| Metric | SPY | SPCK |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 74.99% | -9.91% |
| CAGR﹪ | 11.91% | -2.08% |
| Sharpe | 0.52 | -0.64 |
| Prob. Sharpe Ratio | 87.6% | 7.2% |
| Smart Sharpe | 0.5 | -0.52 |
| Sortino | 0.74 | -0.85 |
| Smart Sortino | 0.72 | -0.69 |
| Sortino/√2 | 0.53 | -0.6 |
| Smart Sortino/√2 | 0.51 | -0.49 |
| Omega | 1.14 | 0.96 |
| Max Drawdown | -24.5% | - |
| Max DD Date | 2022-10-12 | - |
| Max DD Period Start | 2022-01-04 | - |
| Max DD Period End | 2023-12-12 | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 17.19% | 8.7% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.49 | -0.1 |
| Skew | 0.33 | -1.4 |
| Kurtosis | 8.98 | 34.67 |
| Ulcer Performance Index | 8.86 | -0.8 |
| Risk-Adjusted Return | 11.91% | -2.19% |
| Risk-Return Ratio | 0.05 | -0.01 |
| Avg. Return | 0.05% | -0.01% |
| Avg. Win | 0.77% | 0.33% |
| Avg. Loss | -0.86% | -0.32% |
| Win/Loss Ratio | 0.9 | 1.03 |
| Profit Ratio | 0.86 | 0.83 |
| Expected Daily | 0.04% | -0.01% |
| Expected Monthly | 0.92% | -0.17% |
| Expected Yearly | 9.77% | -1.72% |
| Kelly Criterion | 1.79% | -1.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.91% |
| Expected Shortfall (cVaR) | -2.58% | -1.65% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 15 |
| Gain/Pain Ratio | 0.14 | -0.04 |
| Gain/Pain (1M) | 0.79 | -0.21 |
| Payoff Ratio | 0.9 | 1.03 |
| Profit Factor | 1.14 | 0.96 |
| Common Sense Ratio | 1.15 | 0.98 |
| CPC Index | 0.55 | 0.48 |
| Tail Ratio | 1.0 | 1.02 |
| Outlier Win Ratio | 3.4 | 4.45 |
| Outlier Loss Ratio | 3.8 | 3.67 |
| MTD | 1.47% | -0.65% |
| 3M | 1.46% | -2.78% |
| 6M | 6.94% | -2.11% |
| YTD | 13.33% | -1.42% |
| 1Y | 13.43% | -3.02% |
| 3Y (ann.) | 20.78% | 3.24% |
| 5Y (ann.) | 12.86% | -1.8% |
| 10Y (ann.) | 11.91% | -2.08% |
| All-time (ann.) | 11.91% | -2.08% |
| Best Day | 10.5% | 4.93% |
| Worst Day | -5.85% | -6.92% |
| Best Month | 10.51% | 4.49% |
| Worst Month | -9.24% | -6.08% |
| Best Year | 26.18% | 7.81% |
| Worst Year | -18.18% | -12.25% |
| Avg. Drawdown | -1.94% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.58 | 0.43 |
| Ulcer Index | 0.08 | 0.12 |
| Serenity Index | 0.43 | -0.02 |
| Avg. Up Month | 4.67% | 1.25% |
| Avg. Down Month | -4.23% | -1.76% |
| Win Days | 53.48% | 48.77% |
| Win Month | 62.3% | 45.9% |
| Win Quarter | 71.43% | 47.62% |
| Win Year | 83.33% | 33.33% |
| Beta | - | 0.0 |
| Alpha | - | -0.02 |
| Correlation | - | 0.02% |
| Treynor Ratio | - | -81932.98% |
| Year | SPY | SPCK | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -2.05 | -1.18 | - |
| 2022 | -18.18 | -12.25 | 0.67 | + |
| 2023 | 26.18 | -4.10 | -0.16 | - |
| 2024 | 24.89 | 2.84 | 0.11 | - |
| 2025 | 17.72 | 7.81 | 0.44 | - |
| 2026 | 13.33 | -1.42 | -0.11 | - |
| Started | Recovered | Drawdown | Days |
|---|