| Metric | SPY | SPCK |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 86.58% | -7.42% |
| CAGR﹪ | 13.36% | -1.54% |
| Sharpe | 0.59 | -0.57 |
| Prob. Sharpe Ratio | 90.85% | 9.6% |
| Smart Sharpe | 0.58 | -0.47 |
| Sortino | 0.86 | -0.76 |
| Smart Sortino | 0.83 | -0.62 |
| Sortino/√2 | 0.61 | -0.54 |
| Smart Sortino/√2 | 0.59 | -0.44 |
| Omega | 1.16 | 0.97 |
| Max Drawdown | -24.5% | -19.89% |
| Max DD Date | 2022-10-12 | 2023-02-08 |
| Max DD Period Start | 2022-01-04 | 2021-11-08 |
| Max DD Period End | 2023-12-12 | 2026-09-22 |
| Longest DD Days | 708 | 1780 |
| Volatility (ann.) | 17.2% | 8.66% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.55 | -0.08 |
| Skew | 0.32 | -1.42 |
| Kurtosis | 8.95 | 35.37 |
| Ulcer Performance Index | 10.24 | -0.6 |
| Risk-Adjusted Return | 13.36% | -1.64% |
| Risk-Return Ratio | 0.05 | -0.01 |
| Avg. Return | 0.05% | -0.0% |
| Avg. Win | 0.76% | 0.32% |
| Avg. Loss | -0.88% | -0.32% |
| Win/Loss Ratio | 0.87 | 1.03 |
| Profit Ratio | 0.83 | 0.8 |
| Expected Daily | 0.05% | -0.01% |
| Expected Monthly | 1.03% | -0.13% |
| Expected Yearly | 10.95% | -1.28% |
| Kelly Criterion | 1.46% | -0.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.9% |
| Expected Shortfall (cVaR) | -2.58% | -1.65% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 15 |
| Gain/Pain Ratio | 0.16 | -0.03 |
| Gain/Pain (1M) | 0.87 | -0.15 |
| Payoff Ratio | 0.87 | 1.03 |
| Profit Factor | 1.16 | 0.97 |
| Common Sense Ratio | 1.17 | 1.01 |
| CPC Index | 0.55 | 0.49 |
| Tail Ratio | 1.01 | 1.04 |
| Outlier Win Ratio | 3.41 | 4.52 |
| Outlier Loss Ratio | 3.77 | 3.7 |
| MTD | 1.08% | -4.05% |
| 3M | 3.82% | -0.95% |
| 6M | 19.85% | 0.59% |
| YTD | 14.3% | 1.1% |
| 1Y | 17.78% | 3.35% |
| 3Y (ann.) | 24.86% | 4.2% |
| 5Y (ann.) | 13.06% | -1.55% |
| 10Y (ann.) | 13.36% | -1.54% |
| All-time (ann.) | 13.36% | -1.54% |
| 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 | -1.89% | -10.45% |
| Avg. Drawdown Days | 20 | 909 |
| Recovery Factor | 2.85 | 0.29 |
| Ulcer Index | 0.08 | 0.12 |
| Serenity Index | 0.47 | -0.01 |
| Avg. Up Month | 4.79% | 1.19% |
| Avg. Down Month | -4.58% | -1.42% |
| Win Days | 54.04% | 49.23% |
| Win Month | 63.93% | 47.54% |
| Win Quarter | 66.67% | 52.38% |
| Win Year | 83.33% | 50.0% |
| Beta | - | 0.0 |
| Alpha | - | -0.01 |
| Correlation | - | 0.44% |
| Treynor Ratio | - | -3344.33% |
| Year | SPY | SPCK | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -1.84 | -0.24 | - |
| 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 | 14.30 | 1.10 | 0.08 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-08 | 2026-09-22 | -19.89 | 1780 |
| 2021-09-27 | 2021-11-03 | -1.00 | 38 |