| Metric | SPY | IPSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 72.8% | 9.56% |
| CAGR﹪ | 11.7% | 1.86% |
| Sharpe | 0.5 | -0.11 |
| Prob. Sharpe Ratio | 87.01% | 39.82% |
| Smart Sharpe | 0.49 | -0.11 |
| Sortino | 0.73 | -0.15 |
| Smart Sortino | 0.71 | -0.14 |
| Sortino/√2 | 0.51 | -0.1 |
| Smart Sortino/√2 | 0.5 | -0.1 |
| Omega | 1.14 | 1.04 |
| Max Drawdown | -24.5% | -22.05% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2024-12-09 |
| Max DD Period End | 2023-12-11 | 2026-11-04 |
| Longest DD Days | 707 | 764 |
| Volatility (ann.) | 17.23% | 11.56% |
| R^2 | 0.49 | 0.49 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.08 |
| Skew | 0.33 | -3.33 |
| Kurtosis | 8.95 | 63.1 |
| Ulcer Performance Index | 8.56 | 0.98 |
| Risk-Adjusted Return | 11.7% | 2.03% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.04% | 0.01% |
| Avg. Win | 0.86% | 0.53% |
| Avg. Loss | -0.83% | -0.5% |
| Win/Loss Ratio | 1.04 | 1.05 |
| Profit Ratio | 0.86 | 0.7 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.9% | 0.15% |
| Expected Yearly | 9.54% | 1.53% |
| Kelly Criterion | 8.55% | 3.69% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.74% | -1.19% |
| Expected Shortfall (cVaR) | -2.58% | -1.99% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | 0.04 |
| Gain/Pain (1M) | 0.78 | 0.18 |
| Payoff Ratio | 1.04 | 1.05 |
| Profit Factor | 1.14 | 1.04 |
| Common Sense Ratio | 1.15 | 1.02 |
| CPC Index | 0.63 | 0.56 |
| Tail Ratio | 1.01 | 0.98 |
| Outlier Win Ratio | 3.4 | 3.6 |
| Outlier Loss Ratio | 3.79 | 3.44 |
| MTD | 1.47% | 0.7% |
| 3M | 1.46% | -0.59% |
| 6M | 6.94% | -0.2% |
| YTD | 13.33% | -0.2% |
| 1Y | 13.43% | -2.36% |
| 3Y (ann.) | 20.23% | 4.78% |
| 5Y (ann.) | 12.65% | 2.34% |
| 10Y (ann.) | 11.7% | 1.86% |
| All-time (ann.) | 11.7% | 1.86% |
| Best Day | 10.5% | 5.66% |
| Worst Day | -5.85% | -12.01% |
| Best Month | 10.51% | 8.62% |
| Worst Month | -9.24% | -13.32% |
| Best Year | 26.83% | 16.83% |
| Worst Year | -18.18% | -15.97% |
| Avg. Drawdown | -1.89% | -2.28% |
| Avg. Drawdown Days | 21 | 62 |
| Recovery Factor | 2.53 | 0.57 |
| Ulcer Index | 0.09 | 0.1 |
| Serenity Index | 0.42 | 0.05 |
| Avg. Up Month | 3.93% | 2.4% |
| Avg. Down Month | -3.53% | -2.84% |
| Win Days | 53.46% | 50.66% |
| Win Month | 62.3% | 55.74% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.47 |
| Alpha | - | -0.03 |
| Correlation | - | 70.32% |
| Treynor Ratio | - | 20.26% |
| Year | SPY | IPSAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.56 | 0.32 | - |
| 2022 | -18.18 | -15.97 | 0.88 | + |
| 2023 | 26.83 | 16.83 | 0.63 | - |
| 2024 | 25.23 | 3.18 | 0.13 | - |
| 2025 | 15.33 | 7.78 | 0.51 | - |
| 2026 | 13.33 | -0.20 | -0.01 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-09 | 2026-11-04 | -22.05 | 696 |
| 2021-12-30 | 2024-02-01 | -16.66 | 764 |
| 2024-07-17 | 2024-09-18 | -4.77 | 64 |
| 2024-03-28 | 2024-05-13 | -3.16 | 47 |
| 2021-11-19 | 2021-12-22 | -2.99 | 34 |
| 2024-10-15 | 2024-11-05 | -2.08 | 22 |
| 2024-11-11 | 2024-11-25 | -1.64 | 15 |
| 2024-05-22 | 2024-06-04 | -1.43 | 14 |
| 2024-02-12 | 2024-02-21 | -1.12 | 10 |
| 2024-03-13 | 2024-03-19 | -1.09 | 7 |