| Metric | SPY | SHRIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 48.0% |
| Cumulative Return | 70.69% | 63.28% |
| CAGR﹪ | 11.36% | 10.37% |
| Sharpe | 0.49 | 1.01 |
| Prob. Sharpe Ratio | 86.25% | 97.54% |
| Smart Sharpe | 0.47 | 0.94 |
| Sortino | 0.7 | 1.29 |
| Smart Sortino | 0.68 | 1.19 |
| Sortino/√2 | 0.5 | 0.91 |
| Smart Sortino/√2 | 0.48 | 0.84 |
| Omega | 1.14 | 2.14 |
| Max Drawdown | -26.35% | -12.69% |
| Max DD Date | 2022-10-12 | 2022-09-30 |
| Max DD Period Start | 2022-01-04 | 2022-09-19 |
| Max DD Period End | 2023-12-18 | 2023-04-21 |
| Longest DD Days | 714 | 261 |
| Volatility (ann.) | 17.16% | 6.14% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.43 | 0.82 |
| Skew | 0.33 | -3.03 |
| Kurtosis | 9.05 | 116.24 |
| Ulcer Performance Index | 7.55 | 21.6 |
| Risk-Adjusted Return | 11.36% | 21.61% |
| Risk-Return Ratio | 0.04 | 0.1 |
| Avg. Return | 0.14% | 0.08% |
| Avg. Win | 0.79% | 0.19% |
| Avg. Loss | -1.23% | -0.71% |
| Win/Loss Ratio | 0.65 | 0.26 |
| Profit Ratio | 0.86 | 0.01 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.88% | 0.81% |
| Expected Yearly | 9.32% | 8.51% |
| Kelly Criterion | -18.72% | 40.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.6% |
| Expected Shortfall (cVaR) | -2.58% | -2.68% |
| Max Consecutive Wins | 10 | 5 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.14 | 1.14 |
| Gain/Pain (1M) | 0.74 | 3.07 |
| Payoff Ratio | 0.65 | 0.26 |
| Profit Factor | 1.14 | 2.14 |
| Common Sense Ratio | 1.13 | 4.4 |
| CPC Index | 0.39 | 0.49 |
| Tail Ratio | 1.0 | 2.05 |
| Outlier Win Ratio | 3.42 | 6.23 |
| Outlier Loss Ratio | 3.8 | 0.93 |
| MTD | 1.47% | 0.22% |
| 3M | 1.46% | 4.98% |
| 6M | 6.94% | 7.73% |
| YTD | 13.33% | 8.45% |
| 1Y | 13.43% | 10.41% |
| 3Y (ann.) | 20.78% | 12.29% |
| 5Y (ann.) | 12.3% | 10.41% |
| 10Y (ann.) | 11.36% | 10.37% |
| All-time (ann.) | 11.36% | 10.37% |
| Best Day | 10.5% | 5.74% |
| Worst Day | -5.85% | -5.4% |
| Best Month | 10.51% | 3.72% |
| Worst Month | -10.5% | -11.81% |
| Best Year | 26.18% | 21.05% |
| Worst Year | -20.18% | -3.37% |
| Avg. Drawdown | -1.98% | -1.31% |
| Avg. Drawdown Days | 21 | 33 |
| Recovery Factor | 2.31 | 3.94 |
| Ulcer Index | 0.09 | 0.03 |
| Serenity Index | 0.34 | 0.89 |
| Avg. Up Month | 3.89% | 1.4% |
| Avg. Down Month | -7.56% | -3.67% |
| Win Days | 53.44% | 87.67% |
| Win Month | 62.3% | 86.67% |
| Win Quarter | 71.43% | 80.95% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.03 |
| Alpha | - | 0.1 |
| Correlation | - | 7.03% |
| Treynor Ratio | - | 2515.35% |
| Year | SPY | SHRIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.04 | 0.02 | - |
| 2022 | -20.18 | -3.37 | 0.17 | + |
| 2023 | 26.18 | 21.05 | 0.80 | - |
| 2024 | 24.89 | 16.24 | 0.65 | - |
| 2025 | 17.72 | 10.68 | 0.60 | - |
| 2026 | 13.33 | 8.45 | 0.63 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-19 | 2023-04-21 | -12.69 | 215 |
| 2024-10-07 | 2024-10-30 | -6.91 | 24 |
| 2024-12-23 | 2025-09-09 | -6.78 | 261 |
| 2024-06-24 | 2024-08-01 | -2.09 | 39 |
| 2026-03-27 | 2026-06-18 | -1.87 | 84 |
| 2023-08-28 | 2023-08-30 | -1.00 | 3 |
| 2021-12-13 | 2022-02-04 | -0.62 | 54 |
| 2022-03-11 | 2022-08-01 | -0.58 | 144 |
| 2025-10-27 | 2025-11-07 | -0.54 | 12 |
| 2024-05-24 | 2024-06-04 | -0.33 | 12 |