| Metric | SPY | SPEDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 74.99% | 4.86% |
| CAGR﹪ | 11.91% | 0.96% |
| Sharpe | 0.52 | -0.18 |
| Prob. Sharpe Ratio | 87.6% | 34.72% |
| Smart Sharpe | 0.5 | -0.17 |
| Sortino | 0.74 | -0.24 |
| Smart Sortino | 0.72 | -0.23 |
| Sortino/√2 | 0.53 | -0.17 |
| Smart Sortino/√2 | 0.51 | -0.16 |
| Omega | 1.14 | 1.02 |
| Max Drawdown | -24.5% | -27.51% |
| Max DD Date | 2022-10-12 | 2023-10-26 |
| Max DD Period Start | 2022-01-04 | 2021-11-09 |
| Max DD Period End | 2023-12-12 | 2024-11-19 |
| Longest DD Days | 708 | 1107 |
| Volatility (ann.) | 17.19% | 12.25% |
| R^2 | 0.48 | 0.48 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.49 | 0.03 |
| Skew | 0.33 | -0.38 |
| Kurtosis | 8.98 | 1.33 |
| Ulcer Performance Index | 8.86 | 0.33 |
| Risk-Adjusted Return | 11.91% | 0.99% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.89% | 0.65% |
| Avg. Loss | -0.9% | -0.72% |
| Win/Loss Ratio | 0.98 | 0.9 |
| Profit Ratio | 0.86 | 0.74 |
| Expected Daily | 0.04% | 0.0% |
| Expected Monthly | 0.92% | 0.08% |
| Expected Yearly | 9.77% | 0.79% |
| Kelly Criterion | 6.21% | -0.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.26% |
| Expected Shortfall (cVaR) | -2.58% | -1.81% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.02 |
| Gain/Pain (1M) | 0.79 | 0.11 |
| Payoff Ratio | 0.98 | 0.9 |
| Profit Factor | 1.14 | 1.02 |
| Common Sense Ratio | 1.15 | 0.93 |
| CPC Index | 0.6 | 0.48 |
| Tail Ratio | 1.0 | 0.91 |
| Outlier Win Ratio | 3.4 | 3.25 |
| Outlier Loss Ratio | 3.8 | 3.45 |
| MTD | 1.47% | -1.18% |
| 3M | 1.46% | -5.89% |
| 6M | 6.94% | -3.76% |
| YTD | 13.33% | -1.94% |
| 1Y | 13.43% | -3.25% |
| 3Y (ann.) | 20.78% | 10.47% |
| 5Y (ann.) | 12.86% | 3.22% |
| 10Y (ann.) | 11.91% | 0.96% |
| All-time (ann.) | 11.91% | 0.96% |
| Best Day | 10.5% | 3.13% |
| Worst Day | -5.85% | -3.74% |
| Best Month | 10.51% | 8.06% |
| Worst Month | -9.24% | -7.74% |
| Best Year | 26.18% | 23.03% |
| Worst Year | -18.18% | -13.9% |
| Avg. Drawdown | -1.94% | -4.63% |
| Avg. Drawdown Days | 21 | 93 |
| Recovery Factor | 2.58 | 0.31 |
| Ulcer Index | 0.08 | 0.15 |
| Serenity Index | 0.43 | 0.02 |
| Avg. Up Month | 4.59% | 3.18% |
| Avg. Down Month | -4.18% | -3.25% |
| Win Days | 53.48% | 52.4% |
| Win Month | 62.3% | 49.18% |
| Win Quarter | 71.43% | 47.62% |
| Win Year | 83.33% | 50.0% |
| Beta | - | 0.49 |
| Alpha | - | -0.05 |
| Correlation | - | 69.33% |
| Treynor Ratio | - | 9.83% |
| Year | SPY | SPEDX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -8.83 | -5.11 | - |
| 2022 | -18.18 | -13.90 | 0.76 | + |
| 2023 | 26.18 | 4.24 | 0.16 | - |
| 2024 | 24.89 | 23.03 | 0.93 | - |
| 2025 | 17.72 | 6.22 | 0.35 | - |
| 2026 | 13.33 | -1.94 | -0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2024-11-19 | -27.51 | 1107 |
| 2025-01-24 | 2025-07-29 | -13.23 | 187 |
| 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 |
| 2025-10-30 | 2026-01-05 | -4.07 | 68 |
| 2024-12-09 | 2025-01-17 | -3.60 | 40 |
| 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 |