| Metric | SPY | TRUEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 86.58% | 264.95% |
| CAGR﹪ | 13.36% | 29.74% |
| Sharpe | 0.59 | 0.75 |
| Prob. Sharpe Ratio | 90.85% | 95.33% |
| Smart Sharpe | 0.58 | 0.75 |
| Sortino | 0.86 | 1.07 |
| Smart Sortino | 0.83 | 1.06 |
| Sortino/√2 | 0.61 | 0.76 |
| Smart Sortino/√2 | 0.59 | 0.75 |
| Omega | 1.16 | 1.15 |
| 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.) | 17.2% | 40.2% |
| R^2 | 0.65 | 0.65 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.55 | 0.59 |
| Skew | 0.32 | -0.1 |
| Kurtosis | 8.95 | 2.04 |
| Ulcer Performance Index | 10.24 | 11.11 |
| Risk-Adjusted Return | 13.36% | 29.74% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.14% |
| Avg. Win | 0.85% | 2.08% |
| Avg. Loss | -0.91% | -2.27% |
| Win/Loss Ratio | 0.93 | 0.92 |
| Profit Ratio | 0.83 | 0.74 |
| Expected Daily | 0.05% | 0.1% |
| Expected Monthly | 1.03% | 2.14% |
| Expected Yearly | 10.95% | 24.08% |
| Kelly Criterion | 4.6% | 6.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -4.03% |
| Expected Shortfall (cVaR) | -2.58% | -5.47% |
| Max Consecutive Wins | 10 | 13 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.15 |
| Gain/Pain (1M) | 0.87 | 0.92 |
| Payoff Ratio | 0.93 | 0.92 |
| Profit Factor | 1.16 | 1.15 |
| Common Sense Ratio | 1.17 | 1.02 |
| CPC Index | 0.58 | 0.58 |
| Tail Ratio | 1.01 | 0.89 |
| Outlier Win Ratio | 3.41 | 3.42 |
| Outlier Loss Ratio | 3.77 | 3.28 |
| MTD | 1.08% | 13.54% |
| 3M | 3.82% | -9.07% |
| 6M | 19.85% | 48.98% |
| YTD | 14.3% | 51.22% |
| 1Y | 17.78% | 45.9% |
| 3Y (ann.) | 24.86% | 66.42% |
| 5Y (ann.) | 13.06% | 28.6% |
| 10Y (ann.) | 13.36% | 29.74% |
| All-time (ann.) | 13.36% | 29.74% |
| 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 | -1.89% | -6.54% |
| Avg. Drawdown Days | 20 | 31 |
| Recovery Factor | 2.85 | 3.35 |
| Ulcer Index | 0.08 | 0.24 |
| Serenity Index | 0.47 | 0.39 |
| Avg. Up Month | 4.37% | 10.28% |
| Avg. Down Month | -4.75% | -9.23% |
| Win Days | 54.04% | 55.14% |
| Win Month | 63.93% | 63.93% |
| Win Quarter | 66.67% | 57.14% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 1.88 |
| Alpha | - | 0.08 |
| Correlation | - | 80.43% |
| Treynor Ratio | - | 140.96% |
| Year | SPY | TRUEX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 7.47 | 0.99 | - |
| 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 | 14.30 | 51.22 | 3.58 | + |
| 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 | 2026-09-22 | -31.29 | 92 |
| 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 |