| Metric | SPY | SMSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 83.0% |
| Cumulative Return | 86.58% | 26.89% |
| CAGR﹪ | 13.36% | 4.91% |
| Sharpe | 0.59 | 0.23 |
| Prob. Sharpe Ratio | 90.85% | 69.73% |
| Smart Sharpe | 0.58 | 0.21 |
| Sortino | 0.86 | 0.33 |
| Smart Sortino | 0.83 | 0.3 |
| Sortino/√2 | 0.61 | 0.23 |
| Smart Sortino/√2 | 0.59 | 0.21 |
| Omega | 1.16 | 1.19 |
| 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.) | 17.2% | 4.79% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.56 |
| Skew | 0.32 | -0.05 |
| Kurtosis | 8.95 | 2.7 |
| Ulcer Performance Index | 10.24 | 8.3 |
| Risk-Adjusted Return | 13.36% | 5.91% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.92% | 0.29% |
| Avg. Loss | -0.99% | -0.29% |
| Win/Loss Ratio | 0.93 | 0.99 |
| Profit Ratio | 0.83 | 0.47 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.39% |
| Expected Yearly | 10.95% | 4.05% |
| Kelly Criterion | 4.4% | 6.78% |
| 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 | 0.16 | 0.19 |
| Gain/Pain (1M) | 0.87 | 1.06 |
| Payoff Ratio | 0.93 | 0.99 |
| Profit Factor | 1.16 | 1.19 |
| Common Sense Ratio | 1.17 | 1.28 |
| CPC Index | 0.58 | 0.64 |
| Tail Ratio | 1.01 | 1.07 |
| Outlier Win Ratio | 3.41 | 4.32 |
| Outlier Loss Ratio | 3.77 | 2.85 |
| MTD | 1.08% | -0.66% |
| 3M | 3.82% | -1.31% |
| 6M | 19.85% | 5.7% |
| YTD | 14.3% | 6.12% |
| 1Y | 17.78% | 9.63% |
| 3Y (ann.) | 24.86% | 10.15% |
| 5Y (ann.) | 13.06% | 4.91% |
| 10Y (ann.) | 13.36% | 4.91% |
| All-time (ann.) | 13.36% | 4.91% |
| 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 | -1.89% | -0.85% |
| Avg. Drawdown Days | 20 | 21 |
| Recovery Factor | 2.85 | 2.77 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.47 | 0.32 |
| Avg. Up Month | 4.47% | 1.45% |
| Avg. Down Month | -4.06% | -1.16% |
| Win Days | 54.04% | 53.56% |
| Win Month | 63.93% | 60.0% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.19 |
| Alpha | - | 0.02 |
| Correlation | - | 68.06% |
| Treynor Ratio | - | 141.79% |
| Year | SPY | SMSAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -0.35 | -0.05 | - |
| 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 | 14.30 | 6.12 | 0.43 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-16 | 2023-12-15 | -8.79 | 760 |
| 2025-02-19 | 2025-05-12 | -5.93 | 83 |
| 2026-02-25 | 2026-04-09 | -3.66 | 44 |
| 2024-12-06 | 2025-01-17 | -2.57 | 43 |
| 2026-08-18 | 2026-09-22 | -2.32 | 36 |
| 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 | 2024-08-14 | -1.74 | 14 |
| 2025-07-24 | 2025-08-27 | -1.60 | 35 |