| Metric | SPY | SYMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 74.99% | 94.67% |
| CAGR﹪ | 11.91% | 14.34% |
| Sharpe | 0.52 | 0.58 |
| Prob. Sharpe Ratio | 87.6% | 97.17% |
| Smart Sharpe | 0.5 | 0.58 |
| Sortino | 0.74 | 1.42 |
| Smart Sortino | 0.72 | 1.4 |
| Sortino/√2 | 0.53 | 1.0 |
| Smart Sortino/√2 | 0.51 | 0.99 |
| Omega | 1.14 | 1.25 |
| Max Drawdown | -24.5% | -12.33% |
| Max DD Date | 2022-10-12 | 2023-03-17 |
| Max DD Period Start | 2022-01-04 | 2022-06-08 |
| Max DD Period End | 2023-12-12 | 2024-08-22 |
| Longest DD Days | 708 | 807 |
| Volatility (ann.) | 17.19% | 19.03% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.49 | 1.16 |
| Skew | 0.33 | 19.82 |
| Kurtosis | 8.98 | 581.3 |
| Ulcer Performance Index | 8.86 | 21.77 |
| Risk-Adjusted Return | 11.91% | 14.93% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.82% | 0.56% |
| Avg. Loss | -0.91% | -0.6% |
| Win/Loss Ratio | 0.9 | 0.94 |
| Profit Ratio | 0.86 | 0.77 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.92% | 1.1% |
| Expected Yearly | 9.77% | 11.74% |
| Kelly Criterion | 1.98% | 4.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.91% |
| Expected Shortfall (cVaR) | -2.58% | -2.47% |
| Max Consecutive Wins | 10 | 13 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.25 |
| Gain/Pain (1M) | 0.79 | 1.46 |
| Payoff Ratio | 0.9 | 0.94 |
| Profit Factor | 1.14 | 1.25 |
| Common Sense Ratio | 1.15 | 1.25 |
| CPC Index | 0.55 | 0.63 |
| Tail Ratio | 1.0 | 1.0 |
| Outlier Win Ratio | 3.4 | 3.05 |
| Outlier Loss Ratio | 3.8 | 3.69 |
| MTD | 1.47% | -2.03% |
| 3M | 1.46% | 4.05% |
| 6M | 6.94% | 4.6% |
| YTD | 13.33% | 15.04% |
| 1Y | 13.43% | 20.8% |
| 3Y (ann.) | 20.78% | 24.56% |
| 5Y (ann.) | 12.86% | 15.79% |
| 10Y (ann.) | 11.91% | 14.34% |
| All-time (ann.) | 11.91% | 14.34% |
| Best Day | 10.5% | 35.06% |
| Worst Day | -5.85% | -3.56% |
| Best Month | 10.51% | 31.55% |
| Worst Month | -9.24% | -5.36% |
| Best Year | 26.18% | 45.4% |
| Worst Year | -18.18% | -2.48% |
| Avg. Drawdown | -1.94% | -1.87% |
| Avg. Drawdown Days | 21 | 29 |
| Recovery Factor | 2.58 | 6.04 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.43 | 2.29 |
| Avg. Up Month | 3.73% | 2.81% |
| Avg. Down Month | -3.75% | -2.59% |
| Win Days | 53.48% | 53.78% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.36 |
| Alpha | - | 0.1 |
| Correlation | - | 32.81% |
| Treynor Ratio | - | 260.66% |
| Year | SPY | SYMAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -2.48 | -1.43 | - |
| 2022 | -18.18 | 5.75 | -0.32 | + |
| 2023 | 26.18 | 0.69 | 0.03 | - |
| 2024 | 24.89 | 45.40 | 1.82 | + |
| 2025 | 17.72 | 12.07 | 0.68 | - |
| 2026 | 13.33 | 15.04 | 1.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-08 | 2024-08-22 | -12.33 | 807 |
| 2025-02-11 | 2025-06-27 | -10.53 | 137 |
| 2026-05-19 | 2026-08-07 | -6.50 | 81 |
| 2021-11-17 | 2022-03-02 | -6.29 | 106 |
| 2026-03-02 | 2026-04-22 | -6.07 | 52 |
| 2024-09-25 | 2024-11-25 | -5.39 | 62 |
| 2022-04-21 | 2022-06-03 | -4.68 | 44 |
| 2025-11-13 | 2025-11-26 | -3.57 | 14 |
| 2025-10-21 | 2025-11-10 | -3.06 | 21 |
| 2025-07-24 | 2025-08-12 | -3.06 | 20 |