| Metric | SPY | SRDAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 17.87% | 10.25% |
| CAGR﹪ | 18.02% | 10.34% |
| Sharpe | 1.04 | 1.8 |
| Prob. Sharpe Ratio | 84.73% | 96.09% |
| Smart Sharpe | 1.01 | 1.72 |
| Sortino | 1.51 | 2.67 |
| Smart Sortino | 1.47 | 2.54 |
| Sortino/√2 | 1.07 | 1.89 |
| Smart Sortino/√2 | 1.04 | 1.8 |
| Omega | 1.25 | 1.63 |
| Max Drawdown | -8.88% | -2.67% |
| Max DD Date | 2026-03-30 | 2026-01-30 |
| Max DD Period Start | 2026-01-28 | 2025-12-05 |
| Max DD Period End | 2026-04-13 | 2026-03-04 |
| Longest DD Days | 76 | 90 |
| Volatility (ann.) | 12.99% | 3.28% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.03 | 3.87 |
| Skew | -0.15 | -0.31 |
| Kurtosis | 1.05 | 0.13 |
| Ulcer Performance Index | 8.3 | 14.56 |
| Risk-Adjusted Return | 18.02% | 12.76% |
| Risk-Return Ratio | 0.08 | 0.19 |
| Avg. Return | 0.08% | 0.05% |
| Avg. Win | 0.57% | 0.21% |
| Avg. Loss | -0.76% | -0.21% |
| Win/Loss Ratio | 0.75 | 1.01 |
| Profit Ratio | 0.94 | 0.32 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.27% | 0.75% |
| Expected Yearly | 8.57% | 5.0% |
| Kelly Criterion | -8.04% | 23.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.3% |
| Expected Shortfall (cVaR) | -1.72% | -0.39% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.63 |
| Gain/Pain (1M) | 2.6 | 3.19 |
| Payoff Ratio | 0.75 | 1.01 |
| Profit Factor | 1.25 | 1.63 |
| Common Sense Ratio | 1.24 | 2.01 |
| CPC Index | 0.5 | 1.01 |
| Tail Ratio | 0.99 | 1.23 |
| Outlier Win Ratio | 2.88 | 3.2 |
| Outlier Loss Ratio | 3.19 | 2.0 |
| MTD | 1.08% | 1.69% |
| 3M | 3.82% | 4.85% |
| 6M | 19.85% | 7.25% |
| YTD | 14.3% | 9.42% |
| 1Y | 17.87% | 10.25% |
| 3Y (ann.) | 18.02% | 10.34% |
| 5Y (ann.) | 18.02% | 10.34% |
| 10Y (ann.) | 18.02% | 10.34% |
| All-time (ann.) | 18.02% | 10.34% |
| Best Day | 2.91% | 0.52% |
| Worst Day | -2.7% | -0.72% |
| Best Month | 10.51% | 2.63% |
| Worst Month | -4.94% | -2.13% |
| Best Year | 14.3% | 9.42% |
| Worst Year | 3.13% | 0.76% |
| Avg. Drawdown | -1.71% | -0.42% |
| Avg. Drawdown Days | 13 | 10 |
| Recovery Factor | 1.94 | 3.68 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 1.35 |
| Avg. Up Month | 2.89% | 1.14% |
| Avg. Down Month | -1.03% | -0.29% |
| Win Days | 53.6% | 61.69% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.1 |
| Correlation | - | -7.6% |
| Treynor Ratio | - | -534.19% |
| Year | SPY | SRDAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 0.76 | 0.24 | - |
| 2026 | 14.30 | 9.42 | 0.66 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-05 | 2026-03-04 | -2.67 | 90 |
| 2026-06-05 | 2026-07-21 | -0.96 | 47 |
| 2025-10-08 | 2025-11-06 | -0.94 | 30 |
| 2026-04-08 | 2026-04-24 | -0.68 | 17 |
| 2026-05-06 | 2026-05-13 | -0.49 | 8 |
| 2025-11-10 | 2025-11-14 | -0.47 | 5 |
| 2025-11-28 | 2025-12-03 | -0.46 | 6 |
| 2026-07-28 | 2026-07-30 | -0.38 | 3 |
| 2026-03-31 | 2026-04-01 | -0.29 | 2 |
| 2026-09-10 | 2026-09-10 | -0.28 | 1 |