| Metric | SPY | TRUEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | 46.67% |
| CAGR﹪ | 40.67% | 115.12% |
| Sharpe | 2.32 | 1.61 |
| Prob. Sharpe Ratio | 95.04% | 86.93% |
| Smart Sharpe | 2.3 | 1.6 |
| Sortino | 3.78 | 2.35 |
| Smart Sortino | 3.75 | 2.34 |
| Sortino/√2 | 2.67 | 1.66 |
| Smart Sortino/√2 | 2.65 | 1.65 |
| Omega | 1.54 | 1.3 |
| Max Drawdown | -4.49% | -31.29% |
| Max DD Date | 2026-06-10 | 2026-07-29 |
| Max DD Period Start | 2026-06-03 | 2026-06-23 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 92 |
| Volatility (ann.) | 13.55% | 54.64% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 9.05 | 3.68 |
| Skew | 0.1 | -0.21 |
| Kurtosis | 1.12 | 0.08 |
| Ulcer Performance Index | 11.86 | 3.6 |
| Risk-Adjusted Return | 40.67% | 115.12% |
| Risk-Return Ratio | 0.16 | 0.11 |
| Avg. Return | 0.14% | 0.36% |
| Avg. Win | 0.8% | 2.98% |
| Avg. Loss | -0.66% | -3.22% |
| Win/Loss Ratio | 1.22 | 0.93 |
| Profit Ratio | 1.12 | 0.56 |
| Expected Daily | 0.14% | 0.3% |
| Expected Monthly | 2.47% | 5.62% |
| Expected Yearly | 18.6% | 46.67% |
| Kelly Criterion | 16.23% | 17.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -5.3% |
| Expected Shortfall (cVaR) | -1.77% | -6.54% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.54 | 0.3 |
| Gain/Pain (1M) | 10.92 | 1.68 |
| Payoff Ratio | 1.22 | 0.93 |
| Profit Factor | 1.54 | 1.3 |
| Common Sense Ratio | 2.01 | 1.1 |
| CPC Index | 1.01 | 0.73 |
| Tail Ratio | 1.3 | 0.85 |
| Outlier Win Ratio | 3.21 | 2.93 |
| Outlier Loss Ratio | 3.16 | 2.39 |
| MTD | 1.08% | 13.54% |
| 3M | 3.82% | -9.07% |
| 6M | 18.6% | 46.67% |
| YTD | 18.6% | 46.67% |
| 1Y | 18.6% | 46.67% |
| 3Y (ann.) | 40.67% | 115.12% |
| 5Y (ann.) | 40.67% | 115.12% |
| 10Y (ann.) | 40.67% | 115.12% |
| All-time (ann.) | 40.67% | 115.12% |
| Best Day | 2.91% | 10.54% |
| Worst Day | -2.58% | -8.4% |
| Best Month | 10.51% | 32.56% |
| Worst Month | -1.03% | -22.67% |
| Best Year | 18.6% | 46.67% |
| Worst Year | 18.6% | 46.67% |
| Avg. Drawdown | -1.13% | -6.97% |
| Avg. Drawdown Days | 9 | 13 |
| Recovery Factor | 3.9 | 1.46 |
| Ulcer Index | 0.02 | 0.13 |
| Serenity Index | 2.75 | 0.44 |
| Avg. Up Month | 4.88% | 17.69% |
| Avg. Down Month | -0.77% | -4.45% |
| Win Days | 53.97% | 60.32% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 2.93 |
| Alpha | - | -0.11 |
| Correlation | - | 72.67% |
| Treynor Ratio | - | 15.92% |
| Year | SPY | TRUEX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 46.67 | 2.51 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-09-22 | -31.29 | 92 |
| 2026-03-26 | 2026-04-07 | -13.07 | 13 |
| 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 |
| 2026-04-28 | 2026-04-29 | -3.95 | 2 |
| 2026-05-12 | 2026-05-13 | -2.39 | 2 |
| 2026-04-23 | 2026-04-23 | -1.71 | 1 |
| 2026-04-21 | 2026-04-21 | -0.59 | 1 |
| 2026-04-15 | 2026-04-15 | -0.03 | 1 |