| Metric | SPY | SPAQ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 100.69% | 20.46% |
| CAGR﹪ | 20.41% | 5.09% |
| Sharpe | 1.01 | 0.08 |
| Prob. Sharpe Ratio | 97.67% | 55.89% |
| Smart Sharpe | 0.96 | 0.05 |
| Sortino | 1.49 | 0.11 |
| Smart Sortino | 1.42 | 0.07 |
| Sortino/√2 | 1.06 | 0.08 |
| Smart Sortino/√2 | 1.0 | 0.05 |
| Omega | 1.27 | 1.21 |
| Max Drawdown | -18.76% | -5.3% |
| Max DD Date | 2025-04-08 | 2025-09-17 |
| Max DD Period Start | 2025-02-20 | 2025-06-23 |
| Max DD Period End | 2025-06-25 | 2025-10-07 |
| Longest DD Days | 126 | 219 |
| Volatility (ann.) | 14.83% | 6.69% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.09 | 0.96 |
| Skew | 0.8 | -0.24 |
| Kurtosis | 19.08 | 21.91 |
| Ulcer Performance Index | 30.43 | 22.58 |
| Risk-Adjusted Return | 20.41% | 5.14% |
| Risk-Return Ratio | 0.08 | 0.05 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.67% | 0.21% |
| Avg. Loss | -0.71% | -0.24% |
| Win/Loss Ratio | 0.95 | 0.89 |
| Profit Ratio | 0.78 | 0.67 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.49% | 0.4% |
| Expected Yearly | 19.02% | 4.76% |
| Kelly Criterion | 9.52% | 7.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.46% | -0.67% |
| Expected Shortfall (cVaR) | -2.1% | -1.18% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.27 | 0.21 |
| Gain/Pain (1M) | 2.25 | 3.96 |
| Payoff Ratio | 0.95 | 0.89 |
| Profit Factor | 1.27 | 1.21 |
| Common Sense Ratio | 1.28 | 1.51 |
| CPC Index | 0.67 | 0.6 |
| Tail Ratio | 1.01 | 1.25 |
| Outlier Win Ratio | 3.18 | 5.32 |
| Outlier Loss Ratio | 3.45 | 4.88 |
| MTD | 1.47% | -0.07% |
| 3M | 1.46% | -1.58% |
| 6M | 6.94% | 0.42% |
| YTD | 13.33% | 1.93% |
| 1Y | 13.43% | 0.54% |
| 3Y (ann.) | 20.78% | 4.79% |
| 5Y (ann.) | 20.41% | 5.09% |
| 10Y (ann.) | 20.41% | 5.09% |
| All-time (ann.) | 20.41% | 5.09% |
| Best Day | 10.5% | 3.56% |
| Worst Day | -5.85% | -3.3% |
| Best Month | 10.51% | 2.11% |
| Worst Month | -5.57% | -1.16% |
| Best Year | 24.89% | 7.35% |
| Worst Year | 13.33% | 1.93% |
| Avg. Drawdown | -1.73% | -0.42% |
| Avg. Drawdown Days | 14 | 12 |
| Recovery Factor | 3.93 | 3.67 |
| Ulcer Index | 0.03 | 0.01 |
| Serenity Index | 2.24 | 3.97 |
| Avg. Up Month | 3.55% | 0.66% |
| Avg. Down Month | -1.76% | -0.66% |
| Win Days | 56.04% | 56.42% |
| Win Month | 68.09% | 72.34% |
| Win Quarter | 81.25% | 81.25% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.05 |
| Correlation | - | 1.56% |
| Treynor Ratio | - | 2907.0% |
| Year | SPY | SPAQ | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 20.46 | 5.52 | 0.27 | - |
| 2024 | 24.89 | 4.33 | 0.17 | - |
| 2025 | 17.72 | 7.35 | 0.41 | - |
| 2026 | 13.33 | 1.93 | 0.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-06-23 | 2025-10-07 | -5.30 | 107 |
| 2023-12-14 | 2024-03-15 | -4.05 | 93 |
| 2025-10-16 | 2026-05-22 | -3.95 | 219 |
| 2024-08-23 | 2024-10-17 | -3.55 | 56 |
| 2026-08-13 | 2026-11-04 | -1.92 | 84 |
| 2026-07-08 | 2026-08-07 | -1.02 | 31 |
| 2025-02-13 | 2025-02-18 | -0.96 | 6 |
| 2024-11-06 | 2024-12-05 | -0.84 | 30 |
| 2023-07-28 | 2023-08-09 | -0.79 | 13 |
| 2025-05-28 | 2025-05-28 | -0.75 | 1 |