| Metric | SPY | SPEDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 14.39% | -2.25% |
| CAGR﹪ | 14.51% | -2.26% |
| Sharpe | 0.83 | -0.38 |
| Prob. Sharpe Ratio | 79.61% | 35.22% |
| Smart Sharpe | 0.82 | -0.38 |
| Sortino | 1.22 | -0.52 |
| Smart Sortino | 1.2 | -0.52 |
| Sortino/√2 | 0.86 | -0.37 |
| Smart Sortino/√2 | 0.85 | -0.37 |
| Omega | 1.2 | 0.98 |
| Max Drawdown | -8.88% | -10.93% |
| Max DD Date | 2026-03-30 | 2026-11-02 |
| Max DD Period Start | 2026-01-28 | 2026-07-01 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 127 |
| Volatility (ann.) | 12.86% | 13.3% |
| R^2 | 0.5 | 0.5 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 1.63 | -0.21 |
| Skew | -0.02 | -0.11 |
| Kurtosis | 0.78 | 1.34 |
| Ulcer Performance Index | 6.68 | -0.48 |
| Risk-Adjusted Return | 14.51% | -2.31% |
| Risk-Return Ratio | 0.07 | -0.01 |
| Avg. Return | 0.06% | -0.01% |
| Avg. Win | 0.75% | 0.75% |
| Avg. Loss | -0.63% | -0.72% |
| Win/Loss Ratio | 1.2 | 1.04 |
| Profit Ratio | 1.02 | 0.98 |
| Expected Daily | 0.05% | -0.01% |
| Expected Monthly | 1.04% | -0.17% |
| Expected Yearly | 6.95% | -1.13% |
| Kelly Criterion | 11.86% | -1.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.38% |
| Expected Shortfall (cVaR) | -1.66% | -1.89% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | -0.02 |
| Gain/Pain (1M) | 1.83 | -0.07 |
| Payoff Ratio | 1.2 | 1.04 |
| Profit Factor | 1.2 | 0.98 |
| Common Sense Ratio | 1.19 | 0.88 |
| CPC Index | 0.75 | 0.49 |
| Tail Ratio | 0.99 | 0.9 |
| Outlier Win Ratio | 2.84 | 3.01 |
| Outlier Loss Ratio | 3.01 | 3.53 |
| MTD | 1.47% | -1.18% |
| 3M | 1.46% | -5.89% |
| 6M | 6.94% | -3.76% |
| YTD | 13.33% | -1.94% |
| 1Y | 14.39% | -2.25% |
| 3Y (ann.) | 14.51% | -2.26% |
| 5Y (ann.) | 14.51% | -2.26% |
| 10Y (ann.) | 14.51% | -2.26% |
| All-time (ann.) | 14.51% | -2.26% |
| Best Day | 2.91% | 3.13% |
| Worst Day | -2.58% | -2.85% |
| Best Month | 10.51% | 7.61% |
| Worst Month | -4.94% | -6.06% |
| Best Year | 13.33% | -0.31% |
| Worst Year | 0.94% | -1.94% |
| Avg. Drawdown | -1.74% | -3.23% |
| Avg. Drawdown Days | 14 | 28 |
| Recovery Factor | 1.61 | 0.13 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.94 | -0.03 |
| Avg. Up Month | 4.83% | 3.52% |
| Avg. Down Month | -2.24% | -3.56% |
| Win Days | 52.0% | 48.56% |
| Win Month | 61.54% | 46.15% |
| Win Quarter | 80.0% | 20.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.73 |
| Alpha | - | -0.12 |
| Correlation | - | 70.9% |
| Treynor Ratio | - | -3.06% |
| Year | SPY | SPEDX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -0.31 | -0.33 | - |
| 2026 | 13.33 | -1.94 | -0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-01 | 2026-11-04 | -10.93 | 127 |
| 2026-01-07 | 2026-05-01 | -9.18 | 115 |
| 2026-06-05 | 2026-06-12 | -4.47 | 8 |
| 2025-12-11 | 2026-01-02 | -3.64 | 23 |
| 2026-05-15 | 2026-06-01 | -2.87 | 18 |
| 2026-06-22 | 2026-06-29 | -2.76 | 8 |
| 2025-11-11 | 2025-12-04 | -2.59 | 24 |
| 2026-05-07 | 2026-05-08 | -0.86 | 2 |
| 2025-11-06 | 2025-11-07 | -0.63 | 2 |
| 2026-06-16 | 2026-06-16 | -0.46 | 1 |