| Metric | SPY | SRDAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 86.58% | 48.8% |
| CAGR﹪ | 13.36% | 8.32% |
| Sharpe | 0.59 | 0.65 |
| Prob. Sharpe Ratio | 90.85% | 91.71% |
| Smart Sharpe | 0.58 | 0.49 |
| Sortino | 0.86 | 0.89 |
| Smart Sortino | 0.83 | 0.67 |
| Sortino/√2 | 0.61 | 0.63 |
| Smart Sortino/√2 | 0.59 | 0.47 |
| Omega | 1.16 | 1.4 |
| 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.) | 17.2% | 6.77% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.55 | 0.7 |
| Skew | 0.32 | -0.42 |
| Kurtosis | 8.95 | 218.44 |
| Ulcer Performance Index | 10.24 | 11.51 |
| Risk-Adjusted Return | 13.36% | 10.15% |
| Risk-Return Ratio | 0.05 | 0.08 |
| Avg. Return | 0.04% | 0.04% |
| Avg. Win | 0.63% | 0.2% |
| Avg. Loss | -1.06% | -0.34% |
| Win/Loss Ratio | 0.6 | 0.6 |
| Profit Ratio | 0.83 | 0.27 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.03% | 0.65% |
| Expected Yearly | 10.95% | 6.85% |
| Kelly Criterion | -23.21% | -0.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.67% |
| Expected Shortfall (cVaR) | -2.58% | -1.55% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.16 | 0.4 |
| Gain/Pain (1M) | 0.87 | 1.93 |
| Payoff Ratio | 0.6 | 0.6 |
| Profit Factor | 1.16 | 1.4 |
| Common Sense Ratio | 1.17 | 1.42 |
| CPC Index | 0.37 | 0.53 |
| Tail Ratio | 1.01 | 1.01 |
| Outlier Win Ratio | 3.41 | 3.49 |
| Outlier Loss Ratio | 3.77 | 2.9 |
| MTD | 1.08% | 1.69% |
| 3M | 3.82% | 4.85% |
| 6M | 19.85% | 7.25% |
| YTD | 14.3% | 9.42% |
| 1Y | 17.78% | 10.04% |
| 3Y (ann.) | 24.86% | 6.45% |
| 5Y (ann.) | 13.06% | 8.14% |
| 10Y (ann.) | 13.36% | 8.32% |
| All-time (ann.) | 13.36% | 8.32% |
| 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% | 0.38% |
| Avg. Drawdown | -1.89% | -0.72% |
| Avg. Drawdown Days | 20 | 23 |
| Recovery Factor | 2.85 | 3.44 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.47 | 0.44 |
| Avg. Up Month | 3.84% | 1.25% |
| Avg. Down Month | -4.32% | -1.91% |
| Win Days | 54.04% | 62.2% |
| Win Month | 63.93% | 73.77% |
| Win Quarter | 66.67% | 76.19% |
| Win Year | 83.33% | 100.0% |
| Beta | - | -0.01 |
| Alpha | - | 0.08 |
| Correlation | - | -2.38% |
| Treynor Ratio | - | -5202.69% |
| Year | SPY | SRDAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 2.45 | 0.32 | - |
| 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 | 14.30 | 9.42 | 0.66 | - |
| 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 | 2024-10-30 | -2.49 | 30 |
| 2025-02-21 | 2025-03-21 | -2.06 | 29 |
| 2024-02-07 | 2024-07-26 | -1.67 | 171 |
| 2023-11-01 | 2024-01-11 | -1.46 | 72 |
| 2021-11-10 | 2021-12-13 | -1.33 | 34 |
| 2024-11-11 | 2024-12-02 | -1.06 | 22 |
| 2026-06-05 | 2026-07-21 | -0.96 | 47 |