| Metric | SPY | NTRL |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 6.48% | 4.52% |
| CAGR﹪ | 13.27% | 9.18% |
| Sharpe | 0.78 | 0.56 |
| Prob. Sharpe Ratio | 70.87% | 65.56% |
| Smart Sharpe | 0.75 | 0.44 |
| Sortino | 1.14 | 0.85 |
| Smart Sortino | 1.09 | 0.66 |
| Sortino/√2 | 0.8 | 0.6 |
| Smart Sortino/√2 | 0.77 | 0.47 |
| Omega | 1.19 | 1.18 |
| Max Drawdown | -4.49% | -3.1% |
| Max DD Date | 2026-06-10 | 2026-09-24 |
| Max DD Period Start | 2026-06-03 | 2026-08-06 |
| Max DD Period End | 2026-07-31 | 2026-10-07 |
| Longest DD Days | 59 | 63 |
| Volatility (ann.) | 12.4% | 10.14% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.95 | 2.96 |
| Skew | -0.15 | 0.16 |
| Kurtosis | 0.59 | 1.02 |
| Ulcer Performance Index | 3.89 | 3.74 |
| Risk-Adjusted Return | 13.27% | 9.46% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.51% | 0.39% |
| Avg. Loss | -0.48% | -0.38% |
| Win/Loss Ratio | 1.08 | 1.02 |
| Profit Ratio | 1.15 | 0.89 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.9% | 0.63% |
| Expected Yearly | 6.48% | 4.52% |
| Kelly Criterion | 4.46% | 4.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.01% |
| Expected Shortfall (cVaR) | -1.63% | -1.39% |
| Max Consecutive Wins | 4 | 4 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | 0.18 |
| Gain/Pain (1M) | 3.26 | 1.48 |
| Payoff Ratio | 1.08 | 1.02 |
| Profit Factor | 1.19 | 1.18 |
| Common Sense Ratio | 1.47 | 1.53 |
| CPC Index | 0.65 | 0.62 |
| Tail Ratio | 1.23 | 1.29 |
| Outlier Win Ratio | 2.66 | 3.57 |
| Outlier Loss Ratio | 3.07 | 3.7 |
| MTD | 1.47% | -1.47% |
| 3M | 1.46% | 1.29% |
| 6M | 6.48% | 4.52% |
| YTD | 6.48% | 4.52% |
| 1Y | 6.48% | 4.52% |
| 3Y (ann.) | 13.27% | 9.18% |
| 5Y (ann.) | 13.27% | 9.18% |
| 10Y (ann.) | 13.27% | 9.18% |
| All-time (ann.) | 13.27% | 9.18% |
| Best Day | 1.8% | 1.75% |
| Worst Day | -2.58% | -1.77% |
| Best Month | 4.52% | 5.02% |
| Worst Month | -1.03% | -1.47% |
| Best Year | 6.48% | 4.52% |
| Worst Year | 6.48% | 4.52% |
| Avg. Drawdown | -1.57% | -1.23% |
| Avg. Drawdown Days | 17 | 13 |
| Recovery Factor | 1.48 | 1.51 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.91 | 0.93 |
| Avg. Up Month | 2.28% | 2.56% |
| Avg. Down Month | -0.68% | -0.72% |
| Win Days | 50.39% | 52.03% |
| Win Month | 57.14% | 42.86% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.17 |
| Alpha | - | 0.11 |
| Correlation | - | -20.18% |
| Treynor Ratio | - | -27.41% |
| Year | SPY | NTRL | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 4.52 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-06 | 2026-10-07 | -3.10 | 63 |
| 2026-10-27 | 2026-11-04 | -2.81 | 9 |
| 2026-07-21 | 2026-07-27 | -1.81 | 7 |
| 2026-06-24 | 2026-07-16 | -1.74 | 23 |
| 2026-07-30 | 2026-08-04 | -1.73 | 6 |
| 2026-06-15 | 2026-06-22 | -0.60 | 8 |
| 2026-10-09 | 2026-10-12 | -0.57 | 4 |
| 2026-10-21 | 2026-10-23 | -0.49 | 3 |
| 2026-05-21 | 2026-06-02 | -0.28 | 13 |
| 2026-05-06 | 2026-05-13 | -0.21 | 8 |