| Metric | SPY | SPEDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 207.58% | 87.25% |
| CAGR﹪ | 16.68% | 9.0% |
| Sharpe | 0.74 | 0.5 |
| Prob. Sharpe Ratio | 97.6% | 91.02% |
| Smart Sharpe | 0.64 | 0.5 |
| Sortino | 1.04 | 0.69 |
| Smart Sortino | 0.9 | 0.68 |
| Sortino/√2 | 0.74 | 0.49 |
| Smart Sortino/√2 | 0.64 | 0.48 |
| Omega | 1.19 | 1.13 |
| Max Drawdown | -33.72% | -29.06% |
| Max DD Date | 2020-03-23 | 2023-10-26 |
| Max DD Period Start | 2020-02-20 | 2021-11-02 |
| Max DD Period End | 2020-08-07 | 2024-12-02 |
| Longest DD Days | 708 | 1127 |
| Volatility (ann.) | 19.56% | 13.17% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.31 |
| Skew | -0.29 | -0.51 |
| Kurtosis | 13.84 | 1.96 |
| Ulcer Performance Index | 26.03 | 6.54 |
| Risk-Adjusted Return | 16.68% | 9.27% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.92% | 0.69% |
| Avg. Loss | -1.0% | -0.76% |
| Win/Loss Ratio | 0.92 | 0.9 |
| Profit Ratio | 0.77 | 0.68 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.28% | 0.72% |
| Expected Yearly | 15.08% | 8.16% |
| Kelly Criterion | 6.9% | 4.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.33% |
| Expected Shortfall (cVaR) | -3.2% | -1.97% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.19 | 0.13 |
| Gain/Pain (1M) | 1.17 | 0.78 |
| Payoff Ratio | 0.92 | 0.9 |
| Profit Factor | 1.19 | 1.13 |
| Common Sense Ratio | 1.14 | 1.07 |
| CPC Index | 0.61 | 0.56 |
| Tail Ratio | 0.96 | 0.95 |
| Outlier Win Ratio | 3.69 | 3.26 |
| Outlier Loss Ratio | 4.1 | 3.6 |
| 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.) | 16.68% | 9.0% |
| All-time (ann.) | 16.68% | 9.0% |
| Best Day | 10.5% | 3.13% |
| Worst Day | -10.94% | -4.81% |
| Best Month | 12.7% | 8.29% |
| Worst Month | -12.49% | -9.15% |
| Best Year | 28.73% | 47.26% |
| Worst Year | -18.18% | -13.9% |
| Avg. Drawdown | -1.78% | -3.33% |
| Avg. Drawdown Days | 16 | 43 |
| Recovery Factor | 3.75 | 2.38 |
| Ulcer Index | 0.08 | 0.13 |
| Serenity Index | 1.03 | 0.17 |
| Avg. Up Month | 4.71% | 3.47% |
| Avg. Down Month | -4.87% | -2.93% |
| Win Days | 55.26% | 54.72% |
| Win Month | 67.05% | 56.82% |
| Win Quarter | 76.67% | 63.33% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.46 |
| Alpha | - | 0.02 |
| Correlation | - | 67.88% |
| Treynor Ratio | - | 190.83% |
| Year | SPY | SPEDX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -1.40 | -0.09 | - |
| 2020 | 18.33 | 47.26 | 2.58 | + |
| 2021 | 28.73 | 3.90 | 0.14 | - |
| 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 |
| 2020-02-20 | 2020-05-04 | -15.08 | 75 |
| 2025-01-24 | 2025-07-29 | -13.23 | 187 |
| 2021-04-28 | 2021-08-20 | -10.07 | 115 |
| 2021-02-16 | 2021-04-26 | -9.89 | 70 |
| 2026-01-07 | 2026-05-01 | -9.18 | 115 |
| 2026-07-01 | 2026-09-22 | -8.96 | 84 |
| 2019-08-22 | 2020-01-27 | -8.89 | 159 |
| 2020-09-03 | 2020-09-25 | -5.45 | 23 |
| 2021-01-25 | 2021-02-03 | -5.35 | 10 |