| Metric | SPY | SMILX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 74.99% | 21.48% |
| CAGR﹪ | 11.91% | 3.99% |
| Sharpe | 0.52 | 0.09 |
| Prob. Sharpe Ratio | 87.6% | 57.51% |
| Smart Sharpe | 0.5 | 0.07 |
| Sortino | 0.74 | 0.12 |
| Smart Sortino | 0.72 | 0.09 |
| Sortino/√2 | 0.53 | 0.08 |
| Smart Sortino/√2 | 0.51 | 0.07 |
| Omega | 1.14 | 1.07 |
| 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.) | 17.19% | 16.25% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.13 |
| Skew | 0.33 | -0.26 |
| Kurtosis | 8.98 | 99.19 |
| Ulcer Performance Index | 8.86 | 1.25 |
| Risk-Adjusted Return | 11.91% | 4.29% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.86% | 0.64% |
| Avg. Loss | -0.87% | -0.74% |
| Win/Loss Ratio | 0.99 | 0.87 |
| Profit Ratio | 0.86 | 0.6 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.32% |
| Expected Yearly | 9.77% | 3.3% |
| Kelly Criterion | 6.43% | 0.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.66% |
| Expected Shortfall (cVaR) | -2.58% | -2.82% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.07 |
| Gain/Pain (1M) | 0.79 | 0.37 |
| Payoff Ratio | 0.99 | 0.87 |
| Profit Factor | 1.14 | 1.07 |
| Common Sense Ratio | 1.15 | 0.96 |
| CPC Index | 0.6 | 0.5 |
| Tail Ratio | 1.0 | 0.9 |
| Outlier Win Ratio | 3.4 | 3.38 |
| Outlier Loss Ratio | 3.8 | 3.28 |
| MTD | 1.47% | 0.18% |
| 3M | 1.46% | -2.73% |
| 6M | 6.94% | -3.96% |
| YTD | 13.33% | 5.65% |
| 1Y | 13.43% | 6.31% |
| 3Y (ann.) | 20.78% | 12.27% |
| 5Y (ann.) | 12.86% | 5.34% |
| 10Y (ann.) | 11.91% | 3.99% |
| All-time (ann.) | 11.91% | 3.99% |
| 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 | -1.94% | -3.73% |
| Avg. Drawdown Days | 21 | 83 |
| Recovery Factor | 2.58 | 0.88 |
| Ulcer Index | 0.08 | 0.17 |
| Serenity Index | 0.43 | 0.05 |
| Avg. Up Month | 4.08% | 2.57% |
| Avg. Down Month | -3.83% | -3.31% |
| Win Days | 53.48% | 53.95% |
| Win Month | 62.3% | 62.3% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.6 |
| Alpha | - | -0.02 |
| Correlation | - | 63.26% |
| Treynor Ratio | - | 35.92% |
| Year | SPY | SMILX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -5.23 | -3.02 | - |
| 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 | 13.33 | 5.65 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-31 | 2025-09-30 | -29.75 | 1370 |
| 2026-06-03 | 2026-11-04 | -8.87 | 155 |
| 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 |
| 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 |
| 2025-12-29 | 2026-01-02 | -1.66 | 5 |