| Metric | SPY | SMSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 207.58% | 47.8% |
| CAGR﹪ | 16.68% | 5.51% |
| Sharpe | 0.74 | 0.5 |
| Prob. Sharpe Ratio | 97.6% | 91.06% |
| Smart Sharpe | 0.64 | 0.48 |
| Sortino | 1.04 | 0.71 |
| Smart Sortino | 0.9 | 0.67 |
| Sortino/√2 | 0.74 | 0.5 |
| Smart Sortino/√2 | 0.64 | 0.47 |
| Omega | 1.19 | 1.22 |
| 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.) | 19.56% | 5.21% |
| R^2 | 0.48 | 0.48 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.49 | 0.5 |
| Skew | -0.29 | -0.62 |
| Kurtosis | 13.84 | 14.24 |
| Ulcer Performance Index | 26.03 | 14.21 |
| Risk-Adjusted Return | 16.68% | 6.72% |
| Risk-Return Ratio | 0.06 | 0.07 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.96% | 0.29% |
| Avg. Loss | -1.09% | -0.3% |
| Win/Loss Ratio | 0.88 | 0.97 |
| Profit Ratio | 0.77 | 0.42 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.28% | 0.44% |
| Expected Yearly | 15.08% | 5.0% |
| Kelly Criterion | 4.18% | 7.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.52% |
| Expected Shortfall (cVaR) | -3.2% | -0.79% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.19 | 0.22 |
| Gain/Pain (1M) | 1.17 | 1.22 |
| Payoff Ratio | 0.88 | 0.97 |
| Profit Factor | 1.19 | 1.22 |
| Common Sense Ratio | 1.14 | 1.4 |
| CPC Index | 0.57 | 0.64 |
| Tail Ratio | 0.96 | 1.15 |
| Outlier Win Ratio | 3.69 | 4.6 |
| Outlier Loss Ratio | 4.1 | 3.19 |
| 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.) | 16.68% | 5.51% |
| All-time (ann.) | 16.68% | 5.51% |
| 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 | -1.78% | -0.85% |
| Avg. Drawdown Days | 16 | 21 |
| Recovery Factor | 3.75 | 3.65 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 1.03 | 0.51 |
| Avg. Up Month | 4.48% | 1.46% |
| Avg. Down Month | -4.5% | -1.28% |
| Win Days | 55.26% | 54.44% |
| Win Month | 67.05% | 63.22% |
| Win Quarter | 76.67% | 76.67% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.18 |
| Alpha | - | 0.02 |
| Correlation | - | 69.23% |
| Treynor Ratio | - | 259.29% |
| 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 | 14.30 | 6.12 | 0.43 | - |
| 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 |
| 2026-02-25 | 2026-04-09 | -3.66 | 44 |
| 2024-12-06 | 2025-01-17 | -2.57 | 43 |
| 2026-08-18 | 2026-09-22 | -2.32 | 36 |
| 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 |