| Metric | SPY | VOLSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 17.87% | 14.9% |
| CAGR﹪ | 18.02% | 15.03% |
| Sharpe | 1.04 | 0.76 |
| Prob. Sharpe Ratio | 84.73% | 77.28% |
| Smart Sharpe | 1.01 | 0.71 |
| Sortino | 1.51 | 1.07 |
| Smart Sortino | 1.47 | 1.0 |
| Sortino/√2 | 1.07 | 0.76 |
| Smart Sortino/√2 | 1.04 | 0.71 |
| Omega | 1.25 | 1.19 |
| 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.) | 12.99% | 14.7% |
| R^2 | 0.92 | 0.92 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.03 | 1.21 |
| Skew | -0.15 | -0.22 |
| Kurtosis | 1.05 | 1.46 |
| Ulcer Performance Index | 8.3 | 5.05 |
| Risk-Adjusted Return | 18.02% | 15.66% |
| Risk-Return Ratio | 0.08 | 0.06 |
| Avg. Return | 0.07% | 0.06% |
| Avg. Win | 0.7% | 0.74% |
| Avg. Loss | -0.67% | -0.77% |
| Win/Loss Ratio | 1.04 | 0.97 |
| Profit Ratio | 0.94 | 0.67 |
| Expected Daily | 0.07% | 0.06% |
| Expected Monthly | 1.27% | 1.07% |
| Expected Yearly | 8.57% | 7.19% |
| Kelly Criterion | 9.19% | 9.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.46% |
| Expected Shortfall (cVaR) | -1.72% | -2.09% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.19 |
| Gain/Pain (1M) | 2.6 | 1.77 |
| Payoff Ratio | 1.04 | 0.97 |
| Profit Factor | 1.25 | 1.19 |
| Common Sense Ratio | 1.24 | 1.02 |
| CPC Index | 0.7 | 0.64 |
| Tail Ratio | 0.99 | 0.85 |
| Outlier Win Ratio | 2.88 | 3.6 |
| Outlier Loss Ratio | 3.19 | 3.26 |
| MTD | 1.08% | 0.68% |
| 3M | 3.82% | 3.66% |
| 6M | 19.85% | 19.7% |
| YTD | 14.3% | 10.07% |
| 1Y | 17.87% | 14.9% |
| 3Y (ann.) | 18.02% | 15.03% |
| 5Y (ann.) | 18.02% | 15.03% |
| 10Y (ann.) | 18.02% | 15.03% |
| All-time (ann.) | 18.02% | 15.03% |
| Best Day | 2.91% | 3.29% |
| Worst Day | -2.7% | -2.71% |
| Best Month | 10.51% | 10.97% |
| Worst Month | -4.94% | -7.53% |
| Best Year | 14.3% | 10.07% |
| Worst Year | 3.13% | 4.39% |
| Avg. Drawdown | -1.71% | -1.97% |
| Avg. Drawdown Days | 13 | 14 |
| Recovery Factor | 1.94 | 1.21 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.16 | 0.56 |
| Avg. Up Month | 2.99% | 2.97% |
| Avg. Down Month | -2.28% | -2.82% |
| Win Days | 53.6% | 55.42% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.08 |
| Alpha | - | -0.04 |
| Correlation | - | 95.76% |
| Treynor Ratio | - | 13.75% |
| Year | SPY | VOLSX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 4.39 | 1.40 | + |
| 2026 | 14.30 | 10.07 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-13 | 2026-04-29 | -12.37 | 107 |
| 2025-10-29 | 2025-12-19 | -6.33 | 52 |
| 2026-06-05 | 2026-07-02 | -4.31 | 28 |
| 2026-07-16 | 2026-08-03 | -4.29 | 19 |
| 2025-10-09 | 2025-10-17 | -2.98 | 9 |
| 2026-08-14 | 2026-09-18 | -2.43 | 36 |
| 2026-05-15 | 2026-05-21 | -1.76 | 7 |
| 2026-07-07 | 2026-07-09 | -1.12 | 3 |
| 2025-12-26 | 2026-01-05 | -1.03 | 11 |
| 2026-07-13 | 2026-07-14 | -0.77 | 2 |