| Metric | SPY | IPSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 17.87% | 1.07% |
| CAGR﹪ | 18.02% | 1.08% |
| Sharpe | 1.04 | -0.22 |
| Prob. Sharpe Ratio | 84.73% | 41.49% |
| Smart Sharpe | 1.01 | -0.2 |
| Sortino | 1.51 | -0.29 |
| Smart Sortino | 1.47 | -0.27 |
| Sortino/√2 | 1.07 | -0.21 |
| Smart Sortino/√2 | 1.04 | -0.19 |
| Omega | 1.25 | 1.03 |
| Max Drawdown | -8.88% | -12.0% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-01-29 |
| Max DD Period End | 2026-04-13 | 2026-05-13 |
| Longest DD Days | 76 | 112 |
| Volatility (ann.) | 12.99% | 10.74% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 2.03 | 0.09 |
| Skew | -0.15 | -0.54 |
| Kurtosis | 1.05 | 3.21 |
| Ulcer Performance Index | 8.3 | 0.25 |
| Risk-Adjusted Return | 18.02% | 1.15% |
| Risk-Return Ratio | 0.08 | 0.01 |
| Avg. Return | 0.07% | 0.01% |
| Avg. Win | 0.72% | 0.54% |
| Avg. Loss | -0.64% | -0.53% |
| Win/Loss Ratio | 1.12 | 1.01 |
| Profit Ratio | 0.94 | 0.85 |
| Expected Daily | 0.07% | 0.0% |
| Expected Monthly | 1.27% | 0.08% |
| Expected Yearly | 8.57% | 0.53% |
| Kelly Criterion | 12.35% | -0.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.11% |
| Expected Shortfall (cVaR) | -1.72% | -1.94% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 9 |
| Gain/Pain Ratio | 0.25 | 0.03 |
| Gain/Pain (1M) | 2.6 | 0.11 |
| Payoff Ratio | 1.12 | 1.01 |
| Profit Factor | 1.25 | 1.03 |
| Common Sense Ratio | 1.24 | 1.14 |
| CPC Index | 0.75 | 0.51 |
| Tail Ratio | 0.99 | 1.11 |
| Outlier Win Ratio | 2.88 | 3.32 |
| Outlier Loss Ratio | 3.19 | 4.06 |
| MTD | 1.08% | 0.79% |
| 3M | 3.82% | 1.19% |
| 6M | 19.85% | 10.36% |
| YTD | 14.3% | 1.39% |
| 1Y | 17.87% | 1.07% |
| 3Y (ann.) | 18.02% | 1.08% |
| 5Y (ann.) | 18.02% | 1.08% |
| 10Y (ann.) | 18.02% | 1.08% |
| All-time (ann.) | 18.02% | 1.08% |
| Best Day | 2.91% | 2.32% |
| Worst Day | -2.7% | -2.98% |
| Best Month | 10.51% | 8.62% |
| Worst Month | -4.94% | -7.48% |
| Best Year | 14.3% | 1.39% |
| Worst Year | 3.13% | -0.31% |
| Avg. Drawdown | -1.71% | -3.43% |
| Avg. Drawdown Days | 13 | 44 |
| Recovery Factor | 1.94 | 0.14 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.16 | 0.03 |
| Avg. Up Month | 3.9% | 2.73% |
| Avg. Down Month | -2.28% | -3.81% |
| Win Days | 53.6% | 49.36% |
| Win Month | 76.92% | 46.15% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.64 |
| Alpha | - | -0.09 |
| Correlation | - | 77.12% |
| Treynor Ratio | - | 1.68% |
| Year | SPY | IPSAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -0.31 | -0.10 | - |
| 2026 | 14.30 | 1.39 | 0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-29 | 2026-05-13 | -12.00 | 105 |
| 2026-06-03 | 2026-09-22 | -5.82 | 112 |
| 2025-10-30 | 2026-01-27 | -4.62 | 90 |
| 2025-10-09 | 2025-10-27 | -2.05 | 19 |
| 2026-05-15 | 2026-05-29 | -1.82 | 15 |
| 2025-09-24 | 2025-09-30 | -0.69 | 7 |
| 2025-10-07 | 2025-10-07 | -0.34 | 1 |
| 2025-10-03 | 2025-10-03 | -0.09 | 1 |