| Metric | SPY | SRDAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 83.0% |
| Cumulative Return | 14.39% | 10.86% |
| CAGR﹪ | 14.51% | 10.96% |
| Sharpe | 0.83 | 2.04 |
| Prob. Sharpe Ratio | 79.61% | 97.68% |
| Smart Sharpe | 0.82 | 1.98 |
| Sortino | 1.22 | 3.07 |
| Smart Sortino | 1.2 | 2.98 |
| Sortino/√2 | 0.86 | 2.17 |
| Smart Sortino/√2 | 0.85 | 2.1 |
| Omega | 1.2 | 1.65 |
| 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.) | 12.86% | 3.31% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.63 | 4.11 |
| Skew | -0.02 | -0.3 |
| Kurtosis | 0.78 | 0.04 |
| Ulcer Performance Index | 6.68 | 15.9 |
| Risk-Adjusted Return | 14.51% | 13.2% |
| Risk-Return Ratio | 0.07 | 0.2 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.58% | 0.21% |
| Avg. Loss | -0.7% | -0.19% |
| Win/Loss Ratio | 0.83 | 1.09 |
| Profit Ratio | 1.02 | 0.38 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.8% |
| Expected Yearly | 6.95% | 5.29% |
| Kelly Criterion | -5.77% | 25.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.3% |
| Expected Shortfall (cVaR) | -1.66% | -0.39% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.65 |
| Gain/Pain (1M) | 1.83 | 3.29 |
| Payoff Ratio | 0.83 | 1.09 |
| Profit Factor | 1.2 | 1.65 |
| Common Sense Ratio | 1.19 | 2.04 |
| CPC Index | 0.52 | 1.1 |
| Tail Ratio | 0.99 | 1.23 |
| Outlier Win Ratio | 2.84 | 2.99 |
| Outlier Loss Ratio | 3.01 | 2.08 |
| MTD | 1.47% | -0.64% |
| 3M | 1.46% | 4.02% |
| 6M | 6.94% | 6.05% |
| YTD | 13.33% | 10.03% |
| 1Y | 14.39% | 10.86% |
| 3Y (ann.) | 14.51% | 10.96% |
| 5Y (ann.) | 14.51% | 10.96% |
| 10Y (ann.) | 14.51% | 10.96% |
| All-time (ann.) | 14.51% | 10.96% |
| Best Day | 2.91% | 0.52% |
| Worst Day | -2.58% | -0.72% |
| Best Month | 10.51% | 2.63% |
| Worst Month | -4.94% | -2.13% |
| Best Year | 13.33% | 10.03% |
| Worst Year | 0.94% | 0.76% |
| Avg. Drawdown | -1.74% | -0.38% |
| Avg. Drawdown Days | 14 | 9 |
| Recovery Factor | 1.61 | 3.89 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 1.49 |
| Avg. Up Month | 3.87% | 1.14% |
| Avg. Down Month | -1.03% | -0.29% |
| Win Days | 52.0% | 60.87% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.01 |
| Alpha | - | 0.11 |
| Correlation | - | -3.73% |
| Treynor Ratio | - | -1132.61% |
| Year | SPY | SRDAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.76 | 0.81 | - |
| 2026 | 13.33 | 10.03 | 0.75 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-05 | 2026-03-04 | -2.67 | 90 |
| 2026-06-05 | 2026-07-21 | -0.96 | 47 |
| 2026-10-16 | 2026-11-04 | -0.91 | 20 |
| 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 |