| Metric | SPY | SRDAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 18.6% | 7.36% |
| CAGR﹪ | 40.67% | 15.25% |
| Sharpe | 2.32 | 3.58 |
| Prob. Sharpe Ratio | 95.04% | 99.36% |
| Smart Sharpe | 2.3 | 3.32 |
| Sortino | 3.78 | 5.96 |
| Smart Sortino | 3.75 | 5.53 |
| Sortino/√2 | 2.67 | 4.21 |
| Smart Sortino/√2 | 2.65 | 3.91 |
| Omega | 1.54 | 2.15 |
| Max Drawdown | -4.49% | -0.96% |
| Max DD Date | 2026-06-10 | 2026-06-25 |
| Max DD Period Start | 2026-06-03 | 2026-06-05 |
| Max DD Period End | 2026-07-31 | 2026-07-21 |
| Longest DD Days | 59 | 47 |
| Volatility (ann.) | 13.55% | 2.98% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 9.05 | 15.83 |
| Skew | 0.1 | -0.17 |
| Kurtosis | 1.12 | -0.36 |
| Ulcer Performance Index | 11.86 | 19.54 |
| Risk-Adjusted Return | 40.67% | 18.83% |
| Risk-Return Ratio | 0.16 | 0.3 |
| Avg. Return | 0.15% | 0.07% |
| Avg. Win | 0.6% | 0.19% |
| Avg. Loss | -0.82% | -0.21% |
| Win/Loss Ratio | 0.73 | 0.92 |
| Profit Ratio | 1.12 | 0.32 |
| Expected Daily | 0.14% | 0.06% |
| Expected Monthly | 2.47% | 1.02% |
| Expected Yearly | 18.6% | 7.36% |
| Kelly Criterion | -8.9% | 27.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.25% |
| Expected Shortfall (cVaR) | -1.77% | -0.33% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.54 | 1.15 |
| Gain/Pain (1M) | 10.92 | 24.7 |
| Payoff Ratio | 0.73 | 0.92 |
| Profit Factor | 1.54 | 2.15 |
| Common Sense Ratio | 2.01 | 2.81 |
| CPC Index | 0.61 | 1.29 |
| Tail Ratio | 1.3 | 1.31 |
| Outlier Win Ratio | 3.21 | 2.65 |
| Outlier Loss Ratio | 3.16 | 2.19 |
| MTD | 1.08% | 1.69% |
| 3M | 3.82% | 4.85% |
| 6M | 18.6% | 7.36% |
| YTD | 18.6% | 7.36% |
| 1Y | 18.6% | 7.36% |
| 3Y (ann.) | 40.67% | 15.25% |
| 5Y (ann.) | 40.67% | 15.25% |
| 10Y (ann.) | 40.67% | 15.25% |
| All-time (ann.) | 40.67% | 15.25% |
| Best Day | 2.91% | 0.49% |
| Worst Day | -2.58% | -0.39% |
| Best Month | 10.51% | 2.02% |
| Worst Month | -1.03% | -0.29% |
| Best Year | 18.6% | 7.36% |
| Worst Year | 18.6% | 7.36% |
| Avg. Drawdown | -1.13% | -0.32% |
| Avg. Drawdown Days | 9 | 7 |
| Recovery Factor | 3.9 | 7.39 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.75 | 4.25 |
| Avg. Up Month | 3.91% | 1.31% |
| Avg. Down Month | -1.03% | -0.29% |
| Win Days | 53.97% | 65.35% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.15 |
| Correlation | - | -7.07% |
| Treynor Ratio | - | -473.55% |
| Year | SPY | SRDAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 7.36 | 0.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-05 | 2026-07-21 | -0.96 | 47 |
| 2026-04-08 | 2026-04-24 | -0.68 | 17 |
| 2026-05-06 | 2026-05-13 | -0.49 | 8 |
| 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 |
| 2026-05-15 | 2026-05-15 | -0.19 | 1 |
| 2026-08-05 | 2026-08-06 | -0.19 | 2 |
| 2026-08-19 | 2026-08-21 | -0.19 | 3 |
| 2026-08-26 | 2026-08-27 | -0.19 | 2 |