| Metric | SPY | IPSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 14.39% | -1.44% |
| CAGR﹪ | 14.51% | -1.45% |
| Sharpe | 0.83 | -0.44 |
| Prob. Sharpe Ratio | 79.61% | 33.11% |
| Smart Sharpe | 0.82 | -0.41 |
| Sortino | 1.22 | -0.58 |
| Smart Sortino | 1.2 | -0.54 |
| Sortino/√2 | 0.86 | -0.41 |
| Smart Sortino/√2 | 0.85 | -0.38 |
| Omega | 1.2 | 0.99 |
| 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 | 155 |
| Volatility (ann.) | 12.86% | 10.5% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 1.63 | -0.12 |
| Skew | -0.02 | -0.65 |
| Kurtosis | 0.78 | 3.0 |
| Ulcer Performance Index | 6.68 | -0.33 |
| Risk-Adjusted Return | 14.51% | -1.53% |
| Risk-Return Ratio | 0.07 | -0.01 |
| Avg. Return | 0.05% | -0.0% |
| Avg. Win | 0.72% | 0.53% |
| Avg. Loss | -0.63% | -0.52% |
| Win/Loss Ratio | 1.15 | 1.01 |
| Profit Ratio | 1.02 | 0.89 |
| Expected Daily | 0.05% | -0.01% |
| Expected Monthly | 1.04% | -0.11% |
| Expected Yearly | 6.95% | -0.72% |
| Kelly Criterion | 10.21% | -2.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.09% |
| Expected Shortfall (cVaR) | -1.66% | -1.88% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 9 |
| Gain/Pain Ratio | 0.2 | -0.01 |
| Gain/Pain (1M) | 1.83 | -0.06 |
| Payoff Ratio | 1.15 | 1.01 |
| Profit Factor | 1.2 | 0.99 |
| Common Sense Ratio | 1.19 | 1.05 |
| CPC Index | 0.72 | 0.48 |
| Tail Ratio | 0.99 | 1.07 |
| Outlier Win Ratio | 2.84 | 3.19 |
| Outlier Loss Ratio | 3.01 | 4.09 |
| MTD | 1.47% | 0.7% |
| 3M | 1.46% | -0.59% |
| 6M | 6.94% | -0.2% |
| YTD | 13.33% | -0.2% |
| 1Y | 14.39% | -1.44% |
| 3Y (ann.) | 14.51% | -1.45% |
| 5Y (ann.) | 14.51% | -1.45% |
| 10Y (ann.) | 14.51% | -1.45% |
| All-time (ann.) | 14.51% | -1.45% |
| Best Day | 2.91% | 1.97% |
| Worst Day | -2.58% | -2.98% |
| Best Month | 10.51% | 8.62% |
| Worst Month | -4.94% | -7.48% |
| Best Year | 13.33% | -0.2% |
| Worst Year | 0.94% | -1.25% |
| Avg. Drawdown | -1.74% | -4.76% |
| Avg. Drawdown Days | 14 | 70 |
| Recovery Factor | 1.61 | 0.08 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.94 | -0.01 |
| Avg. Up Month | 4.28% | 2.88% |
| Avg. Down Month | -1.61% | -2.58% |
| Win Days | 52.0% | 48.31% |
| Win Month | 61.54% | 38.46% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.64 |
| Alpha | - | -0.1 |
| Correlation | - | 78.4% |
| Treynor Ratio | - | -2.25% |
| Year | SPY | IPSAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -1.25 | -1.33 | - |
| 2026 | 13.33 | -0.20 | -0.01 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-29 | 2026-05-13 | -12.00 | 105 |
| 2026-06-03 | 2026-11-04 | -5.82 | 155 |
| 2025-11-13 | 2026-01-26 | -3.57 | 75 |
| 2026-05-15 | 2026-05-29 | -1.82 | 15 |
| 2025-11-06 | 2025-11-07 | -0.60 | 2 |