 | -0.36 |
| Omega | 1.19 | 1.0 |
| 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.) | 12.4% | 7.93% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.95 | -0.11 |
| Skew | -0.15 | -0.62 |
| Kurtosis | 0.59 | 0.94 |
| Ulcer Performance Index | 3.89 | -0.13 |
| Risk-Adjusted Return | 13.27% | -0.49% |
| Risk-Return Ratio | 0.07 | -0.0 |
| Avg. Return | 0.05% | -0.0% |
| Avg. Win | 0.7% | 0.36% |
| Avg. Loss | -0.59% | -0.49% |
| Win/Loss Ratio | 1.18 | 0.74 |
| Profit Ratio | 1.15 | 0.75 |
| Expected Daily | 0.05% | -0.0% |
| Expected Monthly | 0.9% | -0.04% |
| Expected Yearly | 6.48% | -0.25% |
| Kelly Criterion | 8.25% | -9.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.82% |
| Expected Shortfall (cVaR) | -1.63% | -1.16% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.19 | -0.0 |
| Gain/Pain (1M) | 3.26 | -0.02 |
| Payoff Ratio | 1.18 | 0.74 |
| Profit Factor | 1.19 | 1.0 |
| Common Sense Ratio | 1.47 | 0.89 |
| CPC Index | 0.71 | 0.39 |
| Tail Ratio | 1.23 | 0.9 |
| Outlier Win Ratio | 2.66 | 2.9 |
| Outlier Loss Ratio | 3.07 | 3.46 |
| MTD | 1.47% | -1.41% |
| 3M | 1.46% | 0.53% |
| 6M | 6.48% | -0.25% |
| YTD | 6.48% | -0.25% |
| 1Y | 6.48% | -0.25% |
| 3Y (ann.) | 13.27% | -0.49% |
| 5Y (ann.) | 13.27% | -0.49% |
| 10Y (ann.) | 13.27% | -0.49% |
| All-time (ann.) | 13.27% | -0.49% |
| Best Day | 1.8% | 1.09% |
| Worst Day | -2.58% | -1.62% |
| Best Month | 4.52% | 1.88% |
| Worst Month | -1.03% | -1.83% |
| Best Year | 6.48% | -0.25% |
| Worst Year | 6.48% | -0.25% |
| Avg. Drawdown | -1.57% | -1.51% |
| Avg. Drawdown Days | 17 | 24 |
| Recovery Factor | 1.48 | 0.02 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.91 | -0.01 |
| Avg. Up Month | 1.36% | 1.64% |
| Avg. Down Month | -0.97% | -1.6% |
| Win Days | 50.39% | 53.54% |
| Win Month | 57.14% | 42.86% |
| Win Quarter | 100.0% | 33.33% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.13 |
| Alpha | - | -0.02 |
| Correlation | - | 21.08% |
| Treynor Ratio | - | -1.82% |
| Year | SPY | IMF | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | -0.25 | -0.04 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-20 | 2026-08-27 | -4.54 | 100 |
| 2026-09-22 | 2026-11-04 | -3.78 | 44 |
| 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 |
| 2026-08-31 | 2026-08-31 | -0.27 | 1 |
| 2026-09-02 | 2026-09-08 | -0.25 | 7 |