| Metric | SPY | SYMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 17.87% | 20.89% |
| CAGR﹪ | 18.02% | 21.07% |
| Sharpe | 1.04 | 1.38 |
| Prob. Sharpe Ratio | 84.73% | 90.96% |
| Smart Sharpe | 1.01 | 1.29 |
| Sortino | 1.51 | 1.95 |
| Smart Sortino | 1.47 | 1.82 |
| Sortino/√2 | 1.07 | 1.38 |
| Smart Sortino/√2 | 1.04 | 1.29 |
| Omega | 1.25 | 1.33 |
| Max Drawdown | -8.88% | -6.5% |
| Max DD Date | 2026-03-30 | 2026-06-24 |
| Max DD Period Start | 2026-01-28 | 2026-05-19 |
| Max DD Period End | 2026-04-13 | 2026-08-07 |
| Longest DD Days | 76 | 81 |
| Volatility (ann.) | 12.99% | 11.45% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 2.03 | 3.24 |
| Skew | -0.15 | -0.61 |
| Kurtosis | 1.05 | 1.33 |
| Ulcer Performance Index | 8.3 | 9.29 |
| Risk-Adjusted Return | 18.02% | 21.95% |
| Risk-Return Ratio | 0.08 | 0.11 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 0.64% | 0.65% |
| Avg. Loss | -0.75% | -0.69% |
| Win/Loss Ratio | 0.85 | 0.95 |
| Profit Ratio | 0.94 | 0.7 |
| Expected Daily | 0.07% | 0.08% |
| Expected Monthly | 1.27% | 1.47% |
| Expected Yearly | 8.57% | 9.95% |
| Kelly Criterion | -0.82% | 9.76% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.11% |
| Expected Shortfall (cVaR) | -1.72% | -1.62% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.33 |
| Gain/Pain (1M) | 2.6 | 2.04 |
| Payoff Ratio | 0.85 | 0.95 |
| Profit Factor | 1.25 | 1.33 |
| Common Sense Ratio | 1.24 | 1.29 |
| CPC Index | 0.57 | 0.71 |
| Tail Ratio | 0.99 | 0.97 |
| Outlier Win Ratio | 2.88 | 2.97 |
| Outlier Loss Ratio | 3.19 | 3.57 |
| MTD | 1.08% | 1.84% |
| 3M | 3.82% | 8.64% |
| 6M | 19.85% | 13.79% |
| YTD | 14.3% | 16.34% |
| 1Y | 17.87% | 20.89% |
| 3Y (ann.) | 18.02% | 21.07% |
| 5Y (ann.) | 18.02% | 21.07% |
| 10Y (ann.) | 18.02% | 21.07% |
| All-time (ann.) | 18.02% | 21.07% |
| Best Day | 2.91% | 1.96% |
| Worst Day | -2.7% | -2.8% |
| Best Month | 10.51% | 6.63% |
| Worst Month | -4.94% | -4.53% |
| Best Year | 14.3% | 16.34% |
| Worst Year | 3.13% | 3.91% |
| Avg. Drawdown | -1.71% | -1.49% |
| Avg. Drawdown Days | 13 | 10 |
| Recovery Factor | 1.94 | 3.02 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 1.17 |
| Avg. Up Month | 2.06% | 3.02% |
| Avg. Down Month | -2.98% | -4.01% |
| Win Days | 53.6% | 56.07% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.46 |
| Alpha | - | 0.12 |
| Correlation | - | 52.44% |
| Treynor Ratio | - | 45.19% |
| Year | SPY | SYMAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 3.91 | 1.25 | + |
| 2026 | 14.30 | 16.34 | 1.14 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-19 | 2026-08-07 | -6.50 | 81 |
| 2026-03-02 | 2026-04-22 | -6.07 | 52 |
| 2025-11-13 | 2025-11-26 | -3.57 | 14 |
| 2025-10-21 | 2025-11-10 | -3.06 | 21 |
| 2026-01-30 | 2026-02-06 | -2.80 | 8 |
| 2025-10-09 | 2025-10-17 | -2.39 | 9 |
| 2026-02-12 | 2026-02-23 | -2.23 | 12 |
| 2025-12-29 | 2026-01-02 | -1.57 | 5 |
| 2026-01-16 | 2026-01-22 | -1.39 | 7 |
| 2025-09-24 | 2025-09-29 | -1.28 | 6 |