| Metric | SPY | TRUEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 183.51% | 562.51% |
| CAGR﹪ | 16.97% | 32.91% |
| Sharpe | 0.74 | 0.85 |
| Prob. Sharpe Ratio | 97.14% | 98.57% |
| Smart Sharpe | 0.64 | 0.83 |
| Sortino | 1.06 | 1.21 |
| Smart Sortino | 0.9 | 1.18 |
| Sortino/√2 | 0.75 | 0.85 |
| Smart Sortino/√2 | 0.64 | 0.83 |
| Omega | 1.19 | 1.17 |
| Max Drawdown | -24.61% | -50.65% |
| Max DD Date | 2020-03-23 | 2022-10-14 |
| Max DD Period Start | 2020-03-09 | 2021-11-17 |
| Max DD Period End | 2020-05-19 | 2024-02-08 |
| Longest DD Days | 708 | 814 |
| Volatility (ann.) | 19.77% | 38.81% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.69 | 0.65 |
| Skew | -0.26 | -0.16 |
| Kurtosis | 14.23 | 2.07 |
| Ulcer Performance Index | 24.04 | 26.71 |
| Risk-Adjusted Return | 16.97% | 32.91% |
| Risk-Return Ratio | 0.06 | 0.06 |
| Avg. Return | 0.07% | 0.15% |
| Avg. Win | 0.91% | 2.01% |
| Avg. Loss | -1.0% | -2.23% |
| Win/Loss Ratio | 0.92 | 0.9 |
| Profit Ratio | 0.8 | 0.71 |
| Expected Daily | 0.06% | 0.11% |
| Expected Monthly | 1.29% | 2.36% |
| Expected Yearly | 16.05% | 31.01% |
| Kelly Criterion | 5.58% | 6.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.98% | -3.88% |
| Expected Shortfall (cVaR) | -3.25% | -5.36% |
| Max Consecutive Wins | 10 | 13 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.19 | 0.17 |
| Gain/Pain (1M) | 1.17 | 1.11 |
| Payoff Ratio | 0.92 | 0.9 |
| Profit Factor | 1.19 | 1.17 |
| Common Sense Ratio | 1.17 | 1.03 |
| CPC Index | 0.6 | 0.59 |
| Tail Ratio | 0.99 | 0.88 |
| Outlier Win Ratio | 3.59 | 3.53 |
| Outlier Loss Ratio | 4.1 | 3.38 |
| 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.) | 16.97% | 32.91% |
| All-time (ann.) | 16.97% | 32.91% |
| Best Day | 10.5% | 15.77% |
| Worst Day | -10.94% | -9.44% |
| Best Month | 12.7% | 32.56% |
| Worst Month | -12.84% | -22.67% |
| Best Year | 28.73% | 104.95% |
| Worst Year | -18.18% | -42.06% |
| Avg. Drawdown | -1.87% | -5.25% |
| Avg. Drawdown Days | 16 | 23 |
| Recovery Factor | 4.77 | 4.73 |
| Ulcer Index | 0.08 | 0.21 |
| Serenity Index | 1.06 | 0.63 |
| Avg. Up Month | 4.73% | 9.65% |
| Avg. Down Month | -4.47% | -9.75% |
| Win Days | 54.87% | 55.82% |
| Win Month | 65.43% | 66.67% |
| Win Quarter | 75.0% | 67.86% |
| Win Year | 85.71% | 85.71% |
| Beta | - | 1.44 |
| Alpha | - | 0.11 |
| Correlation | - | 73.61% |
| Treynor Ratio | - | 389.29% |
| Year | SPY | TRUEX | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 28.04 | 104.95 | 3.74 | + |
| 2021 | 28.73 | 31.83 | 1.11 | + |
| 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 |
| 2021-02-16 | 2021-08-27 | -21.23 | 193 |
| 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 |
| 2020-10-14 | 2020-11-20 | -11.13 | 38 |