| Metric | SPY | SPCK |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 124.6% | 3.52% |
| CAGR﹪ | 14.8% | 0.59% |
| Sharpe | 0.72 | -0.24 |
| Prob. Sharpe Ratio | 95.99% | 27.8% |
| Smart Sharpe | 0.7 | -0.23 |
| Sortino | 1.04 | -0.33 |
| Smart Sortino | 1.01 | -0.31 |
| Sortino/√2 | 0.74 | -0.24 |
| Smart Sortino/√2 | 0.71 | -0.22 |
| Omega | 1.18 | 1.03 |
| Max Drawdown | -24.5% | -28.28% |
| Max DD Date | 2022-10-12 | 2023-02-08 |
| Max DD Period Start | 2022-01-04 | 2021-02-17 |
| Max DD Period End | 2023-12-12 | 2026-11-04 |
| Longest DD Days | 708 | 2087 |
| Volatility (ann.) | 16.54% | 9.3% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.6 | 0.02 |
| Skew | 0.28 | -0.89 |
| Kurtosis | 9.03 | 26.53 |
| Ulcer Performance Index | 15.95 | 0.18 |
| Risk-Adjusted Return | 14.8% | 0.63% |
| Risk-Return Ratio | 0.06 | 0.01 |
| Avg. Return | 0.06% | 0.0% |
| Avg. Win | 0.75% | 0.38% |
| Avg. Loss | -0.83% | -0.35% |
| Win/Loss Ratio | 0.91 | 1.09 |
| Profit Ratio | 0.83 | 0.86 |
| Expected Daily | 0.05% | 0.0% |
| Expected Monthly | 1.13% | 0.05% |
| Expected Yearly | 12.25% | 0.5% |
| Kelly Criterion | 3.87% | 2.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.65% | -0.96% |
| Expected Shortfall (cVaR) | -2.43% | -1.8% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 15 |
| Gain/Pain Ratio | 0.18 | 0.03 |
| Gain/Pain (1M) | 1.06 | 0.12 |
| Payoff Ratio | 0.91 | 1.09 |
| Profit Factor | 1.18 | 1.03 |
| Common Sense Ratio | 1.19 | 1.07 |
| CPC Index | 0.58 | 0.55 |
| Tail Ratio | 1.01 | 1.04 |
| Outlier Win Ratio | 3.47 | 5.45 |
| Outlier Loss Ratio | 3.89 | 3.96 |
| 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.) | 14.8% | 0.59% |
| All-time (ann.) | 14.8% | 0.59% |
| Best Day | 10.5% | 4.93% |
| Worst Day | -5.85% | -6.92% |
| Best Month | 10.51% | 12.14% |
| Worst Month | -9.24% | -6.08% |
| Best Year | 28.73% | 9.28% |
| Worst Year | -18.18% | -12.25% |
| Avg. Drawdown | -1.72% | -7.82% |
| Avg. Drawdown Days | 17 | 422 |
| Recovery Factor | 3.63 | 0.21 |
| Ulcer Index | 0.08 | 0.2 |
| Serenity Index | 0.65 | 0.01 |
| Avg. Up Month | 4.41% | 1.39% |
| Avg. Down Month | -4.12% | -1.62% |
| Win Days | 54.31% | 49.1% |
| Win Month | 65.28% | 48.61% |
| Win Quarter | 76.0% | 52.0% |
| Win Year | 85.71% | 57.14% |
| Beta | - | 0.03 |
| Alpha | - | 0.01 |
| Correlation | - | 5.83% |
| Treynor Ratio | - | 107.45% |
| Year | SPY | SPCK | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.43 | 3.00 | 2.10 | + |
| 2021 | 28.73 | 9.28 | 0.32 | - |
| 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 |
|---|---|---|---|
| 2021-02-17 | 2026-11-04 | -28.28 | 2087 |
| 2021-01-26 | 2021-02-01 | -6.44 | 7 |
| 2020-12-29 | 2021-01-06 | -1.94 | 9 |
| 2021-01-15 | 2021-01-19 | -1.27 | 5 |
| 2021-02-09 | 2021-02-12 | -1.15 | 4 |