| Metric | SPY | SPCK |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 126.53% | 6.17% |
| CAGR﹪ | 15.32% | 1.05% |
| Sharpe | 0.74 | -0.19 |
| Prob. Sharpe Ratio | 96.29% | 32.11% |
| Smart Sharpe | 0.72 | -0.18 |
| Sortino | 1.07 | -0.27 |
| Smart Sortino | 1.04 | -0.25 |
| Sortino/√2 | 0.76 | -0.19 |
| Smart Sortino/√2 | 0.74 | -0.18 |
| Omega | 1.18 | 1.04 |
| 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 | 2026-09-22 |
| Longest DD Days | 708 | 2044 |
| Volatility (ann.) | 16.63% | 9.35% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.63 | 0.04 |
| Skew | 0.28 | -0.9 |
| Kurtosis | 8.99 | 26.49 |
| Ulcer Performance Index | 16.03 | 0.31 |
| Risk-Adjusted Return | 15.32% | 1.12% |
| Risk-Return Ratio | 0.06 | 0.01 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.76% | 0.38% |
| Avg. Loss | -0.84% | -0.35% |
| Win/Loss Ratio | 0.9 | 1.09 |
| Profit Ratio | 0.82 | 0.84 |
| Expected Daily | 0.06% | 0.0% |
| Expected Monthly | 1.17% | 0.09% |
| Expected Yearly | 12.39% | 0.86% |
| Kelly Criterion | 3.72% | 3.06% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.66% | -0.96% |
| Expected Shortfall (cVaR) | -2.45% | -1.82% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 15 |
| Gain/Pain Ratio | 0.18 | 0.04 |
| Gain/Pain (1M) | 1.09 | 0.18 |
| Payoff Ratio | 0.9 | 1.09 |
| Profit Factor | 1.18 | 1.04 |
| Common Sense Ratio | 1.19 | 1.09 |
| CPC Index | 0.58 | 0.56 |
| Tail Ratio | 1.01 | 1.05 |
| Outlier Win Ratio | 3.46 | 5.46 |
| Outlier Loss Ratio | 3.87 | 3.97 |
| 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.) | 15.32% | 1.05% |
| All-time (ann.) | 15.32% | 1.05% |
| 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 | -1.7% | -7.82% |
| Avg. Drawdown Days | 17 | 414 |
| Recovery Factor | 3.66 | 0.3 |
| Ulcer Index | 0.08 | 0.2 |
| Serenity Index | 0.65 | 0.01 |
| Avg. Up Month | 4.41% | 1.39% |
| Avg. Down Month | -4.7% | -1.4% |
| Win Days | 54.43% | 49.41% |
| Win Month | 67.14% | 50.0% |
| Win Quarter | 75.0% | 58.33% |
| Win Year | 85.71% | 71.43% |
| Beta | - | 0.03 |
| Alpha | - | 0.01 |
| Correlation | - | 6.14% |
| Treynor Ratio | - | 178.69% |
| 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 | 14.30 | 1.10 | 0.08 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-02-17 | 2026-09-22 | -28.28 | 2044 |
| 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 |