| Metric | SPY | SPEDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 17.87% | 4.69% |
| CAGR﹪ | 18.02% | 4.73% |
| Sharpe | 1.04 | 0.11 |
| Prob. Sharpe Ratio | 84.73% | 54.53% |
| Smart Sharpe | 1.01 | 0.11 |
| Sortino | 1.51 | 0.17 |
| Smart Sortino | 1.47 | 0.16 |
| Sortino/√2 | 1.07 | 0.12 |
| Smart Sortino/√2 | 1.04 | 0.11 |
| Omega | 1.25 | 1.07 |
| Max Drawdown | -8.88% | -9.18% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-01-07 |
| Max DD Period End | 2026-04-13 | 2026-05-01 |
| Longest DD Days | 76 | 115 |
| Volatility (ann.) | 12.99% | 12.5% |
| R^2 | 0.52 | 0.52 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 2.03 | 0.51 |
| Skew | -0.15 | 0.12 |
| Kurtosis | 1.05 | 1.25 |
| Ulcer Performance Index | 8.3 | 1.13 |
| Risk-Adjusted Return | 18.02% | 4.82% |
| Risk-Return Ratio | 0.08 | 0.03 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.75% | 0.72% |
| Avg. Loss | -0.63% | -0.66% |
| Win/Loss Ratio | 1.2 | 1.1 |
| Profit Ratio | 0.94 | 1.04 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.27% | 0.35% |
| Expected Yearly | 8.57% | 2.32% |
| Kelly Criterion | 14.95% | 2.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.27% |
| Expected Shortfall (cVaR) | -1.72% | -1.68% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.07 |
| Gain/Pain (1M) | 2.6 | 0.39 |
| Payoff Ratio | 1.2 | 1.1 |
| Profit Factor | 1.25 | 1.07 |
| Common Sense Ratio | 1.24 | 1.08 |
| CPC Index | 0.8 | 0.58 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.88 | 3.08 |
| Outlier Loss Ratio | 3.19 | 2.99 |
| MTD | 1.08% | 1.87% |
| 3M | 3.82% | -3.38% |
| 6M | 19.85% | 13.01% |
| YTD | 14.3% | 5.82% |
| 1Y | 17.87% | 4.69% |
| 3Y (ann.) | 18.02% | 4.73% |
| 5Y (ann.) | 18.02% | 4.73% |
| 10Y (ann.) | 18.02% | 4.73% |
| All-time (ann.) | 18.02% | 4.73% |
| Best Day | 2.91% | 3.13% |
| Worst Day | -2.7% | -2.8% |
| Best Month | 10.51% | 7.61% |
| Worst Month | -4.94% | -5.8% |
| Best Year | 14.3% | 5.82% |
| Worst Year | 3.13% | -1.07% |
| Avg. Drawdown | -1.71% | -2.93% |
| Avg. Drawdown Days | 13 | 26 |
| Recovery Factor | 1.94 | 0.58 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.16 | 0.12 |
| Avg. Up Month | 3.73% | 2.66% |
| Avg. Down Month | -2.9% | -2.3% |
| Win Days | 53.6% | 48.97% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.7 |
| Alpha | - | -0.07 |
| Correlation | - | 72.36% |
| Treynor Ratio | - | 6.73% |
| Year | SPY | SPEDX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -1.07 | -0.34 | - |
| 2026 | 14.30 | 5.82 | 0.41 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-07 | 2026-05-01 | -9.18 | 115 |
| 2026-07-01 | 2026-09-22 | -8.96 | 84 |
| 2026-06-05 | 2026-06-12 | -4.47 | 8 |
| 2025-10-30 | 2026-01-05 | -4.07 | 68 |
| 2026-05-15 | 2026-06-01 | -2.87 | 18 |
| 2026-06-22 | 2026-06-29 | -2.76 | 8 |
| 2025-10-10 | 2025-10-28 | -2.61 | 19 |
| 2025-09-24 | 2025-09-26 | -0.89 | 3 |
| 2026-05-07 | 2026-05-08 | -0.86 | 2 |
| 2025-10-03 | 2025-10-08 | -0.58 | 6 |