| Metric | SPY | TRUEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 48.07% |
| CAGR﹪ | 18.02% | 48.54% |
| Sharpe | 1.04 | 0.98 |
| Prob. Sharpe Ratio | 84.73% | 83.34% |
| Smart Sharpe | 1.01 | 0.94 |
| Sortino | 1.51 | 1.38 |
| Smart Sortino | 1.47 | 1.33 |
| Sortino/√2 | 1.07 | 0.98 |
| Smart Sortino/√2 | 1.04 | 0.94 |
| Omega | 1.25 | 1.19 |
| Max Drawdown | -8.88% | -31.29% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2026-01-28 | 2026-06-23 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 92 |
| Volatility (ann.) | 12.99% | 48.2% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 2.03 | 1.55 |
| Skew | -0.15 | -0.23 |
| Kurtosis | 1.05 | 0.39 |
| Ulcer Performance Index | 8.3 | 4.67 |
| Risk-Adjusted Return | 18.02% | 48.54% |
| Risk-Return Ratio | 0.08 | 0.07 |
| Avg. Return | 0.07% | 0.2% |
| Avg. Win | 0.7% | 2.49% |
| Avg. Loss | -0.72% | -2.99% |
| Win/Loss Ratio | 0.98 | 0.83 |
| Profit Ratio | 0.94 | 0.55 |
| Expected Daily | 0.07% | 0.16% |
| Expected Monthly | 1.27% | 3.07% |
| Expected Yearly | 8.57% | 21.69% |
| Kelly Criterion | 6.07% | 11.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -4.79% |
| Expected Shortfall (cVaR) | -1.72% | -6.05% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.19 |
| Gain/Pain (1M) | 2.6 | 1.38 |
| Payoff Ratio | 0.98 | 0.83 |
| Profit Factor | 1.25 | 1.19 |
| Common Sense Ratio | 1.24 | 0.93 |
| CPC Index | 0.65 | 0.59 |
| Tail Ratio | 0.99 | 0.78 |
| Outlier Win Ratio | 2.88 | 3.22 |
| Outlier Loss Ratio | 3.19 | 2.51 |
| MTD | 1.08% | 13.54% |
| 3M | 3.82% | -9.07% |
| 6M | 19.85% | 48.98% |
| YTD | 14.3% | 51.22% |
| 1Y | 17.87% | 48.07% |
| 3Y (ann.) | 18.02% | 48.54% |
| 5Y (ann.) | 18.02% | 48.54% |
| 10Y (ann.) | 18.02% | 48.54% |
| All-time (ann.) | 18.02% | 48.54% |
| Best Day | 2.91% | 10.54% |
| Worst Day | -2.7% | -8.4% |
| Best Month | 10.51% | 32.56% |
| Worst Month | -4.94% | -22.67% |
| Best Year | 14.3% | 51.22% |
| Worst Year | 3.13% | -2.08% |
| Avg. Drawdown | -1.71% | -6.94% |
| Avg. Drawdown Days | 13 | 19 |
| Recovery Factor | 1.94 | 1.62 |
| Ulcer Index | 0.02 | 0.1 |
| Serenity Index | 1.16 | 0.68 |
| Avg. Up Month | 3.35% | 11.68% |
| Avg. Down Month | -4.94% | -5.73% |
| Win Days | 53.6% | 59.6% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 20.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 2.76 |
| Alpha | - | 0.03 |
| Correlation | - | 74.49% |
| Treynor Ratio | - | 17.39% |
| Year | SPY | TRUEX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -2.08 | -0.67 | - |
| 2026 | 14.30 | 51.22 | 3.58 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-09-22 | -31.29 | 92 |
| 2025-10-30 | 2026-01-27 | -17.63 | 90 |
| 2026-01-29 | 2026-04-07 | -16.09 | 69 |
| 2026-06-03 | 2026-06-18 | -12.42 | 16 |
| 2025-10-10 | 2025-10-24 | -8.10 | 15 |
| 2026-05-15 | 2026-05-22 | -7.10 | 8 |
| 2026-05-07 | 2026-05-08 | -4.09 | 2 |
| 2026-04-28 | 2026-04-29 | -3.95 | 2 |
| 2025-09-24 | 2025-10-01 | -3.80 | 8 |
| 2026-05-12 | 2026-05-13 | -2.39 | 2 |