| Metric | SPY | SMSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 204.97% | 44.44% |
| CAGR﹪ | 16.25% | 5.09% |
| Sharpe | 0.72 | 0.43 |
| Prob. Sharpe Ratio | 97.45% | 87.55% |
| Smart Sharpe | 0.63 | 0.4 |
| Sortino | 1.02 | 0.6 |
| Smart Sortino | 0.88 | 0.57 |
| Sortino/√2 | 0.72 | 0.42 |
| Smart Sortino/√2 | 0.62 | 0.4 |
| Omega | 1.18 | 1.2 |
| Max Drawdown | -33.72% | -10.98% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2020-02-24 |
| Max DD Period End | 2020-08-07 | 2020-06-05 |
| Longest DD Days | 708 | 926 |
| Volatility (ann.) | 19.45% | 5.21% |
| R^2 | 0.48 | 0.48 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.46 |
| Skew | -0.29 | -0.61 |
| Kurtosis | 13.94 | 13.91 |
| Ulcer Performance Index | 25.91 | 13.2 |
| Risk-Adjusted Return | 16.25% | 6.21% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.95% | 0.29% |
| Avg. Loss | -1.08% | -0.31% |
| Win/Loss Ratio | 0.88 | 0.96 |
| Profit Ratio | 0.78 | 0.42 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.41% |
| Expected Yearly | 14.96% | 4.7% |
| Kelly Criterion | 4.14% | 6.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.52% |
| Expected Shortfall (cVaR) | -3.2% | -0.79% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.2 |
| Gain/Pain (1M) | 1.15 | 1.07 |
| Payoff Ratio | 0.88 | 0.96 |
| Profit Factor | 1.18 | 1.2 |
| Common Sense Ratio | 1.13 | 1.29 |
| CPC Index | 0.57 | 0.63 |
| Tail Ratio | 0.96 | 1.07 |
| Outlier Win Ratio | 3.69 | 4.57 |
| Outlier Loss Ratio | 4.12 | 3.13 |
| 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.) | 16.25% | 5.09% |
| All-time (ann.) | 16.25% | 5.09% |
| Best Day | 10.5% | 3.01% |
| Worst Day | -10.94% | -3.31% |
| Best Month | 12.7% | 4.17% |
| Worst Month | -12.49% | -5.37% |
| Best Year | 28.73% | 12.06% |
| Worst Year | -18.18% | -4.94% |
| Avg. Drawdown | -1.79% | -0.88% |
| Avg. Drawdown Days | 16 | 21 |
| Recovery Factor | 3.72 | 3.44 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 1.03 | 0.48 |
| Avg. Up Month | 4.41% | 1.44% |
| Avg. Down Month | -4.13% | -1.31% |
| Win Days | 55.15% | 54.26% |
| Win Month | 65.56% | 62.92% |
| Win Quarter | 77.42% | 74.19% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.19 |
| Alpha | - | 0.02 |
| Correlation | - | 69.12% |
| Treynor Ratio | - | 239.84% |
| Year | SPY | SMSAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.08 | 0.13 | - |
| 2020 | 18.33 | 12.06 | 0.66 | - |
| 2021 | 28.73 | 1.47 | 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 | 13.33 | 3.71 | 0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-24 | 2020-06-05 | -10.98 | 103 |
| 2021-06-14 | 2023-12-26 | -9.72 | 926 |
| 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 |
| 2021-01-21 | 2021-02-04 | -1.99 | 15 |
| 2020-06-09 | 2020-07-20 | -1.95 | 42 |
| 2024-10-21 | 2024-11-06 | -1.89 | 17 |
| 2021-03-02 | 2021-04-23 | -1.88 | 53 |