| Metric | SPY | SMSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 17.87% | 9.74% |
| CAGR﹪ | 18.02% | 9.82% |
| Sharpe | 1.04 | 0.96 |
| Prob. Sharpe Ratio | 84.73% | 82.97% |
| Smart Sharpe | 1.01 | 0.91 |
| Sortino | 1.51 | 1.43 |
| Smart Sortino | 1.47 | 1.36 |
| Sortino/√2 | 1.07 | 1.01 |
| Smart Sortino/√2 | 1.04 | 0.96 |
| Omega | 1.25 | 1.31 |
| Max Drawdown | -8.88% | -3.66% |
| Max DD Date | 2026-03-30 | 2026-03-20 |
| Max DD Period Start | 2026-01-28 | 2026-02-25 |
| Max DD Period End | 2026-04-13 | 2026-04-09 |
| Longest DD Days | 76 | 52 |
| Volatility (ann.) | 12.99% | 5.84% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.03 | 2.68 |
| Skew | -0.15 | 0.05 |
| Kurtosis | 1.05 | 0.5 |
| Ulcer Performance Index | 8.3 | 9.72 |
| Risk-Adjusted Return | 18.02% | 10.8% |
| Risk-Return Ratio | 0.08 | 0.1 |
| Avg. Return | 0.09% | 0.04% |
| Avg. Win | 0.74% | 0.35% |
| Avg. Loss | -0.76% | -0.36% |
| Win/Loss Ratio | 0.97 | 0.97 |
| Profit Ratio | 0.94 | 0.62 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.27% | 0.72% |
| Expected Yearly | 8.57% | 4.76% |
| Kelly Criterion | 5.71% | 8.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.57% |
| Expected Shortfall (cVaR) | -1.72% | -0.69% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.31 |
| Gain/Pain (1M) | 2.6 | 2.63 |
| Payoff Ratio | 0.97 | 0.97 |
| Profit Factor | 1.25 | 1.31 |
| Common Sense Ratio | 1.24 | 1.45 |
| CPC Index | 0.65 | 0.7 |
| Tail Ratio | 0.99 | 1.11 |
| Outlier Win Ratio | 2.88 | 3.51 |
| Outlier Loss Ratio | 3.19 | 2.83 |
| MTD | 1.08% | -0.66% |
| 3M | 3.82% | -1.31% |
| 6M | 19.85% | 5.7% |
| YTD | 14.3% | 6.12% |
| 1Y | 17.87% | 9.74% |
| 3Y (ann.) | 18.02% | 9.82% |
| 5Y (ann.) | 18.02% | 9.82% |
| 10Y (ann.) | 18.02% | 9.82% |
| All-time (ann.) | 18.02% | 9.82% |
| Best Day | 2.91% | 1.2% |
| Worst Day | -2.7% | -1.03% |
| Best Month | 10.51% | 2.4% |
| Worst Month | -4.94% | -1.84% |
| Best Year | 14.3% | 6.12% |
| Worst Year | 3.13% | 3.41% |
| Avg. Drawdown | -1.71% | -0.84% |
| Avg. Drawdown Days | 13 | 10 |
| Recovery Factor | 1.94 | 2.59 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 1.34 |
| Avg. Up Month | 2.88% | 1.33% |
| Avg. Down Month | -4.94% | -1.84% |
| Win Days | 53.6% | 55.07% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.33 |
| Alpha | - | 0.04 |
| Correlation | - | 73.15% |
| Treynor Ratio | - | 29.64% |
| Year | SPY | SMSAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 3.41 | 1.09 | + |
| 2026 | 14.30 | 6.12 | 0.43 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-25 | 2026-04-09 | -3.66 | 44 |
| 2026-08-18 | 2026-09-22 | -2.32 | 36 |
| 2026-06-16 | 2026-08-06 | -1.87 | 52 |
| 2026-06-03 | 2026-06-12 | -1.40 | 10 |
| 2025-11-11 | 2025-11-25 | -1.36 | 15 |
| 2026-05-14 | 2026-05-21 | -1.34 | 8 |
| 2026-01-28 | 2026-02-03 | -1.17 | 7 |
| 2025-10-28 | 2025-11-07 | -0.88 | 11 |
| 2026-04-21 | 2026-05-05 | -0.86 | 15 |
| 2025-10-03 | 2025-10-14 | -0.78 | 12 |