| Metric | SPY | NELAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.81% | 5.35% |
| CAGR﹪ | 15.07% | 5.44% |
| Sharpe | 0.87 | 0.21 |
| Prob. Sharpe Ratio | 80.5% | 58.15% |
| Smart Sharpe | 0.86 | 0.2 |
| Sortino | 1.27 | 0.3 |
| Smart Sortino | 1.26 | 0.29 |
| Sortino/√2 | 0.9 | 0.21 |
| Smart Sortino/√2 | 0.89 | 0.2 |
| Omega | 1.21 | 1.1 |
| Max Drawdown | -8.88% | -6.37% |
| 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 | 2026-04-10 |
| Longest DD Days | 76 | 83 |
| Volatility (ann.) | 12.91% | 10.61% |
| R^2 | 0.89 | 0.89 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 1.7 | 0.85 |
| Skew | -0.03 | 0.12 |
| Kurtosis | 0.75 | 1.08 |
| Ulcer Performance Index | 6.86 | 2.6 |
| Risk-Adjusted Return | 15.07% | 5.44% |
| Risk-Return Ratio | 0.07 | 0.03 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.71% | 0.55% |
| Avg. Loss | -0.64% | -0.54% |
| Win/Loss Ratio | 1.11 | 1.02 |
| Profit Ratio | 0.99 | 0.99 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.07% | 0.4% |
| Expected Yearly | 7.15% | 2.64% |
| Kelly Criterion | 9.61% | 3.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.08% |
| Expected Shortfall (cVaR) | -1.66% | -1.37% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.21 | 0.1 |
| Gain/Pain (1M) | 1.88 | 0.77 |
| Payoff Ratio | 1.11 | 1.02 |
| Profit Factor | 1.21 | 1.1 |
| Common Sense Ratio | 1.2 | 0.99 |
| CPC Index | 0.7 | 0.57 |
| Tail Ratio | 0.99 | 0.9 |
| Outlier Win Ratio | 2.84 | 3.91 |
| Outlier Loss Ratio | 2.98 | 3.04 |
| MTD | 1.47% | 0.83% |
| 3M | 1.46% | -2.26% |
| 6M | 6.94% | 0.43% |
| YTD | 13.33% | 5.63% |
| 1Y | 14.81% | 5.35% |
| 3Y (ann.) | 15.07% | 5.44% |
| 5Y (ann.) | 15.07% | 5.44% |
| 10Y (ann.) | 15.07% | 5.44% |
| All-time (ann.) | 15.07% | 5.44% |
| Best Day | 2.91% | 2.33% |
| Worst Day | -2.58% | -2.04% |
| Best Month | 10.51% | 7.34% |
| Worst Month | -4.94% | -2.76% |
| Best Year | 13.33% | 5.63% |
| Worst Year | 1.31% | -0.27% |
| Avg. Drawdown | -1.72% | -1.88% |
| Avg. Drawdown Days | 13 | 21 |
| Recovery Factor | 1.65 | 0.9 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.96 | 0.41 |
| Avg. Up Month | 4.28% | 2.67% |
| Avg. Down Month | -1.93% | -1.74% |
| Win Days | 52.42% | 51.21% |
| Win Month | 61.54% | 50.0% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.77 |
| Alpha | - | -0.06 |
| Correlation | - | 94.11% |
| Treynor Ratio | - | 6.91% |
| Year | SPY | NELAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | -0.27 | -0.21 | - |
| 2026 | 13.33 | 5.63 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-29 | 2026-04-10 | -6.37 | 72 |
| 2026-08-14 | 2026-11-04 | -5.25 | 83 |
| 2026-06-23 | 2026-08-03 | -4.20 | 42 |
| 2025-11-11 | 2026-01-05 | -3.47 | 56 |
| 2026-05-15 | 2026-06-12 | -3.34 | 29 |
| 2026-01-13 | 2026-01-27 | -2.02 | 15 |
| 2026-04-20 | 2026-04-29 | -0.85 | 10 |
| 2026-06-16 | 2026-06-17 | -0.76 | 2 |
| 2025-11-06 | 2025-11-07 | -0.74 | 2 |
| 2026-05-07 | 2026-05-07 | -0.62 | 1 |