| Metric | SPY | SPAQ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 14.39% | 1.34% |
| CAGR﹪ | 14.51% | 1.35% |
| Sharpe | 0.83 | -0.38 |
| Prob. Sharpe Ratio | 79.61% | 35.25% |
| Smart Sharpe | 0.82 | -0.3 |
| Sortino | 1.22 | -0.54 |
| Smart Sortino | 1.2 | -0.43 |
| Sortino/√2 | 0.86 | -0.38 |
| Smart Sortino/√2 | 0.85 | -0.3 |
| Omega | 1.2 | 1.05 |
| Max Drawdown | -8.88% | -3.06% |
| Max DD Date | 2026-03-30 | 2026-01-05 |
| Max DD Period Start | 2026-01-28 | 2025-12-19 |
| Max DD Period End | 2026-04-13 | 2026-04-28 |
| Longest DD Days | 76 | 131 |
| Volatility (ann.) | 12.86% | 5.67% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.63 | 0.44 |
| Skew | -0.02 | 0.18 |
| Kurtosis | 0.78 | 4.95 |
| Ulcer Performance Index | 6.68 | 1.37 |
| Risk-Adjusted Return | 14.51% | 1.36% |
| Risk-Return Ratio | 0.07 | 0.02 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.67% | 0.22% |
| Avg. Loss | -0.67% | -0.22% |
| Win/Loss Ratio | 1.01 | 1.0 |
| Profit Ratio | 1.02 | 1.12 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.04% | 0.1% |
| Expected Yearly | 6.95% | 0.67% |
| Kelly Criterion | 4.4% | -2.66% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.58% |
| Expected Shortfall (cVaR) | -1.66% | -0.9% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.2 | 0.05 |
| Gain/Pain (1M) | 1.83 | 0.38 |
| Payoff Ratio | 1.01 | 1.0 |
| Profit Factor | 1.2 | 1.05 |
| Common Sense Ratio | 1.19 | 1.22 |
| CPC Index | 0.63 | 0.51 |
| Tail Ratio | 0.99 | 1.16 |
| Outlier Win Ratio | 2.84 | 4.03 |
| Outlier Loss Ratio | 3.01 | 4.91 |
| MTD | 1.47% | -0.07% |
| 3M | 1.46% | -1.58% |
| 6M | 6.94% | 0.42% |
| YTD | 13.33% | 1.93% |
| 1Y | 14.39% | 1.34% |
| 3Y (ann.) | 14.51% | 1.35% |
| 5Y (ann.) | 14.51% | 1.35% |
| 10Y (ann.) | 14.51% | 1.35% |
| All-time (ann.) | 14.51% | 1.35% |
| Best Day | 2.91% | 1.87% |
| Worst Day | -2.58% | -1.37% |
| Best Month | 10.51% | 1.7% |
| Worst Month | -4.94% | -1.16% |
| Best Year | 13.33% | 1.93% |
| Worst Year | 0.94% | -0.58% |
| Avg. Drawdown | -1.74% | -0.62% |
| Avg. Drawdown Days | 14 | 19 |
| Recovery Factor | 1.61 | 0.49 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 0.26 |
| Avg. Up Month | 3.63% | 0.92% |
| Avg. Down Month | -1.76% | -0.66% |
| Win Days | 52.0% | 48.58% |
| Win Month | 61.54% | 46.15% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | -0.0 |
| Alpha | - | 0.02 |
| Correlation | - | -0.87% |
| Treynor Ratio | - | -349.23% |
| Year | SPY | SPAQ | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -0.58 | -0.62 | - |
| 2026 | 13.33 | 1.93 | 0.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-19 | 2026-04-28 | -3.06 | 131 |
| 2026-08-13 | 2026-11-04 | -1.92 | 84 |
| 2026-04-30 | 2026-05-08 | -1.45 | 9 |
| 2026-07-08 | 2026-08-07 | -1.02 | 31 |
| 2025-11-14 | 2025-11-19 | -0.78 | 6 |
| 2025-11-07 | 2025-11-12 | -0.57 | 6 |
| 2026-06-10 | 2026-07-06 | -0.55 | 27 |
| 2025-11-21 | 2025-11-21 | -0.29 | 1 |
| 2025-12-02 | 2025-12-09 | -0.28 | 8 |
| 2026-05-12 | 2026-05-20 | -0.26 | 9 |