| Metric | SPY | SMSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 14.39% | 6.1% |
| CAGR﹪ | 14.51% | 6.15% |
| Sharpe | 0.83 | 0.42 |
| Prob. Sharpe Ratio | 79.61% | 66.26% |
| Smart Sharpe | 0.82 | 0.39 |
| Sortino | 1.22 | 0.61 |
| Smart Sortino | 1.2 | 0.57 |
| Sortino/√2 | 0.86 | 0.43 |
| Smart Sortino/√2 | 0.85 | 0.4 |
| Omega | 1.2 | 1.19 |
| Max Drawdown | -8.88% | -4.93% |
| Max DD Date | 2026-03-30 | 2026-10-23 |
| Max DD Period Start | 2026-01-28 | 2026-08-18 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 79 |
| Volatility (ann.) | 12.86% | 5.88% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.63 | 1.25 |
| Skew | -0.02 | 0.05 |
| Kurtosis | 0.78 | 0.48 |
| Ulcer Performance Index | 6.68 | 3.76 |
| Risk-Adjusted Return | 14.51% | 6.83% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.73% | 0.35% |
| Avg. Loss | -0.74% | -0.38% |
| Win/Loss Ratio | 0.99 | 0.92 |
| Profit Ratio | 1.02 | 0.56 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.04% | 0.46% |
| Expected Yearly | 6.95% | 3.0% |
| Kelly Criterion | 3.4% | 4.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.58% |
| Expected Shortfall (cVaR) | -1.66% | -0.73% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.19 |
| Gain/Pain (1M) | 1.83 | 0.99 |
| Payoff Ratio | 0.99 | 0.92 |
| Profit Factor | 1.2 | 1.19 |
| Common Sense Ratio | 1.19 | 1.2 |
| CPC Index | 0.62 | 0.59 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.84 | 3.67 |
| Outlier Loss Ratio | 3.01 | 2.69 |
| MTD | 1.47% | 0.29% |
| 3M | 1.46% | -2.64% |
| 6M | 6.94% | -0.67% |
| YTD | 13.33% | 3.71% |
| 1Y | 14.39% | 6.1% |
| 3Y (ann.) | 14.51% | 6.15% |
| 5Y (ann.) | 14.51% | 6.15% |
| 10Y (ann.) | 14.51% | 6.15% |
| All-time (ann.) | 14.51% | 6.15% |
| Best Day | 2.91% | 1.2% |
| Worst Day | -2.58% | -1.03% |
| Best Month | 10.51% | 2.4% |
| Worst Month | -4.94% | -2.26% |
| Best Year | 13.33% | 3.71% |
| Worst Year | 0.94% | 2.3% |
| Avg. Drawdown | -1.74% | -1.08% |
| Avg. Drawdown Days | 14 | 15 |
| Recovery Factor | 1.61 | 1.24 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 0.37 |
| Avg. Up Month | 3.19% | 1.4% |
| Avg. Down Month | -2.06% | -1.68% |
| Win Days | 52.0% | 54.46% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.33 |
| Alpha | - | 0.01 |
| Correlation | - | 72.53% |
| Treynor Ratio | - | 18.4% |
| Year | SPY | SMSAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 2.30 | 2.45 | + |
| 2026 | 13.33 | 3.71 | 0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-18 | 2026-11-04 | -4.93 | 79 |
| 2026-02-25 | 2026-04-10 | -3.66 | 45 |
| 2026-06-16 | 2026-08-06 | -1.87 | 52 |
| 2026-06-03 | 2026-06-12 | -1.40 | 10 |
| 2025-11-11 | 2025-11-26 | -1.36 | 16 |
| 2026-05-14 | 2026-05-21 | -1.34 | 8 |
| 2026-01-23 | 2026-02-05 | -1.17 | 14 |
| 2026-04-21 | 2026-05-05 | -0.86 | 15 |
| 2025-12-12 | 2025-12-18 | -0.67 | 7 |
| 2026-02-12 | 2026-02-18 | -0.58 | 7 |