| Metric | SPY | SRDAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 79.0% |
| Cumulative Return | 6.48% | 5.64% |
| CAGR﹪ | 13.27% | 11.51% |
| Sharpe | 0.78 | 2.41 |
| Prob. Sharpe Ratio | 70.87% | 95.51% |
| Smart Sharpe | 0.75 | 2.26 |
| Sortino | 1.14 | 3.82 |
| Smart Sortino | 1.09 | 3.59 |
| Sortino/√2 | 0.8 | 2.7 |
| Smart Sortino/√2 | 0.77 | 2.54 |
| Omega | 1.19 | 1.8 |
| Max Drawdown | -4.49% | -0.96% |
| Max DD Date | 2026-06-10 | 2026-07-06 |
| 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.) | 12.4% | 3.04% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.95 | 11.94 |
| Skew | -0.15 | -0.07 |
| Kurtosis | 0.59 | -0.23 |
| Ulcer Performance Index | 3.89 | 15.43 |
| Risk-Adjusted Return | 13.27% | 14.56% |
| Risk-Return Ratio | 0.07 | 0.23 |
| Avg. Return | 0.06% | 0.06% |
| Avg. Win | 0.6% | 0.19% |
| Avg. Loss | -0.84% | -0.2% |
| Win/Loss Ratio | 0.72 | 0.93 |
| Profit Ratio | 1.15 | 0.33 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 0.9% | 0.79% |
| Expected Yearly | 6.48% | 5.64% |
| Kelly Criterion | -18.77% | 21.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.27% |
| Expected Shortfall (cVaR) | -1.63% | -0.34% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.19 | 0.8 |
| Gain/Pain (1M) | 3.26 | 5.93 |
| Payoff Ratio | 0.72 | 0.93 |
| Profit Factor | 1.19 | 1.8 |
| Common Sense Ratio | 1.47 | 2.36 |
| CPC Index | 0.43 | 1.04 |
| Tail Ratio | 1.23 | 1.31 |
| Outlier Win Ratio | 2.66 | 3.16 |
| Outlier Loss Ratio | 3.07 | 2.13 |
| MTD | 1.47% | -0.64% |
| 3M | 1.46% | 4.02% |
| 6M | 6.48% | 5.64% |
| YTD | 6.48% | 5.64% |
| 1Y | 6.48% | 5.64% |
| 3Y (ann.) | 13.27% | 11.51% |
| 5Y (ann.) | 13.27% | 11.51% |
| 10Y (ann.) | 13.27% | 11.51% |
| All-time (ann.) | 13.27% | 11.51% |
| Best Day | 1.8% | 0.49% |
| Worst Day | -2.58% | -0.39% |
| Best Month | 4.52% | 2.07% |
| Worst Month | -1.03% | -0.64% |
| Best Year | 6.48% | 5.64% |
| Worst Year | 6.48% | 5.64% |
| Avg. Drawdown | -1.57% | -0.31% |
| Avg. Drawdown Days | 17 | 6 |
| Recovery Factor | 1.48 | 5.72 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.91 | 3.44 |
| Avg. Up Month | 2.41% | 1.19% |
| Avg. Down Month | -1.03% | -0.29% |
| Win Days | 50.39% | 62.0% |
| Win Month | 57.14% | 71.43% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.04 |
| Alpha | - | 0.1 |
| Correlation | - | 16.37% |
| Treynor Ratio | - | 140.47% |
| Year | SPY | SRDAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 5.64 | 0.87 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-05 | 2026-07-21 | -0.96 | 47 |
| 2026-10-21 | 2026-11-04 | -0.91 | 15 |
| 2026-05-06 | 2026-05-13 | -0.49 | 8 |
| 2026-07-28 | 2026-07-30 | -0.38 | 3 |
| 2026-10-16 | 2026-10-19 | -0.36 | 4 |
| 2026-09-10 | 2026-09-10 | -0.28 | 1 |
| 2026-09-23 | 2026-09-24 | -0.28 | 2 |
| 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 |