| Metric | SPY | SMILX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 86.58% | 31.66% |
| CAGR﹪ | 13.36% | 5.69% |
| Sharpe | 0.59 | 0.19 |
| Prob. Sharpe Ratio | 90.85% | 66.25% |
| Smart Sharpe | 0.58 | 0.15 |
| Sortino | 0.86 | 0.26 |
| Smart Sortino | 0.83 | 0.21 |
| Sortino/√2 | 0.61 | 0.19 |
| Smart Sortino/√2 | 0.59 | 0.15 |
| Omega | 1.16 | 1.1 |
| Max Drawdown | -24.5% | -29.75% |
| Max DD Date | 2022-10-12 | 2022-09-26 |
| Max DD Period Start | 2022-01-04 | 2021-12-31 |
| Max DD Period End | 2023-12-12 | 2025-09-30 |
| Longest DD Days | 708 | 1370 |
| Volatility (ann.) | 17.2% | 16.25% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.19 |
| Skew | 0.32 | -0.27 |
| Kurtosis | 8.95 | 99.24 |
| Ulcer Performance Index | 10.24 | 1.85 |
| Risk-Adjusted Return | 13.36% | 6.12% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.86% | 0.65% |
| Avg. Loss | -0.88% | -0.74% |
| Win/Loss Ratio | 0.98 | 0.87 |
| Profit Ratio | 0.83 | 0.6 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.45% |
| Expected Yearly | 10.95% | 4.69% |
| Kelly Criterion | 7.18% | 1.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.66% |
| Expected Shortfall (cVaR) | -2.58% | -2.79% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.16 | 0.1 |
| Gain/Pain (1M) | 0.87 | 0.5 |
| Payoff Ratio | 0.98 | 0.87 |
| Profit Factor | 1.16 | 1.1 |
| Common Sense Ratio | 1.17 | 1.01 |
| CPC Index | 0.61 | 0.52 |
| Tail Ratio | 1.01 | 0.92 |
| Outlier Win Ratio | 3.41 | 3.35 |
| Outlier Loss Ratio | 3.77 | 3.31 |
| MTD | 1.08% | 0.08% |
| 3M | 3.82% | -3.11% |
| 6M | 19.85% | 8.43% |
| YTD | 14.3% | 9.54% |
| 1Y | 17.78% | 12.25% |
| 3Y (ann.) | 24.86% | 15.46% |
| 5Y (ann.) | 13.06% | 5.46% |
| 10Y (ann.) | 13.36% | 5.69% |
| All-time (ann.) | 13.36% | 5.69% |
| Best Day | 10.5% | 16.0% |
| Worst Day | -5.85% | -16.25% |
| Best Month | 10.51% | 6.92% |
| Worst Month | -9.24% | -7.14% |
| Best Year | 26.18% | 13.97% |
| Worst Year | -18.18% | -11.85% |
| Avg. Drawdown | -1.89% | -3.3% |
| Avg. Drawdown Days | 20 | 69 |
| Recovery Factor | 2.85 | 1.15 |
| Ulcer Index | 0.08 | 0.17 |
| Serenity Index | 0.47 | 0.07 |
| Avg. Up Month | 4.15% | 2.65% |
| Avg. Down Month | -4.03% | -3.33% |
| Win Days | 54.04% | 54.16% |
| Win Month | 63.93% | 63.93% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.6 |
| Alpha | - | -0.02 |
| Correlation | - | 63.19% |
| Treynor Ratio | - | 53.05% |
| Year | SPY | SMILX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -0.93 | -0.12 | - |
| 2022 | -18.18 | -11.85 | 0.65 | + |
| 2023 | 26.18 | 6.60 | 0.25 | - |
| 2024 | 24.89 | 13.29 | 0.53 | - |
| 2025 | 17.72 | 13.97 | 0.79 | - |
| 2026 | 14.30 | 9.54 | 0.67 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-31 | 2025-09-30 | -29.75 | 1370 |
| 2026-06-03 | 2026-09-22 | -8.39 | 112 |
| 2026-03-03 | 2026-04-16 | -8.14 | 45 |
| 2021-11-09 | 2021-12-29 | -6.93 | 51 |
| 2025-10-21 | 2025-12-10 | -5.28 | 51 |
| 2026-01-30 | 2026-02-24 | -3.75 | 26 |
| 2021-09-24 | 2021-10-14 | -3.30 | 21 |
| 2025-10-09 | 2025-10-17 | -2.65 | 9 |
| 2025-12-12 | 2025-12-19 | -2.38 | 8 |
| 2026-05-15 | 2026-05-22 | -2.38 | 8 |