| Metric | SPY | SYMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 6.48% | 4.26% |
| CAGR﹪ | 13.27% | 8.63% |
| Sharpe | 0.78 | 0.6 |
| Prob. Sharpe Ratio | 70.87% | 66.27% |
| Smart Sharpe | 0.75 | 0.58 |
| Sortino | 1.14 | 0.84 |
| Smart Sortino | 1.09 | 0.82 |
| Sortino/√2 | 0.8 | 0.6 |
| Smart Sortino/√2 | 0.77 | 0.58 |
| Omega | 1.19 | 1.19 |
| Max Drawdown | -4.49% | -6.5% |
| Max DD Date | 2026-06-10 | 2026-06-24 |
| Max DD Period Start | 2026-06-03 | 2026-05-19 |
| Max DD Period End | 2026-07-31 | 2026-08-07 |
| Longest DD Days | 59 | 81 |
| Volatility (ann.) | 12.4% | 8.47% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.95 | 1.33 |
| Skew | -0.15 | -0.45 |
| Kurtosis | 0.59 | 1.2 |
| Ulcer Performance Index | 3.89 | 1.87 |
| Risk-Adjusted Return | 13.27% | 9.28% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.04% | 0.04% |
| Avg. Win | 0.59% | 0.44% |
| Avg. Loss | -0.67% | -0.52% |
| Win/Loss Ratio | 0.89 | 0.84 |
| Profit Ratio | 1.15 | 0.84 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.9% | 0.6% |
| Expected Yearly | 6.48% | 4.26% |
| Kelly Criterion | -5.42% | -8.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.84% |
| Expected Shortfall (cVaR) | -1.63% | -1.3% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | 0.19 |
| Gain/Pain (1M) | 3.26 | 0.74 |
| Payoff Ratio | 0.89 | 0.84 |
| Profit Factor | 1.19 | 1.19 |
| Common Sense Ratio | 1.47 | 1.32 |
| CPC Index | 0.53 | 0.51 |
| Tail Ratio | 1.23 | 1.11 |
| Outlier Win Ratio | 2.66 | 2.83 |
| Outlier Loss Ratio | 3.07 | 3.88 |
| MTD | 1.47% | -2.03% |
| 3M | 1.46% | 4.05% |
| 6M | 6.48% | 4.26% |
| YTD | 6.48% | 4.26% |
| 1Y | 6.48% | 4.26% |
| 3Y (ann.) | 13.27% | 8.63% |
| 5Y (ann.) | 13.27% | 8.63% |
| 10Y (ann.) | 13.27% | 8.63% |
| All-time (ann.) | 13.27% | 8.63% |
| Best Day | 1.8% | 1.28% |
| Worst Day | -2.58% | -1.83% |
| Best Month | 4.52% | 4.7% |
| Worst Month | -1.03% | -3.49% |
| Best Year | 6.48% | 4.26% |
| Worst Year | 6.48% | 4.26% |
| Avg. Drawdown | -1.57% | -1.41% |
| Avg. Drawdown Days | 17 | 13 |
| Recovery Factor | 1.48 | 0.67 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.91 | 0.19 |
| Avg. Up Month | 1.36% | 3.78% |
| Avg. Down Month | -1.03% | -3.49% |
| Win Days | 50.39% | 50.43% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.21 |
| Alpha | - | 0.06 |
| Correlation | - | 30.34% |
| Treynor Ratio | - | 20.55% |
| Year | SPY | SYMAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 4.26 | 0.66 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-19 | 2026-08-07 | -6.50 | 81 |
| 2026-10-29 | 2026-11-04 | -2.63 | 7 |
| 2026-09-16 | 2026-10-09 | -2.15 | 24 |
| 2026-05-14 | 2026-05-15 | -0.97 | 2 |
| 2026-05-06 | 2026-05-07 | -0.92 | 2 |
| 2026-08-24 | 2026-08-28 | -0.70 | 5 |
| 2026-10-14 | 2026-10-27 | -0.68 | 14 |
| 2026-08-18 | 2026-08-20 | -0.32 | 3 |
| 2026-08-11 | 2026-08-11 | -0.26 | 1 |
| 2026-09-14 | 2026-09-14 | -0.25 | 1 |