| Metric | SPY | SMSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 83.0% |
| Cumulative Return | 74.99% | 23.31% |
| CAGR﹪ | 11.91% | 4.3% |
| Sharpe | 0.52 | 0.1 |
| Prob. Sharpe Ratio | 87.6% | 58.62% |
| Smart Sharpe | 0.5 | 0.09 |
| Sortino | 0.74 | 0.14 |
| Smart Sortino | 0.72 | 0.12 |
| Sortino/√2 | 0.53 | 0.1 |
| Smart Sortino/√2 | 0.51 | 0.09 |
| Omega | 1.14 | 1.17 |
| Max Drawdown | -24.5% | -8.79% |
| Max DD Date | 2022-10-12 | 2022-07-14 |
| Max DD Period Start | 2022-01-04 | 2021-11-16 |
| Max DD Period End | 2023-12-12 | 2023-12-15 |
| Longest DD Days | 708 | 760 |
| Volatility (ann.) | 17.19% | 4.83% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.49 |
| Skew | 0.33 | -0.07 |
| Kurtosis | 8.98 | 2.6 |
| Ulcer Performance Index | 8.86 | 7.09 |
| Risk-Adjusted Return | 11.91% | 5.19% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.91% | 0.29% |
| Avg. Loss | -0.98% | -0.3% |
| Win/Loss Ratio | 0.93 | 0.97 |
| Profit Ratio | 0.86 | 0.46 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.34% |
| Expected Yearly | 9.77% | 3.55% |
| Kelly Criterion | 3.57% | 5.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.48% |
| Expected Shortfall (cVaR) | -2.58% | -0.67% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.17 |
| Gain/Pain (1M) | 0.79 | 0.83 |
| Payoff Ratio | 0.93 | 0.97 |
| Profit Factor | 1.14 | 1.17 |
| Common Sense Ratio | 1.15 | 1.18 |
| CPC Index | 0.57 | 0.61 |
| Tail Ratio | 1.0 | 1.01 |
| Outlier Win Ratio | 3.4 | 4.33 |
| Outlier Loss Ratio | 3.8 | 2.86 |
| MTD | 1.47% | 0.29% |
| 3M | 1.46% | -2.64% |
| 6M | 6.94% | -0.67% |
| YTD | 13.33% | 3.71% |
| 1Y | 13.43% | 5.89% |
| 3Y (ann.) | 20.78% | 8.06% |
| 5Y (ann.) | 12.86% | 4.86% |
| 10Y (ann.) | 11.91% | 4.3% |
| All-time (ann.) | 11.91% | 4.3% |
| Best Day | 10.5% | 1.55% |
| Worst Day | -5.85% | -1.6% |
| Best Month | 10.51% | 3.24% |
| Worst Month | -9.24% | -2.76% |
| Best Year | 26.18% | 10.62% |
| Worst Year | -18.18% | -4.94% |
| Avg. Drawdown | -1.94% | -0.91% |
| Avg. Drawdown Days | 21 | 22 |
| Recovery Factor | 2.58 | 2.45 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.43 | 0.28 |
| Avg. Up Month | 4.28% | 1.44% |
| Avg. Down Month | -3.81% | -1.3% |
| Win Days | 53.48% | 53.56% |
| Win Month | 62.3% | 60.0% |
| Win Quarter | 71.43% | 66.67% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.19 |
| Alpha | - | 0.02 |
| Correlation | - | 68.15% |
| Treynor Ratio | - | 121.65% |
| Year | SPY | SMSAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.91 | -0.53 | - |
| 2022 | -18.18 | -4.94 | 0.27 | + |
| 2023 | 26.18 | 7.20 | 0.28 | - |
| 2024 | 24.89 | 6.44 | 0.26 | - |
| 2025 | 17.72 | 10.62 | 0.60 | - |
| 2026 | 13.33 | 3.71 | 0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-16 | 2023-12-15 | -8.79 | 760 |
| 2025-02-19 | 2025-05-23 | -5.93 | 94 |
| 2026-08-18 | 2026-11-04 | -4.93 | 79 |
| 2026-02-25 | 2026-04-09 | -3.66 | 44 |
| 2024-12-06 | 2025-01-17 | -2.57 | 43 |
| 2024-10-21 | 2024-11-06 | -1.89 | 17 |
| 2026-06-16 | 2026-08-06 | -1.87 | 52 |
| 2024-05-22 | 2024-07-10 | -1.85 | 50 |
| 2024-08-01 | 2024-08-16 | -1.74 | 16 |
| 2025-07-24 | 2025-08-27 | -1.60 | 35 |