| Metric | SPY | SHRIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 44.0% |
| Cumulative Return | 17.87% | 10.37% |
| CAGR﹪ | 18.02% | 10.46% |
| Sharpe | 1.04 | 2.65 |
| Prob. Sharpe Ratio | 84.73% | 92.13% |
| Smart Sharpe | 1.01 | 2.63 |
| Sortino | 1.51 | 3.06 |
| Smart Sortino | 1.47 | 3.05 |
| Sortino/√2 | 1.07 | 2.17 |
| Smart Sortino/√2 | 1.04 | 2.16 |
| Omega | 1.25 | 4.41 |
| 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.) | 12.99% | 2.29% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.03 | 5.59 |
| Skew | -0.15 | -9.4 |
| Kurtosis | 1.05 | 125.4 |
| Ulcer Performance Index | 8.3 | 19.16 |
| Risk-Adjusted Return | 18.02% | 23.77% |
| Risk-Return Ratio | 0.08 | 0.27 |
| Avg. Return | 0.17% | 0.09% |
| Avg. Win | 0.7% | 0.13% |
| Avg. Loss | -1.14% | -0.99% |
| Win/Loss Ratio | 0.62 | 0.13 |
| Profit Ratio | 0.94 | 0.0 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.27% | 0.76% |
| Expected Yearly | 8.57% | 5.06% |
| Kelly Criterion | -21.72% | 36.76% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.2% |
| Expected Shortfall (cVaR) | -1.72% | -0.8% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 2 |
| Gain/Pain Ratio | 0.25 | 3.41 |
| Gain/Pain (1M) | 2.6 | 6.92 |
| Payoff Ratio | 0.62 | 0.13 |
| Profit Factor | 1.25 | 4.41 |
| Common Sense Ratio | 1.24 | - |
| CPC Index | 0.41 | 0.54 |
| Tail Ratio | 0.99 | - |
| Outlier Win Ratio | 2.88 | 4.22 |
| Outlier Loss Ratio | 3.19 | 0.46 |
| MTD | 1.08% | 1.31% |
| 3M | 3.82% | 4.65% |
| 6M | 19.85% | 4.65% |
| YTD | 14.3% | 6.53% |
| 1Y | 17.87% | 10.37% |
| 3Y (ann.) | 18.02% | 10.46% |
| 5Y (ann.) | 18.02% | 10.46% |
| 10Y (ann.) | 18.02% | 10.46% |
| All-time (ann.) | 18.02% | 10.46% |
| Best Day | 2.91% | 0.33% |
| Worst Day | -2.7% | -1.87% |
| Best Month | 10.51% | 1.78% |
| Worst Month | -4.94% | -1.44% |
| Best Year | 14.3% | 6.53% |
| Worst Year | 3.13% | 3.61% |
| Avg. Drawdown | -1.71% | -0.41% |
| Avg. Drawdown Days | 13 | 14 |
| Recovery Factor | 1.94 | 5.29 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 1.77 |
| Avg. Up Month | 2.41% | 0.98% |
| Avg. Down Month | -4.94% | -1.44% |
| Win Days | 53.6% | 92.66% |
| Win Month | 76.92% | 92.31% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.03 |
| Alpha | - | 0.1 |
| Correlation | - | 14.59% |
| Treynor Ratio | - | 404.22% |
| Year | SPY | SHRIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 3.61 | 1.15 | + |
| 2026 | 14.30 | 6.53 | 0.46 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-27 | 2026-06-18 | -1.87 | 84 |
| 2025-10-27 | 2025-11-05 | -0.54 | 10 |
| 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 |