| Metric | SPY | SHRIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 44.0% |
| Cumulative Return | 197.48% | 84.55% |
| CAGR﹪ | 15.87% | 8.63% |
| Sharpe | 0.71 | 1.06 |
| Prob. Sharpe Ratio | 97.17% | 99.28% |
| Smart Sharpe | 0.61 | 1.0 |
| Sortino | 1.0 | 1.36 |
| Smart Sortino | 0.86 | 1.28 |
| Sortino/√2 | 0.7 | 0.96 |
| Smart Sortino/√2 | 0.61 | 0.9 |
| Omega | 1.18 | 2.11 |
| Max Drawdown | -33.72% | -12.69% |
| Max DD Date | 2020-03-23 | 2022-09-30 |
| Max DD Period Start | 2020-02-20 | 2022-09-19 |
| Max DD Period End | 2020-08-07 | 2023-04-21 |
| Longest DD Days | 714 | 340 |
| Volatility (ann.) | 19.43% | 5.24% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.47 | 0.68 |
| Skew | -0.29 | -3.26 |
| Kurtosis | 13.99 | 148.09 |
| Ulcer Performance Index | 23.05 | 34.88 |
| Risk-Adjusted Return | 15.87% | 19.62% |
| Risk-Return Ratio | 0.05 | 0.1 |
| Avg. Return | 0.13% | 0.08% |
| Avg. Win | 0.79% | 0.18% |
| Avg. Loss | -1.12% | -0.55% |
| Win/Loss Ratio | 0.71 | 0.32 |
| Profit Ratio | 0.78 | 0.01 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.22% | 0.68% |
| Expected Yearly | 14.6% | 7.96% |
| Kelly Criterion | -8.42% | 37.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.51% |
| Expected Shortfall (cVaR) | -3.2% | -1.9% |
| Max Consecutive Wins | 11 | 5 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | 0.18 | 1.11 |
| Gain/Pain (1M) | 1.1 | 2.87 |
| Payoff Ratio | 0.71 | 0.32 |
| Profit Factor | 1.18 | 2.11 |
| Common Sense Ratio | 1.13 | 4.26 |
| CPC Index | 0.46 | 0.58 |
| Tail Ratio | 0.96 | 2.02 |
| Outlier Win Ratio | 3.7 | 6.68 |
| Outlier Loss Ratio | 4.12 | 1.21 |
| 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.) | 15.87% | 8.63% |
| All-time (ann.) | 15.87% | 8.63% |
| Best Day | 10.5% | 5.74% |
| Worst Day | -10.94% | -5.4% |
| Best Month | 12.7% | 3.72% |
| Worst Month | -12.49% | -11.81% |
| Best Year | 28.73% | 21.05% |
| Worst Year | -20.18% | -3.37% |
| Avg. Drawdown | -1.82% | -1.14% |
| Avg. Drawdown Days | 16 | 36 |
| Recovery Factor | 3.65 | 4.91 |
| Ulcer Index | 0.09 | 0.02 |
| Serenity Index | 0.87 | 1.29 |
| Avg. Up Month | 4.09% | 1.2% |
| Avg. Down Month | -7.4% | -2.9% |
| Win Days | 55.13% | 84.66% |
| Win Month | 65.56% | 83.15% |
| Win Quarter | 77.42% | 77.42% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.02 |
| Alpha | - | 0.08 |
| Correlation | - | 5.72% |
| Treynor Ratio | - | 5484.86% |
| Year | SPY | SHRIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 3.86 | 0.24 | - |
| 2020 | 18.33 | 6.87 | 0.37 | - |
| 2021 | 28.73 | 1.87 | 0.07 | - |
| 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 |
| 2019-08-29 | 2019-09-05 | -1.96 | 8 |
| 2021-08-30 | 2022-08-04 | -1.96 | 340 |
| 2026-03-27 | 2026-06-18 | -1.87 | 84 |
| 2020-03-11 | 2020-07-01 | -1.72 | 113 |
| 2023-08-28 | 2023-08-30 | -1.00 | 3 |
| 2021-02-22 | 2021-04-09 | -0.99 | 47 |