| Metric | SPY | SPAQ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 3.99% |
| CAGR﹪ | 18.02% | 4.03% |
| Sharpe | 1.04 | 0.03 |
| Prob. Sharpe Ratio | 84.73% | 51.33% |
| Smart Sharpe | 1.01 | 0.03 |
| Sortino | 1.51 | 0.05 |
| Smart Sortino | 1.47 | 0.04 |
| Sortino/√2 | 1.07 | 0.03 |
| Smart Sortino/√2 | 1.04 | 0.03 |
| Omega | 1.25 | 1.12 |
| Max Drawdown | -8.88% | -3.95% |
| Max DD Date | 2026-03-30 | 2025-10-23 |
| Max DD Period Start | 2026-01-28 | 2025-10-16 |
| Max DD Period End | 2026-04-13 | 2026-05-22 |
| Longest DD Days | 76 | 219 |
| Volatility (ann.) | 12.99% | 7.23% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.03 | 1.02 |
| Skew | -0.15 | -0.68 |
| Kurtosis | 1.05 | 6.62 |
| Ulcer Performance Index | 8.3 | 3.28 |
| Risk-Adjusted Return | 18.02% | 4.03% |
| Risk-Return Ratio | 0.08 | 0.04 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.64% | 0.31% |
| Avg. Loss | -0.64% | -0.3% |
| Win/Loss Ratio | 1.0 | 1.04 |
| Profit Ratio | 0.94 | 0.99 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.27% | 0.3% |
| Expected Yearly | 8.57% | 1.98% |
| Kelly Criterion | 7.39% | 4.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.73% |
| Expected Shortfall (cVaR) | -1.72% | -1.09% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | 0.12 |
| Gain/Pain (1M) | 2.6 | 1.26 |
| Payoff Ratio | 1.0 | 1.04 |
| Profit Factor | 1.25 | 1.12 |
| Common Sense Ratio | 1.24 | 1.2 |
| CPC Index | 0.67 | 0.6 |
| Tail Ratio | 0.99 | 1.07 |
| Outlier Win Ratio | 2.88 | 3.6 |
| Outlier Loss Ratio | 3.19 | 4.48 |
| MTD | 1.08% | -0.68% |
| 3M | 3.82% | -0.78% |
| 6M | 19.85% | 2.3% |
| YTD | 14.3% | 2.8% |
| 1Y | 17.87% | 3.99% |
| 3Y (ann.) | 18.02% | 4.03% |
| 5Y (ann.) | 18.02% | 4.03% |
| 10Y (ann.) | 18.02% | 4.03% |
| All-time (ann.) | 18.02% | 4.03% |
| Best Day | 2.91% | 1.87% |
| Worst Day | -2.7% | -2.75% |
| Best Month | 10.51% | 2.02% |
| Worst Month | -4.94% | -1.16% |
| Best Year | 14.3% | 2.8% |
| Worst Year | 3.13% | 1.16% |
| Avg. Drawdown | -1.71% | -0.8% |
| Avg. Drawdown Days | 13 | 30 |
| Recovery Factor | 1.94 | 1.06 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 0.55 |
| Avg. Up Month | 3.31% | 1.11% |
| Avg. Down Month | -2.9% | -0.59% |
| Win Days | 53.6% | 51.21% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.03 |
| Alpha | - | 0.04 |
| Correlation | - | 5.94% |
| Treynor Ratio | - | 120.77% |
| Year | SPY | SPAQ | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.16 | 0.37 | - |
| 2026 | 14.30 | 2.80 | 0.20 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-16 | 2026-05-22 | -3.95 | 219 |
| 2026-07-08 | 2026-08-07 | -1.02 | 31 |
| 2026-08-13 | 2026-09-22 | -1.01 | 41 |
| 2025-09-30 | 2025-10-02 | -0.83 | 3 |
| 2025-09-24 | 2025-09-25 | -0.81 | 2 |
| 2026-06-10 | 2026-07-06 | -0.55 | 27 |
| 2025-10-07 | 2025-10-07 | -0.39 | 1 |
| 2026-06-05 | 2026-06-05 | -0.14 | 1 |
| 2026-08-11 | 2026-08-11 | -0.03 | 1 |
| 2026-06-02 | 2026-06-03 | -0.01 | 2 |