| Metric | SPY | IPSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 201.17% | 44.82% |
| CAGR﹪ | 16.12% | 5.15% |
| Sharpe | 0.72 | 0.25 |
| Prob. Sharpe Ratio | 97.33% | 74.49% |
| Smart Sharpe | 0.62 | 0.23 |
| Sortino | 1.01 | 0.33 |
| Smart Sortino | 0.87 | 0.31 |
| Sortino/√2 | 0.72 | 0.23 |
| Smart Sortino/√2 | 0.62 | 0.22 |
| Omega | 1.18 | 1.1 |
| Max Drawdown | -33.72% | -22.05% |
| Max DD Date | 2020-03-23 | 2025-04-08 |
| Max DD Period Start | 2020-02-20 | 2024-12-09 |
| Max DD Period End | 2020-08-07 | 2026-11-04 |
| Longest DD Days | 707 | 764 |
| Volatility (ann.) | 19.48% | 11.33% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.23 |
| Skew | -0.28 | -2.53 |
| Kurtosis | 13.9 | 47.34 |
| Ulcer Performance Index | 25.34 | 5.38 |
| Risk-Adjusted Return | 16.12% | 5.6% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.87% | 0.52% |
| Avg. Loss | -0.86% | -0.52% |
| Win/Loss Ratio | 1.01 | 1.0 |
| Profit Ratio | 0.78 | 0.64 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.23% | 0.41% |
| Expected Yearly | 14.78% | 4.74% |
| Kelly Criterion | 10.93% | 5.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.15% |
| Expected Shortfall (cVaR) | -3.2% | -1.88% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.1 |
| Gain/Pain (1M) | 1.14 | 0.5 |
| Payoff Ratio | 1.01 | 1.0 |
| Profit Factor | 1.18 | 1.1 |
| Common Sense Ratio | 1.13 | 1.08 |
| CPC Index | 0.66 | 0.58 |
| Tail Ratio | 0.96 | 0.98 |
| Outlier Win Ratio | 3.69 | 3.61 |
| Outlier Loss Ratio | 4.11 | 3.65 |
| 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.) | 16.12% | 5.15% |
| All-time (ann.) | 16.12% | 5.15% |
| Best Day | 10.5% | 5.66% |
| Worst Day | -10.94% | -12.01% |
| Best Month | 12.7% | 8.62% |
| Worst Month | -12.49% | -13.32% |
| Best Year | 28.73% | 18.22% |
| Worst Year | -18.18% | -15.97% |
| Avg. Drawdown | -1.77% | -1.72% |
| Avg. Drawdown Days | 16 | 35 |
| Recovery Factor | 3.69 | 1.9 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 1.02 | 0.22 |
| Avg. Up Month | 4.14% | 2.33% |
| Avg. Down Month | -3.74% | -2.68% |
| Win Days | 55.14% | 52.79% |
| Win Month | 65.56% | 61.11% |
| Win Quarter | 77.42% | 64.52% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.36 |
| Alpha | - | -0.0 |
| Correlation | - | 61.24% |
| Treynor Ratio | - | 125.85% |
| Year | SPY | IPSAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 9.03 | 0.55 | - |
| 2020 | 18.33 | 3.11 | 0.17 | - |
| 2021 | 28.73 | 18.22 | 0.63 | - |
| 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 |
| 2020-02-20 | 2020-09-03 | -12.26 | 197 |
| 2020-09-08 | 2021-01-06 | -6.75 | 121 |
| 2024-07-17 | 2024-09-18 | -4.77 | 64 |
| 2019-07-30 | 2019-11-05 | -4.54 | 99 |
| 2021-09-07 | 2021-10-27 | -4.04 | 51 |
| 2021-02-16 | 2021-03-12 | -3.36 | 25 |
| 2024-03-28 | 2024-05-13 | -3.16 | 47 |
| 2021-11-19 | 2021-12-22 | -2.99 | 34 |