| Metric | SPY | NTSE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 16.6% |
| CAGR﹪ | 14.51% | 16.75% |
| Sharpe | 0.83 | 0.58 |
| Prob. Sharpe Ratio | 79.61% | 71.8% |
| Smart Sharpe | 0.82 | 0.52 |
| Sortino | 1.22 | 0.83 |
| Smart Sortino | 1.2 | 0.74 |
| Sortino/√2 | 0.86 | 0.59 |
| Smart Sortino/√2 | 0.85 | 0.53 |
| Omega | 1.2 | 1.13 |
| Max Drawdown | -8.88% | -14.83% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2026-01-28 | 2026-06-23 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 135 |
| Volatility (ann.) | 12.86% | 26.16% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.63 | 1.13 |
| Skew | -0.02 | -0.19 |
| Kurtosis | 0.78 | 2.01 |
| Ulcer Performance Index | 6.68 | 2.52 |
| Risk-Adjusted Return | 14.51% | 16.75% |
| Risk-Return Ratio | 0.07 | 0.05 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 0.74% | 1.38% |
| Avg. Loss | -0.69% | -1.37% |
| Win/Loss Ratio | 1.07 | 1.01 |
| Profit Ratio | 1.02 | 0.88 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.04% | 1.19% |
| Expected Yearly | 6.95% | 7.98% |
| Kelly Criterion | 7.26% | 6.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.64% |
| Expected Shortfall (cVaR) | -1.66% | -3.82% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.13 |
| Gain/Pain (1M) | 1.83 | 0.67 |
| Payoff Ratio | 1.07 | 1.01 |
| Profit Factor | 1.2 | 1.13 |
| Common Sense Ratio | 1.19 | 1.22 |
| CPC Index | 0.67 | 0.61 |
| Tail Ratio | 0.99 | 1.07 |
| Outlier Win Ratio | 2.84 | 3.36 |
| Outlier Loss Ratio | 3.01 | 3.59 |
| MTD | 1.47% | 0.79% |
| 3M | 1.46% | -3.09% |
| 6M | 6.94% | -1.99% |
| YTD | 13.33% | 16.14% |
| 1Y | 14.39% | 16.6% |
| 3Y (ann.) | 14.51% | 16.75% |
| 5Y (ann.) | 14.51% | 16.75% |
| 10Y (ann.) | 14.51% | 16.75% |
| All-time (ann.) | 14.51% | 16.75% |
| Best Day | 2.91% | 6.18% |
| Worst Day | -2.58% | -6.71% |
| Best Month | 10.51% | 12.07% |
| Worst Month | -4.94% | -10.28% |
| Best Year | 13.33% | 16.14% |
| Worst Year | 0.94% | 0.4% |
| Avg. Drawdown | -1.74% | -4.29% |
| Avg. Drawdown Days | 14 | 22 |
| Recovery Factor | 1.61 | 1.26 |
| Ulcer Index | 0.02 | 0.07 |
| Serenity Index | 0.94 | 0.35 |
| Avg. Up Month | 3.58% | 6.4% |
| Avg. Down Month | -2.06% | -6.16% |
| Win Days | 52.0% | 53.2% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.54 |
| Alpha | - | -0.03 |
| Correlation | - | 75.88% |
| Treynor Ratio | - | 10.76% |
| Year | SPY | NTSE | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.40 | 0.43 | - |
| 2026 | 13.33 | 16.14 | 1.21 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-11-04 | -14.83 | 135 |
| 2026-02-26 | 2026-04-30 | -14.20 | 64 |
| 2026-06-03 | 2026-06-17 | -9.01 | 15 |
| 2026-05-11 | 2026-05-22 | -5.77 | 12 |
| 2025-11-12 | 2025-12-29 | -4.71 | 48 |
| 2026-01-29 | 2026-02-09 | -3.68 | 12 |
| 2026-01-16 | 2026-01-20 | -1.38 | 5 |
| 2026-05-07 | 2026-05-07 | -1.35 | 1 |
| 2025-11-06 | 2025-11-07 | -1.20 | 2 |
| 2026-02-23 | 2026-02-23 | -1.13 | 1 |