| Metric | SPY | IPSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 84.25% | 15.5% |
| CAGR﹪ | 13.16% | 2.96% |
| Sharpe | 0.58 | -0.02 |
| Prob. Sharpe Ratio | 90.37% | 48.51% |
| Smart Sharpe | 0.57 | -0.02 |
| Sortino | 0.84 | -0.02 |
| Smart Sortino | 0.82 | -0.02 |
| Sortino/√2 | 0.59 | -0.02 |
| Smart Sortino/√2 | 0.58 | -0.01 |
| Omega | 1.15 | 1.06 |
| 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 | 2026-09-22 |
| Longest DD Days | 707 | 766 |
| Volatility (ann.) | 17.24% | 11.56% |
| R^2 | 0.5 | 0.5 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.54 | 0.13 |
| Skew | 0.32 | -3.34 |
| Kurtosis | 8.91 | 63.29 |
| Ulcer Performance Index | 9.91 | 1.59 |
| Risk-Adjusted Return | 13.16% | 3.22% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.85% | 0.53% |
| Avg. Loss | -0.83% | -0.51% |
| Win/Loss Ratio | 1.03 | 1.05 |
| Profit Ratio | 0.83 | 0.69 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.01% | 0.24% |
| Expected Yearly | 10.72% | 2.43% |
| Kelly Criterion | 9.24% | 4.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.18% |
| Expected Shortfall (cVaR) | -2.58% | -1.99% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.15 | 0.06 |
| Gain/Pain (1M) | 0.86 | 0.26 |
| Payoff Ratio | 1.03 | 1.05 |
| Profit Factor | 1.15 | 1.06 |
| Common Sense Ratio | 1.17 | 1.04 |
| CPC Index | 0.64 | 0.57 |
| Tail Ratio | 1.01 | 0.98 |
| Outlier Win Ratio | 3.41 | 3.59 |
| Outlier Loss Ratio | 3.77 | 3.44 |
| MTD | 1.08% | 0.79% |
| 3M | 3.82% | 1.19% |
| 6M | 19.85% | 10.36% |
| YTD | 14.3% | 1.39% |
| 1Y | 17.78% | -1.97% |
| 3Y (ann.) | 24.32% | 7.86% |
| 5Y (ann.) | 12.85% | 2.76% |
| 10Y (ann.) | 13.16% | 2.96% |
| All-time (ann.) | 13.16% | 2.96% |
| 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 | -1.85% | -2.18% |
| Avg. Drawdown Days | 21 | 55 |
| Recovery Factor | 2.79 | 0.81 |
| Ulcer Index | 0.09 | 0.1 |
| Serenity Index | 0.46 | 0.07 |
| Avg. Up Month | 4.01% | 2.47% |
| Avg. Down Month | -3.69% | -2.94% |
| Win Days | 54.02% | 51.19% |
| Win Month | 63.93% | 57.38% |
| Win Quarter | 66.67% | 52.38% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.47 |
| Alpha | - | -0.03 |
| Correlation | - | 70.42% |
| Treynor Ratio | - | 32.84% |
| Year | SPY | IPSAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 4.35 | 0.58 | - |
| 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 | 14.30 | 1.39 | 0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-09 | 2026-09-22 | -22.05 | 653 |
| 2021-12-28 | 2024-02-01 | -16.66 | 766 |
| 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 |
| 2021-09-27 | 2021-10-18 | -2.60 | 22 |
| 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 | 2024-02-14 | -1.12 | 3 |