| Metric | SPY | IMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 37.86% | 4.3% |
| CAGR﹪ | 21.82% | 2.62% |
| Sharpe | 1.0 | -0.08 |
| Prob. Sharpe Ratio | 90.72% | 45.8% |
| Smart Sharpe | 0.91 | -0.07 |
| Sortino | 1.53 | -0.11 |
| Smart Sortino | 1.38 | -0.09 |
| Sortino/√2 | 1.08 | -0.08 |
| Smart Sortino/√2 | 0.97 | -0.07 |
| Omega | 1.28 | 1.05 |
| 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.) | 16.89% | 11.49% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 1.59 | 0.17 |
| Skew | 1.44 | -0.6 |
| Kurtosis | 25.79 | 6.24 |
| Ulcer Performance Index | 15.06 | 0.5 |
| Risk-Adjusted Return | 21.82% | 2.62% |
| Risk-Return Ratio | 0.08 | 0.02 |
| Avg. Return | 0.08% | 0.01% |
| Avg. Win | 0.71% | 0.49% |
| Avg. Loss | -0.77% | -0.64% |
| Win/Loss Ratio | 0.92 | 0.75 |
| Profit Ratio | 0.88 | 0.7 |
| Expected Daily | 0.08% | 0.01% |
| Expected Monthly | 1.54% | 0.2% |
| Expected Yearly | 17.42% | 2.13% |
| Kelly Criterion | 5.28% | -4.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.67% | -1.18% |
| Expected Shortfall (cVaR) | -2.77% | -1.87% |
| Max Consecutive Wins | 9 | 11 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.28 | 0.05 |
| Gain/Pain (1M) | 3.91 | 0.25 |
| Payoff Ratio | 0.92 | 0.75 |
| Profit Factor | 1.28 | 1.05 |
| Common Sense Ratio | 1.32 | 0.87 |
| CPC Index | 0.64 | 0.44 |
| Tail Ratio | 1.03 | 0.83 |
| Outlier Win Ratio | 3.6 | 2.82 |
| Outlier Loss Ratio | 3.92 | 4.28 |
| MTD | 1.47% | -1.41% |
| 3M | 1.46% | 0.53% |
| 6M | 6.94% | 0.23% |
| YTD | 13.33% | 13.33% |
| 1Y | 13.43% | 18.99% |
| 3Y (ann.) | 21.82% | 2.62% |
| 5Y (ann.) | 21.82% | 2.62% |
| 10Y (ann.) | 21.82% | 2.62% |
| All-time (ann.) | 21.82% | 2.62% |
| 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% | 13.33% |
| Worst Year | 13.33% | -7.96% |
| Avg. Drawdown | -1.66% | -2.26% |
| Avg. Drawdown Days | 11 | 40 |
| Recovery Factor | 2.51 | 0.35 |
| Ulcer Index | 0.03 | 0.09 |
| Serenity Index | 1.99 | 0.03 |
| Avg. Up Month | 3.21% | 1.75% |
| Avg. Down Month | -0.97% | -4.32% |
| Win Days | 54.63% | 55.12% |
| Win Month | 66.67% | 61.9% |
| Win Quarter | 75.0% | 62.5% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.26 |
| Alpha | - | -0.02 |
| Correlation | - | 37.89% |
| Treynor Ratio | - | 16.69% |
| Year | SPY | IMF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 21.65 | -7.96 | -0.37 | - |
| 2026 | 13.33 | 13.33 | 1.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-03-20 | 2026-03-05 | -15.10 | 351 |
| 2026-05-20 | 2026-08-27 | -4.54 | 100 |
| 2026-09-22 | 2026-11-04 | -3.78 | 44 |
| 2026-03-13 | 2026-03-30 | -2.97 | 18 |
| 2026-04-07 | 2026-04-21 | -1.67 | 15 |
| 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 |