| Metric | SPY | SPEDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 18.6% | 12.46% |
| CAGR﹪ | 40.67% | 26.48% |
| Sharpe | 2.32 | 1.5 |
| Prob. Sharpe Ratio | 95.04% | 85.63% |
| Smart Sharpe | 2.3 | 1.5 |
| Sortino | 3.78 | 2.34 |
| Smart Sortino | 3.75 | 2.34 |
| Sortino/√2 | 2.67 | 1.66 |
| Smart Sortino/√2 | 2.65 | 1.65 |
| Omega | 1.54 | 1.34 |
| Max Drawdown | -4.49% | -8.96% |
| Max DD Date | 2026-06-10 | 2026-07-29 |
| Max DD Period Start | 2026-06-03 | 2026-07-01 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 84 |
| Volatility (ann.) | 13.55% | 13.88% |
| R^2 | 0.51 | 0.51 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 9.05 | 2.96 |
| Skew | 0.1 | 0.13 |
| Kurtosis | 1.12 | 1.34 |
| Ulcer Performance Index | 11.86 | 3.34 |
| Risk-Adjusted Return | 40.67% | 26.75% |
| Risk-Return Ratio | 0.16 | 0.11 |
| Avg. Return | 0.15% | 0.1% |
| Avg. Win | 0.85% | 0.85% |
| Avg. Loss | -0.55% | -0.65% |
| Win/Loss Ratio | 1.54 | 1.3 |
| Profit Ratio | 1.12 | 1.11 |
| Expected Daily | 0.14% | 0.09% |
| Expected Monthly | 2.47% | 1.69% |
| Expected Yearly | 18.6% | 12.46% |
| Kelly Criterion | 24.08% | 14.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.34% |
| Expected Shortfall (cVaR) | -1.77% | -1.8% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.54 | 0.34 |
| Gain/Pain (1M) | 10.92 | 1.92 |
| Payoff Ratio | 1.54 | 1.3 |
| Profit Factor | 1.54 | 1.34 |
| Common Sense Ratio | 2.01 | 1.42 |
| CPC Index | 1.28 | 0.9 |
| Tail Ratio | 1.3 | 1.06 |
| Outlier Win Ratio | 3.21 | 3.11 |
| Outlier Loss Ratio | 3.16 | 3.07 |
| MTD | 1.08% | 1.87% |
| 3M | 3.82% | -3.38% |
| 6M | 18.6% | 12.46% |
| YTD | 18.6% | 12.46% |
| 1Y | 18.6% | 12.46% |
| 3Y (ann.) | 40.67% | 26.48% |
| 5Y (ann.) | 40.67% | 26.48% |
| 10Y (ann.) | 40.67% | 26.48% |
| All-time (ann.) | 40.67% | 26.48% |
| Best Day | 2.91% | 3.13% |
| Worst Day | -2.58% | -2.8% |
| Best Month | 10.51% | 7.61% |
| Worst Month | -1.03% | -5.8% |
| Best Year | 18.6% | 12.46% |
| Worst Year | 18.6% | 12.46% |
| Avg. Drawdown | -1.13% | -1.84% |
| Avg. Drawdown Days | 9 | 11 |
| Recovery Factor | 3.9 | 1.36 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 2.75 | 0.37 |
| Avg. Up Month | 4.88% | 3.86% |
| Avg. Down Month | -0.77% | -0.53% |
| Win Days | 53.97% | 51.61% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.73 |
| Alpha | - | -0.01 |
| Correlation | - | 71.68% |
| Treynor Ratio | - | 16.97% |
| Year | SPY | SPEDX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 12.46 | 0.67 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-01 | 2026-09-22 | -8.96 | 84 |
| 2026-06-05 | 2026-06-12 | -4.47 | 8 |
| 2026-05-15 | 2026-06-01 | -2.87 | 18 |
| 2026-06-22 | 2026-06-29 | -2.76 | 8 |
| 2026-03-24 | 2026-03-31 | -1.39 | 8 |
| 2026-05-07 | 2026-05-08 | -0.86 | 2 |
| 2026-04-27 | 2026-04-30 | -0.67 | 4 |
| 2026-04-23 | 2026-04-23 | -0.54 | 1 |
| 2026-04-20 | 2026-04-21 | -0.50 | 2 |
| 2026-06-16 | 2026-06-16 | -0.46 | 1 |