| Metric | SPY | SPEDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 86.58% | 11.53% |
| CAGR﹪ | 13.36% | 2.22% |
| Sharpe | 0.59 | -0.07 |
| Prob. Sharpe Ratio | 90.85% | 43.72% |
| Smart Sharpe | 0.58 | -0.07 |
| Sortino | 0.86 | -0.1 |
| Smart Sortino | 0.83 | -0.09 |
| Sortino/√2 | 0.61 | -0.07 |
| Smart Sortino/√2 | 0.59 | -0.07 |
| Omega | 1.16 | 1.04 |
| Max Drawdown | -24.5% | -29.06% |
| Max DD Date | 2022-10-12 | 2023-10-26 |
| Max DD Period Start | 2022-01-04 | 2021-11-02 |
| Max DD Period End | 2023-12-12 | 2024-12-02 |
| Longest DD Days | 708 | 1127 |
| Volatility (ann.) | 17.2% | 12.16% |
| R^2 | 0.48 | 0.48 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.55 | 0.08 |
| Skew | 0.32 | -0.37 |
| Kurtosis | 8.95 | 1.33 |
| Ulcer Performance Index | 10.24 | 0.73 |
| Risk-Adjusted Return | 13.36% | 2.29% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.89% | 0.65% |
| Avg. Loss | -0.9% | -0.71% |
| Win/Loss Ratio | 0.98 | 0.9 |
| Profit Ratio | 0.83 | 0.73 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.18% |
| Expected Yearly | 10.95% | 1.83% |
| Kelly Criterion | 7.1% | 0.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.25% |
| Expected Shortfall (cVaR) | -2.58% | -1.78% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.04 |
| Gain/Pain (1M) | 0.87 | 0.19 |
| Payoff Ratio | 0.98 | 0.9 |
| Profit Factor | 1.16 | 1.04 |
| Common Sense Ratio | 1.17 | 0.98 |
| CPC Index | 0.61 | 0.5 |
| Tail Ratio | 1.01 | 0.94 |
| Outlier Win Ratio | 3.41 | 3.26 |
| Outlier Loss Ratio | 3.77 | 3.48 |
| MTD | 1.08% | 1.87% |
| 3M | 3.82% | -3.38% |
| 6M | 19.85% | 13.01% |
| YTD | 14.3% | 5.82% |
| 1Y | 17.78% | 4.18% |
| 3Y (ann.) | 24.86% | 16.02% |
| 5Y (ann.) | 13.06% | 2.27% |
| 10Y (ann.) | 13.36% | 2.22% |
| All-time (ann.) | 13.36% | 2.22% |
| Best Day | 10.5% | 3.13% |
| Worst Day | -5.85% | -3.74% |
| Best Month | 10.51% | 8.06% |
| Worst Month | -9.24% | -9.15% |
| Best Year | 26.18% | 23.03% |
| Worst Year | -18.18% | -13.9% |
| Avg. Drawdown | -1.89% | -5.08% |
| Avg. Drawdown Days | 20 | 99 |
| Recovery Factor | 2.85 | 0.5 |
| Ulcer Index | 0.08 | 0.16 |
| Serenity Index | 0.47 | 0.02 |
| Avg. Up Month | 4.55% | 3.13% |
| Avg. Down Month | -4.19% | -3.17% |
| Win Days | 54.04% | 52.77% |
| Win Month | 63.93% | 50.82% |
| Win Quarter | 66.67% | 47.62% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.49 |
| Alpha | - | -0.04 |
| Correlation | - | 69.4% |
| Treynor Ratio | - | 23.49% |
| Year | SPY | SPEDX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -10.14 | -1.34 | - |
| 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 | 14.30 | 5.82 | 0.41 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-02 | 2024-12-02 | -29.06 | 1127 |
| 2025-01-24 | 2025-07-29 | -13.23 | 187 |
| 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 |
| 2021-09-24 | 2021-10-28 | -4.00 | 35 |
| 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 |