| Metric | SPY | NELAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 198.58% | 106.14% |
| CAGR﹪ | 15.95% | 10.28% |
| Sharpe | 0.71 | 0.55 |
| Prob. Sharpe Ratio | 97.22% | 93.17% |
| Smart Sharpe | 0.61 | 0.49 |
| Sortino | 1.0 | 0.77 |
| Smart Sortino | 0.86 | 0.69 |
| Sortino/√2 | 0.71 | 0.54 |
| Smart Sortino/√2 | 0.61 | 0.49 |
| 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.) | 19.44% | 14.47% |
| R^2 | 0.87 | 0.87 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.47 | 0.4 |
| Skew | -0.29 | -0.21 |
| Kurtosis | 13.98 | 9.6 |
| Ulcer Performance Index | 23.17 | 14.46 |
| Risk-Adjusted Return | 15.95% | 10.38% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.87% | 0.67% |
| Avg. Loss | -0.93% | -0.72% |
| Win/Loss Ratio | 0.93 | 0.93 |
| Profit Ratio | 0.77 | 0.73 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.22% | 0.81% |
| Expected Yearly | 14.65% | 9.46% |
| Kelly Criterion | 7.21% | 6.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.46% |
| Expected Shortfall (cVaR) | -3.2% | -2.27% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.15 |
| Gain/Pain (1M) | 1.11 | 0.9 |
| Payoff Ratio | 0.93 | 0.93 |
| Profit Factor | 1.18 | 1.15 |
| Common Sense Ratio | 1.13 | 1.04 |
| CPC Index | 0.61 | 0.59 |
| Tail Ratio | 0.95 | 0.91 |
| Outlier Win Ratio | 3.7 | 3.61 |
| Outlier Loss Ratio | 4.11 | 3.78 |
| 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.) | 15.95% | 10.28% |
| All-time (ann.) | 15.95% | 10.28% |
| 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 | -1.82% | -1.74% |
| Avg. Drawdown Days | 16 | 22 |
| Recovery Factor | 3.66 | 3.13 |
| Ulcer Index | 0.09 | 0.07 |
| Serenity Index | 0.87 | 0.6 |
| Avg. Up Month | 4.37% | 3.15% |
| Avg. Down Month | -4.27% | -3.38% |
| Win Days | 55.19% | 54.88% |
| Win Month | 65.56% | 64.44% |
| Win Quarter | 77.42% | 74.19% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.7 |
| Alpha | - | -0.01 |
| Correlation | - | 93.47% |
| Treynor Ratio | - | 152.51% |
| 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 | 13.33 | 5.63 | 0.42 | - |
| 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 |
| 2026-08-14 | 2026-11-04 | -5.25 | 83 |
| 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 |