| Metric | SPY | SRDAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 74.99% | 46.29% |
| CAGR﹪ | 11.91% | 7.95% |
| Sharpe | 0.52 | 0.6 |
| Prob. Sharpe Ratio | 87.6% | 89.81% |
| Smart Sharpe | 0.5 | 0.45 |
| Sortino | 0.74 | 0.81 |
| Smart Sortino | 0.72 | 0.61 |
| Sortino/√2 | 0.53 | 0.57 |
| Smart Sortino/√2 | 0.51 | 0.43 |
| Omega | 1.14 | 1.38 |
| Max Drawdown | -24.5% | -11.9% |
| Max DD Date | 2022-10-12 | 2022-10-04 |
| Max DD Period Start | 2022-01-04 | 2021-12-17 |
| Max DD Period End | 2023-12-12 | 2023-04-06 |
| Longest DD Days | 708 | 476 |
| Volatility (ann.) | 17.19% | 6.75% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.67 |
| Skew | 0.33 | -0.41 |
| Kurtosis | 8.98 | 220.39 |
| Ulcer Performance Index | 8.86 | 10.92 |
| Risk-Adjusted Return | 11.91% | 9.7% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.04% | 0.04% |
| Avg. Win | 0.63% | 0.2% |
| Avg. Loss | -1.04% | -0.33% |
| Win/Loss Ratio | 0.61 | 0.61 |
| Profit Ratio | 0.86 | 0.28 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.92% | 0.63% |
| Expected Yearly | 9.77% | 6.55% |
| Kelly Criterion | -22.94% | -0.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.67% |
| Expected Shortfall (cVaR) | -2.58% | -1.6% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.14 | 0.38 |
| Gain/Pain (1M) | 0.79 | 1.78 |
| Payoff Ratio | 0.61 | 0.61 |
| Profit Factor | 1.14 | 1.38 |
| Common Sense Ratio | 1.15 | 1.4 |
| CPC Index | 0.37 | 0.52 |
| Tail Ratio | 1.0 | 1.02 |
| Outlier Win Ratio | 3.4 | 3.51 |
| Outlier Loss Ratio | 3.8 | 2.94 |
| MTD | 1.47% | -0.64% |
| 3M | 1.46% | 4.02% |
| 6M | 6.94% | 6.05% |
| YTD | 13.33% | 10.03% |
| 1Y | 13.43% | 11.18% |
| 3Y (ann.) | 20.78% | 6.67% |
| 5Y (ann.) | 12.86% | 8.04% |
| 10Y (ann.) | 11.91% | 7.95% |
| All-time (ann.) | 11.91% | 7.95% |
| Best Day | 10.5% | 8.28% |
| Worst Day | -5.85% | -8.08% |
| Best Month | 10.51% | 2.86% |
| Worst Month | -9.24% | -5.96% |
| Best Year | 26.18% | 19.53% |
| Worst Year | -18.18% | 0.16% |
| Avg. Drawdown | -1.94% | -0.73% |
| Avg. Drawdown Days | 21 | 23 |
| Recovery Factor | 2.58 | 3.29 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.43 | 0.42 |
| Avg. Up Month | 3.82% | 1.23% |
| Avg. Down Month | -4.6% | -1.93% |
| Win Days | 53.48% | 61.83% |
| Win Month | 62.3% | 72.13% |
| Win Quarter | 71.43% | 76.19% |
| Win Year | 83.33% | 100.0% |
| Beta | - | -0.01 |
| Alpha | - | 0.08 |
| Correlation | - | -2.41% |
| Treynor Ratio | - | -4879.05% |
| Year | SPY | SRDAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.16 | 0.09 | - |
| 2022 | -18.18 | 2.03 | -0.11 | + |
| 2023 | 26.18 | 19.53 | 0.75 | - |
| 2024 | 24.89 | 8.43 | 0.34 | - |
| 2025 | 17.72 | 0.38 | 0.02 | - |
| 2026 | 13.33 | 10.03 | 0.75 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-17 | 2023-04-06 | -11.90 | 476 |
| 2025-04-01 | 2025-11-19 | -6.15 | 233 |
| 2025-12-05 | 2026-03-04 | -2.67 | 90 |
| 2024-10-01 | 2024-10-29 | -2.49 | 29 |
| 2025-01-10 | 2025-03-25 | -2.06 | 75 |
| 2024-02-07 | 2024-07-26 | -1.67 | 171 |
| 2023-11-01 | 2024-01-11 | -1.46 | 72 |
| 2021-11-22 | 2021-12-13 | -1.33 | 22 |
| 2024-11-11 | 2024-12-02 | -1.06 | 22 |
| 2026-06-05 | 2026-07-21 | -0.96 | 47 |