| Metric | SPY | NELAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 71.32% | 48.23% |
| CAGR﹪ | 11.46% | 8.26% |
| Sharpe | 0.49 | 0.38 |
| Prob. Sharpe Ratio | 86.48% | 80.32% |
| Smart Sharpe | 0.48 | 0.38 |
| Sortino | 0.71 | 0.54 |
| Smart Sortino | 0.69 | 0.53 |
| Sortino/√2 | 0.5 | 0.38 |
| Smart Sortino/√2 | 0.49 | 0.38 |
| Omega | 1.14 | 1.13 |
| Max Drawdown | -26.35% | -20.88% |
| Max DD Date | 2022-10-12 | 2022-10-14 |
| Max DD Period Start | 2022-01-04 | 2022-01-05 |
| Max DD Period End | 2023-12-18 | 2023-11-30 |
| Longest DD Days | 714 | 695 |
| Volatility (ann.) | 17.17% | 12.75% |
| R^2 | 0.91 | 0.91 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.44 | 0.4 |
| Skew | 0.33 | -0.04 |
| Kurtosis | 9.04 | 5.77 |
| Ulcer Performance Index | 7.61 | 6.05 |
| Risk-Adjusted Return | 11.46% | 8.34% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.83% | 0.62% |
| Avg. Loss | -0.86% | -0.65% |
| Win/Loss Ratio | 0.97 | 0.96 |
| Profit Ratio | 0.85 | 0.79 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.89% | 0.65% |
| Expected Yearly | 9.39% | 6.78% |
| Kelly Criterion | 5.46% | 5.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.29% |
| Expected Shortfall (cVaR) | -2.58% | -1.93% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.13 |
| Gain/Pain (1M) | 0.74 | 0.72 |
| Payoff Ratio | 0.97 | 0.96 |
| Profit Factor | 1.14 | 1.13 |
| Common Sense Ratio | 1.13 | 1.09 |
| CPC Index | 0.59 | 0.58 |
| Tail Ratio | 1.0 | 0.97 |
| Outlier Win Ratio | 3.42 | 3.35 |
| Outlier Loss Ratio | 3.79 | 3.75 |
| MTD | 1.47% | 0.83% |
| 3M | 1.46% | -2.26% |
| 6M | 6.94% | 0.43% |
| YTD | 13.33% | 5.63% |
| 1Y | 13.84% | 4.66% |
| 3Y (ann.) | 21.0% | 13.59% |
| 5Y (ann.) | 12.4% | 8.79% |
| 10Y (ann.) | 11.46% | 8.26% |
| All-time (ann.) | 11.46% | 8.26% |
| Best Day | 10.5% | 6.61% |
| Worst Day | -5.85% | -4.66% |
| Best Month | 10.51% | 7.34% |
| Worst Month | -10.5% | -6.99% |
| Best Year | 26.18% | 23.77% |
| Worst Year | -20.18% | -16.68% |
| Avg. Drawdown | -1.98% | -1.73% |
| Avg. Drawdown Days | 21 | 23 |
| Recovery Factor | 2.32 | 2.08 |
| Ulcer Index | 0.09 | 0.08 |
| Serenity Index | 0.34 | 0.26 |
| Avg. Up Month | 4.29% | 3.09% |
| Avg. Down Month | -4.03% | -2.89% |
| Win Days | 53.53% | 53.66% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.71 |
| Alpha | - | 0.0 |
| Correlation | - | 95.46% |
| Treynor Ratio | - | 68.04% |
| Year | SPY | NELAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 1.63 | 0.94 | - |
| 2022 | -20.18 | -16.68 | 0.83 | + |
| 2023 | 26.18 | 23.77 | 0.91 | - |
| 2024 | 24.89 | 20.24 | 0.81 | - |
| 2025 | 18.15 | 11.35 | 0.63 | - |
| 2026 | 13.33 | 5.63 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2023-11-30 | -20.88 | 695 |
| 2025-01-24 | 2025-06-26 | -15.55 | 154 |
| 2024-07-11 | 2024-09-23 | -8.39 | 75 |
| 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 |
| 2025-10-30 | 2026-01-08 | -3.99 | 71 |
| 2024-04-02 | 2024-05-14 | -3.95 | 43 |
| 2024-12-09 | 2025-01-21 | -3.43 | 44 |
| 2026-05-15 | 2026-06-17 | -3.34 | 34 |