| Metric | SPY | TRUEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 3.73% |
| CAGR﹪ | 14.51% | 3.76% |
| Sharpe | 0.83 | 0.25 |
| Prob. Sharpe Ratio | 79.61% | 59.89% |
| Smart Sharpe | 0.82 | 0.25 |
| Sortino | 1.22 | 0.34 |
| Smart Sortino | 1.2 | 0.34 |
| Sortino/√2 | 0.86 | 0.24 |
| Smart Sortino/√2 | 0.85 | 0.24 |
| Omega | 1.2 | 1.05 |
| Max Drawdown | -8.88% | -35.56% |
| Max DD Date | 2026-03-30 | 2026-11-04 |
| Max DD Period Start | 2026-01-28 | 2026-06-23 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 135 |
| Volatility (ann.) | 12.86% | 50.26% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 1.63 | 0.11 |
| Skew | -0.02 | -0.28 |
| Kurtosis | 0.78 | 0.25 |
| Ulcer Performance Index | 6.68 | 0.3 |
| Risk-Adjusted Return | 14.51% | 3.76% |
| Risk-Return Ratio | 0.07 | 0.02 |
| Avg. Return | 0.05% | 0.07% |
| Avg. Win | 0.71% | 2.58% |
| Avg. Loss | -0.71% | -3.16% |
| Win/Loss Ratio | 1.0 | 0.82 |
| Profit Ratio | 1.02 | 0.57 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.04% | 0.28% |
| Expected Yearly | 6.95% | 1.85% |
| Kelly Criterion | 3.9% | 5.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -5.14% |
| Expected Shortfall (cVaR) | -1.66% | -6.31% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.05 |
| Gain/Pain (1M) | 1.83 | 0.26 |
| Payoff Ratio | 1.0 | 0.82 |
| Profit Factor | 1.2 | 1.05 |
| Common Sense Ratio | 1.19 | 0.79 |
| CPC Index | 0.62 | 0.49 |
| Tail Ratio | 0.99 | 0.75 |
| Outlier Win Ratio | 2.84 | 3.17 |
| Outlier Loss Ratio | 3.01 | 2.63 |
| MTD | 1.47% | -7.67% |
| 3M | 1.46% | -19.33% |
| 6M | 6.94% | -18.53% |
| YTD | 13.33% | 9.19% |
| 1Y | 14.39% | 3.73% |
| 3Y (ann.) | 14.51% | 3.76% |
| 5Y (ann.) | 14.51% | 3.76% |
| 10Y (ann.) | 14.51% | 3.76% |
| All-time (ann.) | 14.51% | 3.76% |
| Best Day | 2.91% | 10.54% |
| Worst Day | -2.58% | -8.4% |
| Best Month | 10.51% | 32.56% |
| Worst Month | -4.94% | -22.67% |
| Best Year | 13.33% | 9.19% |
| Worst Year | 0.94% | -5.0% |
| Avg. Drawdown | -1.74% | -7.14% |
| Avg. Drawdown Days | 14 | 21 |
| Recovery Factor | 1.61 | 0.46 |
| Ulcer Index | 0.02 | 0.12 |
| Serenity Index | 0.94 | 0.15 |
| Avg. Up Month | 4.0% | 12.09% |
| Avg. Down Month | -2.92% | -13.15% |
| Win Days | 52.0% | 57.43% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 20.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 2.83 |
| Alpha | - | -0.24 |
| Correlation | - | 72.5% |
| Treynor Ratio | - | 1.32% |
| Year | SPY | TRUEX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -5.00 | -5.33 | - |
| 2026 | 13.33 | 9.19 | 0.69 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-11-04 | -35.56 | 135 |
| 2026-01-29 | 2026-04-07 | -16.09 | 69 |
| 2025-11-11 | 2026-01-12 | -15.75 | 63 |
| 2026-06-03 | 2026-06-18 | -12.42 | 16 |
| 2026-05-15 | 2026-05-22 | -7.10 | 8 |
| 2026-05-07 | 2026-05-08 | -4.09 | 2 |
| 2025-11-06 | 2025-11-07 | -3.97 | 2 |
| 2026-04-28 | 2026-04-29 | -3.95 | 2 |
| 2026-05-12 | 2026-05-13 | -2.39 | 2 |
| 2026-01-20 | 2026-01-26 | -1.96 | 7 |