| Metric | SPY | IPSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 203.75% | 47.12% |
| CAGR﹪ | 16.55% | 5.47% |
| Sharpe | 0.73 | 0.27 |
| Prob. Sharpe Ratio | 97.48% | 76.4% |
| Smart Sharpe | 0.63 | 0.25 |
| Sortino | 1.03 | 0.36 |
| Smart Sortino | 0.89 | 0.34 |
| Sortino/√2 | 0.73 | 0.26 |
| Smart Sortino/√2 | 0.63 | 0.24 |
| Omega | 1.18 | 1.11 |
| 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 | 2026-09-22 |
| Longest DD Days | 707 | 764 |
| Volatility (ann.) | 19.59% | 11.37% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.49 | 0.25 |
| Skew | -0.29 | -2.55 |
| Kurtosis | 13.8 | 47.43 |
| Ulcer Performance Index | 25.46 | 5.64 |
| Risk-Adjusted Return | 16.55% | 5.94% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.88% | 0.52% |
| Avg. Loss | -0.86% | -0.52% |
| Win/Loss Ratio | 1.01 | 1.01 |
| Profit Ratio | 0.77 | 0.64 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.27% | 0.44% |
| Expected Yearly | 14.9% | 4.94% |
| Kelly Criterion | 11.16% | 5.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.15% |
| Expected Shortfall (cVaR) | -3.21% | -1.89% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.11 |
| Gain/Pain (1M) | 1.16 | 0.52 |
| Payoff Ratio | 1.01 | 1.01 |
| Profit Factor | 1.18 | 1.11 |
| Common Sense Ratio | 1.14 | 1.09 |
| CPC Index | 0.66 | 0.59 |
| Tail Ratio | 0.96 | 0.99 |
| Outlier Win Ratio | 3.69 | 3.6 |
| Outlier Loss Ratio | 4.1 | 3.65 |
| 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.) | 16.55% | 5.47% |
| All-time (ann.) | 16.55% | 5.47% |
| 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 | -1.76% | -1.72% |
| Avg. Drawdown Days | 16 | 34 |
| Recovery Factor | 3.71 | 1.97 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 1.01 | 0.23 |
| Avg. Up Month | 4.14% | 2.33% |
| Avg. Down Month | -3.97% | -2.82% |
| Win Days | 55.26% | 52.87% |
| Win Month | 67.05% | 62.5% |
| Win Quarter | 76.67% | 66.67% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.35 |
| Alpha | - | -0.0 |
| Correlation | - | 61.06% |
| Treynor Ratio | - | 132.96% |
| 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 | 14.30 | 1.39 | 0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-09 | 2026-09-22 | -22.05 | 653 |
| 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 |