| Metric | SPY | SYMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 86.58% | 101.95% |
| CAGR﹪ | 13.36% | 15.18% |
| Sharpe | 0.59 | 0.63 |
| Prob. Sharpe Ratio | 90.85% | 98.2% |
| Smart Sharpe | 0.58 | 0.62 |
| Sortino | 0.86 | 1.53 |
| Smart Sortino | 0.83 | 1.5 |
| Sortino/√2 | 0.61 | 1.08 |
| Smart Sortino/√2 | 0.59 | 1.06 |
| Omega | 1.16 | 1.26 |
| 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.) | 17.2% | 19.03% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.55 | 1.23 |
| Skew | 0.32 | 19.8 |
| Kurtosis | 8.95 | 580.55 |
| Ulcer Performance Index | 10.24 | 23.36 |
| Risk-Adjusted Return | 13.36% | 15.82% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.83% | 0.56% |
| Avg. Loss | -0.92% | -0.61% |
| Win/Loss Ratio | 0.9 | 0.93 |
| Profit Ratio | 0.83 | 0.75 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.03% | 1.16% |
| Expected Yearly | 10.95% | 12.43% |
| Kelly Criterion | 2.81% | 4.97% |
| 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 | 0.16 | 0.26 |
| Gain/Pain (1M) | 0.87 | 1.6 |
| Payoff Ratio | 0.9 | 0.93 |
| Profit Factor | 1.16 | 1.26 |
| Common Sense Ratio | 1.17 | 1.28 |
| CPC Index | 0.56 | 0.64 |
| Tail Ratio | 1.01 | 1.01 |
| Outlier Win Ratio | 3.41 | 3.04 |
| Outlier Loss Ratio | 3.77 | 3.67 |
| MTD | 1.08% | 1.84% |
| 3M | 3.82% | 8.64% |
| 6M | 19.85% | 13.79% |
| YTD | 14.3% | 16.34% |
| 1Y | 17.78% | 21.8% |
| 3Y (ann.) | 24.86% | 24.19% |
| 5Y (ann.) | 13.06% | 14.77% |
| 10Y (ann.) | 13.36% | 15.18% |
| All-time (ann.) | 13.36% | 15.18% |
| 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% | 0.04% |
| Avg. Drawdown | -1.89% | -1.85% |
| Avg. Drawdown Days | 20 | 29 |
| Recovery Factor | 2.85 | 6.34 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.47 | 2.4 |
| Avg. Up Month | 3.75% | 2.76% |
| Avg. Down Month | -3.62% | -2.59% |
| Win Days | 54.04% | 54.19% |
| Win Month | 63.93% | 60.66% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.36 |
| Alpha | - | 0.11 |
| Correlation | - | 32.96% |
| Treynor Ratio | - | 279.65% |
| Year | SPY | SYMAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.04 | 0.00 | - |
| 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 | 14.30 | 16.34 | 1.14 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-08 | 2024-08-22 | -12.33 | 807 |
| 2025-02-11 | 2025-06-27 | -10.53 | 137 |
| 2021-10-27 | 2022-03-03 | -6.66 | 128 |
| 2026-05-19 | 2026-08-07 | -6.50 | 81 |
| 2026-03-02 | 2026-04-22 | -6.07 | 52 |
| 2024-09-25 | 2024-11-22 | -5.39 | 59 |
| 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 |