| Metric | SPY | SPEDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 204.97% | 73.52% |
| CAGR﹪ | 16.25% | 7.73% |
| Sharpe | 0.72 | 0.41 |
| Prob. Sharpe Ratio | 97.45% | 86.71% |
| Smart Sharpe | 0.63 | 0.41 |
| Sortino | 1.02 | 0.56 |
| Smart Sortino | 0.88 | 0.56 |
| Sortino/√2 | 0.72 | 0.4 |
| Smart Sortino/√2 | 0.62 | 0.4 |
| Omega | 1.18 | 1.11 |
| 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.) | 19.45% | 13.23% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.27 |
| Skew | -0.29 | -0.53 |
| Kurtosis | 13.94 | 1.94 |
| Ulcer Performance Index | 25.91 | 5.55 |
| Risk-Adjusted Return | 16.25% | 7.97% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.92% | 0.69% |
| Avg. Loss | -0.99% | -0.77% |
| Win/Loss Ratio | 0.93 | 0.9 |
| Profit Ratio | 0.78 | 0.68 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.61% |
| Expected Yearly | 14.96% | 7.13% |
| Kelly Criterion | 6.71% | 3.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.34% |
| Expected Shortfall (cVaR) | -3.2% | -2.0% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.11 |
| Gain/Pain (1M) | 1.15 | 0.64 |
| Payoff Ratio | 0.93 | 0.9 |
| Profit Factor | 1.18 | 1.11 |
| Common Sense Ratio | 1.13 | 1.03 |
| CPC Index | 0.6 | 0.54 |
| Tail Ratio | 0.96 | 0.92 |
| Outlier Win Ratio | 3.69 | 3.26 |
| Outlier Loss Ratio | 4.12 | 3.6 |
| 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.) | 16.25% | 7.73% |
| All-time (ann.) | 16.25% | 7.73% |
| 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 | -1.79% | -3.36% |
| Avg. Drawdown Days | 16 | 44 |
| Recovery Factor | 3.72 | 2.12 |
| Ulcer Index | 0.08 | 0.13 |
| Serenity Index | 1.03 | 0.15 |
| Avg. Up Month | 4.8% | 3.51% |
| Avg. Down Month | -4.68% | -3.08% |
| Win Days | 55.15% | 54.53% |
| Win Month | 65.56% | 55.56% |
| Win Quarter | 77.42% | 61.29% |
| Win Year | 87.5% | 62.5% |
| Beta | - | 0.46 |
| Alpha | - | 0.01 |
| Correlation | - | 67.64% |
| Treynor Ratio | - | 159.81% |
| 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 | 13.33 | -1.94 | -0.15 | - |
| 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 |
| 2026-07-01 | 2026-11-04 | -10.93 | 127 |
| 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 |
| 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 |