| Metric | SPY | NELAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 201.14% | 111.09% |
| CAGR﹪ | 16.37% | 10.82% |
| Sharpe | 0.73 | 0.58 |
| Prob. Sharpe Ratio | 97.38% | 94.07% |
| Smart Sharpe | 0.63 | 0.52 |
| Sortino | 1.02 | 0.82 |
| Smart Sortino | 0.88 | 0.73 |
| Sortino/√2 | 0.72 | 0.58 |
| Smart Sortino/√2 | 0.62 | 0.51 |
| Omega | 1.18 | 1.15 |
| Max Drawdown | -33.72% | -25.59% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-01-03 |
| Max DD Period End | 2020-08-07 | 2021-01-05 |
| Longest DD Days | 714 | 695 |
| Volatility (ann.) | 19.55% | 14.54% |
| R^2 | 0.87 | 0.87 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.49 | 0.42 |
| Skew | -0.29 | -0.21 |
| Kurtosis | 13.88 | 9.57 |
| Ulcer Performance Index | 23.28 | 15.03 |
| Risk-Adjusted Return | 16.37% | 10.93% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.87% | 0.67% |
| Avg. Loss | -0.94% | -0.72% |
| Win/Loss Ratio | 0.93 | 0.93 |
| Profit Ratio | 0.77 | 0.73 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.26% | 0.85% |
| Expected Yearly | 14.77% | 9.79% |
| Kelly Criterion | 7.37% | 6.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.46% |
| Expected Shortfall (cVaR) | -3.2% | -2.3% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.15 |
| Gain/Pain (1M) | 1.13 | 0.95 |
| Payoff Ratio | 0.93 | 0.93 |
| Profit Factor | 1.18 | 1.15 |
| Common Sense Ratio | 1.13 | 1.07 |
| CPC Index | 0.61 | 0.59 |
| Tail Ratio | 0.96 | 0.92 |
| Outlier Win Ratio | 3.7 | 3.6 |
| Outlier Loss Ratio | 4.1 | 3.82 |
| MTD | 1.08% | 0.4% |
| 3M | 3.82% | -0.13% |
| 6M | 19.85% | 11.13% |
| YTD | 14.3% | 8.17% |
| 1Y | 18.22% | 9.41% |
| 3Y (ann.) | 25.09% | 17.24% |
| 5Y (ann.) | 12.6% | 9.72% |
| 10Y (ann.) | 16.37% | 10.82% |
| All-time (ann.) | 16.37% | 10.82% |
| Best Day | 10.5% | 7.5% |
| Worst Day | -10.94% | -7.31% |
| Best Month | 12.7% | 8.46% |
| Worst Month | -12.49% | -7.77% |
| Best Year | 28.73% | 32.55% |
| Worst Year | -20.18% | -16.68% |
| Avg. Drawdown | -1.81% | -1.73% |
| Avg. Drawdown Days | 16 | 22 |
| Recovery Factor | 3.68 | 3.22 |
| Ulcer Index | 0.09 | 0.07 |
| Serenity Index | 0.87 | 0.61 |
| Avg. Up Month | 4.36% | 3.14% |
| Avg. Down Month | -4.4% | -3.41% |
| Win Days | 55.3% | 54.99% |
| Win Month | 67.05% | 64.77% |
| Win Quarter | 76.67% | 76.67% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.7 |
| Alpha | - | -0.01 |
| Correlation | - | 93.5% |
| Treynor Ratio | - | 159.74% |
| Year | SPY | NELAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 7.73 | 0.47 | - |
| 2020 | 18.33 | -1.03 | -0.06 | - |
| 2021 | 28.73 | 32.55 | 1.13 | + |
| 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 | 14.30 | 8.17 | 0.57 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-03 | 2021-01-05 | -25.59 | 369 |
| 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 |
| 2019-07-30 | 2019-10-31 | -4.86 | 94 |
| 2021-08-31 | 2021-10-27 | -4.72 | 58 |
| 2026-06-23 | 2026-08-03 | -4.20 | 42 |
| 2021-01-21 | 2021-02-05 | -4.11 | 16 |
| 2026-08-14 | 2026-09-22 | -4.04 | 40 |