| Metric | SPY | TRUEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 74.99% | 123.96% |
| CAGR﹪ | 11.91% | 17.6% |
| Sharpe | 0.52 | 0.51 |
| Prob. Sharpe Ratio | 87.6% | 87.03% |
| Smart Sharpe | 0.5 | 0.5 |
| Sortino | 0.74 | 0.71 |
| Smart Sortino | 0.72 | 0.71 |
| Sortino/√2 | 0.53 | 0.5 |
| Smart Sortino/√2 | 0.51 | 0.5 |
| Omega | 1.14 | 1.11 |
| Max Drawdown | -24.5% | -50.65% |
| Max DD Date | 2022-10-12 | 2022-10-14 |
| Max DD Period Start | 2022-01-04 | 2021-11-17 |
| Max DD Period End | 2023-12-12 | 2024-02-08 |
| Longest DD Days | 708 | 814 |
| Volatility (ann.) | 17.19% | 40.91% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.49 | 0.35 |
| Skew | 0.33 | -0.14 |
| Kurtosis | 8.98 | 1.92 |
| Ulcer Performance Index | 8.86 | 5.15 |
| Risk-Adjusted Return | 11.91% | 17.6% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.1% |
| Avg. Win | 0.85% | 2.1% |
| Avg. Loss | -0.91% | -2.32% |
| Win/Loss Ratio | 0.94 | 0.9 |
| Profit Ratio | 0.86 | 0.74 |
| Expected Daily | 0.04% | 0.06% |
| Expected Monthly | 0.92% | 1.33% |
| Expected Yearly | 9.77% | 14.38% |
| Kelly Criterion | 3.72% | 4.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -4.14% |
| Expected Shortfall (cVaR) | -2.58% | -5.67% |
| Max Consecutive Wins | 10 | 13 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.11 |
| Gain/Pain (1M) | 0.79 | 0.58 |
| Payoff Ratio | 0.94 | 0.9 |
| Profit Factor | 1.14 | 1.11 |
| Common Sense Ratio | 1.15 | 0.94 |
| CPC Index | 0.57 | 0.55 |
| Tail Ratio | 1.0 | 0.85 |
| Outlier Win Ratio | 3.4 | 3.4 |
| Outlier Loss Ratio | 3.8 | 3.32 |
| MTD | 1.47% | -7.67% |
| 3M | 1.46% | -19.33% |
| 6M | 6.94% | -18.53% |
| YTD | 13.33% | 9.19% |
| 1Y | 13.43% | 0.61% |
| 3Y (ann.) | 20.78% | 39.89% |
| 5Y (ann.) | 12.86% | 20.78% |
| 10Y (ann.) | 11.91% | 17.6% |
| All-time (ann.) | 11.91% | 17.6% |
| Best Day | 10.5% | 15.77% |
| Worst Day | -5.85% | -9.44% |
| Best Month | 10.51% | 32.56% |
| Worst Month | -9.24% | -22.67% |
| Best Year | 26.18% | 72.41% |
| Worst Year | -18.18% | -42.06% |
| Avg. Drawdown | -1.94% | -7.24% |
| Avg. Drawdown Days | 21 | 36 |
| Recovery Factor | 2.58 | 2.42 |
| Ulcer Index | 0.08 | 0.24 |
| Serenity Index | 0.43 | 0.28 |
| Avg. Up Month | 4.39% | 9.89% |
| Avg. Down Month | -4.49% | -9.84% |
| Win Days | 53.48% | 54.71% |
| Win Month | 62.3% | 60.66% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 1.9 |
| Alpha | - | 0.0 |
| Correlation | - | 79.75% |
| Treynor Ratio | - | 65.31% |
| Year | SPY | TRUEX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -8.67 | -5.01 | - |
| 2022 | -18.18 | -42.06 | 2.31 | - |
| 2023 | 26.18 | 72.41 | 2.77 | + |
| 2024 | 24.89 | 50.52 | 2.03 | + |
| 2025 | 17.72 | 49.36 | 2.79 | + |
| 2026 | 13.33 | 9.19 | 0.69 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2024-02-08 | -50.65 | 814 |
| 2025-02-19 | 2025-06-23 | -37.93 | 125 |
| 2026-06-23 | 2026-11-04 | -35.56 | 135 |
| 2024-07-17 | 2024-10-11 | -20.72 | 87 |
| 2025-10-30 | 2026-01-27 | -17.63 | 90 |
| 2026-01-29 | 2026-04-07 | -16.09 | 69 |
| 2024-03-26 | 2024-05-23 | -13.81 | 59 |
| 2026-06-03 | 2026-06-18 | -12.42 | 16 |
| 2025-01-24 | 2025-02-13 | -10.36 | 21 |
| 2025-01-07 | 2025-01-16 | -8.36 | 10 |