| Metric | SPY | VOLSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 14.39% | 10.05% |
| CAGR﹪ | 14.51% | 10.14% |
| Sharpe | 0.83 | 0.48 |
| Prob. Sharpe Ratio | 79.61% | 68.37% |
| Smart Sharpe | 0.82 | 0.46 |
| Sortino | 1.22 | 0.68 |
| Smart Sortino | 1.2 | 0.64 |
| Sortino/√2 | 0.86 | 0.48 |
| Smart Sortino/√2 | 0.85 | 0.45 |
| Omega | 1.2 | 1.13 |
| Max Drawdown | -8.88% | -12.37% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-01-13 |
| Max DD Period End | 2026-04-13 | 2026-04-29 |
| Longest DD Days | 76 | 107 |
| Volatility (ann.) | 12.86% | 14.67% |
| R^2 | 0.92 | 0.92 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.63 | 0.82 |
| Skew | -0.02 | -0.13 |
| Kurtosis | 0.78 | 1.3 |
| Ulcer Performance Index | 6.68 | 3.42 |
| Risk-Adjusted Return | 14.51% | 10.56% |
| Risk-Return Ratio | 0.07 | 0.05 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.71% | 0.75% |
| Avg. Loss | -0.66% | -0.76% |
| Win/Loss Ratio | 1.06 | 0.98 |
| Profit Ratio | 1.02 | 0.7 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.74% |
| Expected Yearly | 6.95% | 4.91% |
| Kelly Criterion | 6.92% | 7.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.48% |
| Expected Shortfall (cVaR) | -1.66% | -2.09% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.13 |
| Gain/Pain (1M) | 1.83 | 1.01 |
| Payoff Ratio | 1.06 | 0.98 |
| Profit Factor | 1.2 | 1.13 |
| Common Sense Ratio | 1.19 | 0.96 |
| CPC Index | 0.67 | 0.6 |
| Tail Ratio | 0.99 | 0.85 |
| Outlier Win Ratio | 2.84 | 3.6 |
| Outlier Loss Ratio | 3.01 | 3.24 |
| MTD | 1.47% | 1.3% |
| 3M | 1.46% | 0.6% |
| 6M | 6.94% | 6.35% |
| YTD | 13.33% | 8.32% |
| 1Y | 14.39% | 10.05% |
| 3Y (ann.) | 14.51% | 10.14% |
| 5Y (ann.) | 14.51% | 10.14% |
| 10Y (ann.) | 14.51% | 10.14% |
| All-time (ann.) | 14.51% | 10.14% |
| Best Day | 2.91% | 3.29% |
| Worst Day | -2.58% | -2.5% |
| Best Month | 10.51% | 10.97% |
| Worst Month | -4.94% | -7.53% |
| Best Year | 13.33% | 8.32% |
| Worst Year | 0.94% | 1.6% |
| Avg. Drawdown | -1.74% | -2.35% |
| Avg. Drawdown Days | 14 | 17 |
| Recovery Factor | 1.61 | 0.86 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.94 | 0.4 |
| Avg. Up Month | 3.19% | 3.08% |
| Avg. Down Month | -1.61% | -2.13% |
| Win Days | 52.0% | 53.97% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.1 |
| Alpha | - | -0.05 |
| Correlation | - | 96.16% |
| Treynor Ratio | - | 9.17% |
| Year | SPY | VOLSX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.60 | 1.71 | + |
| 2026 | 13.33 | 8.32 | 0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-13 | 2026-04-29 | -12.37 | 107 |
| 2025-11-13 | 2025-12-09 | -5.73 | 27 |
| 2026-06-03 | 2026-07-02 | -4.31 | 30 |
| 2026-07-16 | 2026-08-03 | -4.29 | 19 |
| 2026-09-23 | 2026-11-04 | -3.44 | 43 |
| 2026-08-14 | 2026-09-18 | -2.43 | 36 |
| 2025-12-12 | 2025-12-19 | -2.17 | 8 |
| 2026-05-15 | 2026-05-21 | -1.76 | 7 |
| 2026-07-07 | 2026-07-09 | -1.12 | 3 |
| 2025-11-06 | 2025-11-07 | -1.10 | 2 |