| Metric | SPY | SHRIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 42.0% |
| Cumulative Return | 14.39% | 10.41% |
| CAGR﹪ | 14.51% | 10.5% |
| Sharpe | 0.83 | 2.84 |
| Prob. Sharpe Ratio | 79.61% | 92.51% |
| Smart Sharpe | 0.82 | 2.79 |
| Sortino | 1.22 | 3.31 |
| Smart Sortino | 1.2 | 3.25 |
| Sortino/√2 | 0.86 | 2.34 |
| Smart Sortino/√2 | 0.85 | 2.3 |
| Omega | 1.2 | 5.21 |
| Max Drawdown | -8.88% | -1.87% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-01-28 | 2026-03-27 |
| Max DD Period End | 2026-04-13 | 2026-06-18 |
| Longest DD Days | 76 | 84 |
| Volatility (ann.) | 12.86% | 2.24% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.63 | 5.61 |
| Skew | -0.02 | -9.95 |
| Kurtosis | 0.78 | 136.99 |
| Ulcer Performance Index | 6.68 | 19.34 |
| Risk-Adjusted Return | 14.51% | 25.0% |
| Risk-Return Ratio | 0.07 | 0.28 |
| Avg. Return | 0.16% | 0.1% |
| Avg. Win | 0.74% | 0.14% |
| Avg. Loss | -1.14% | -0.99% |
| Win/Loss Ratio | 0.65 | 0.14 |
| Profit Ratio | 1.02 | 0.0 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.76% |
| Expected Yearly | 6.95% | 5.08% |
| Kelly Criterion | -21.73% | 51.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.19% |
| Expected Shortfall (cVaR) | -1.66% | -1.87% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 1 |
| Gain/Pain Ratio | 0.2 | 4.21 |
| Gain/Pain (1M) | 1.83 | 6.94 |
| Payoff Ratio | 0.65 | 0.14 |
| Profit Factor | 1.2 | 5.21 |
| Common Sense Ratio | 1.19 | - |
| CPC Index | 0.41 | 0.67 |
| Tail Ratio | 0.99 | - |
| Outlier Win Ratio | 2.84 | 4.74 |
| Outlier Loss Ratio | 3.01 | 0.28 |
| MTD | 1.47% | 0.22% |
| 3M | 1.46% | 4.98% |
| 6M | 6.94% | 7.73% |
| YTD | 13.33% | 8.45% |
| 1Y | 14.39% | 10.41% |
| 3Y (ann.) | 14.51% | 10.5% |
| 5Y (ann.) | 14.51% | 10.5% |
| 10Y (ann.) | 14.51% | 10.5% |
| All-time (ann.) | 14.51% | 10.5% |
| Best Day | 2.91% | 0.33% |
| Worst Day | -2.58% | -1.87% |
| Best Month | 10.51% | 1.8% |
| Worst Month | -4.94% | -1.44% |
| Best Year | 13.33% | 8.45% |
| Worst Year | 0.94% | 1.81% |
| Avg. Drawdown | -1.74% | -0.39% |
| Avg. Drawdown Days | 14 | 15 |
| Recovery Factor | 1.61 | 5.31 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 1.74 |
| Avg. Up Month | 2.8% | 0.87% |
| Avg. Down Month | -4.94% | -1.44% |
| Win Days | 52.0% | 94.17% |
| Win Month | 61.54% | 92.31% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.03 |
| Alpha | - | 0.1 |
| Correlation | - | 18.03% |
| Treynor Ratio | - | 332.3% |
| Year | SPY | SHRIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.81 | 1.93 | + |
| 2026 | 13.33 | 8.45 | 0.63 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-27 | 2026-06-18 | -1.87 | 84 |
| 2026-01-09 | 2026-01-09 | -0.11 | 1 |
| 2026-03-13 | 2026-03-13 | -0.11 | 1 |
| 2025-11-21 | 2025-11-21 | -0.11 | 1 |
| 2025-12-05 | 2025-12-05 | -0.11 | 1 |
| 2025-12-18 | 2025-12-19 | -0.05 | 2 |