| Metric | SPY | VOLSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 74.99% | 13.7% |
| CAGR﹪ | 11.91% | 2.62% |
| Sharpe | 0.52 | 0.02 |
| Prob. Sharpe Ratio | 87.6% | 51.82% |
| Smart Sharpe | 0.5 | 0.02 |
| Sortino | 0.74 | 0.03 |
| Smart Sortino | 0.72 | 0.03 |
| Sortino/√2 | 0.53 | 0.02 |
| Smart Sortino/√2 | 0.51 | 0.02 |
| Omega | 1.14 | 1.04 |
| Max Drawdown | -24.5% | -35.1% |
| Max DD Date | 2022-10-12 | 2022-09-30 |
| Max DD Period Start | 2022-01-04 | 2022-01-04 |
| Max DD Period End | 2023-12-12 | 2024-10-11 |
| Longest DD Days | 708 | 1012 |
| Volatility (ann.) | 17.19% | 18.11% |
| R^2 | 0.7 | 0.7 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.49 | 0.07 |
| Skew | 0.33 | -0.68 |
| Kurtosis | 8.98 | 5.14 |
| Ulcer Performance Index | 8.86 | 0.85 |
| Risk-Adjusted Return | 11.91% | 2.73% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.82% | 0.83% |
| Avg. Loss | -0.86% | -0.94% |
| Win/Loss Ratio | 0.96 | 0.89 |
| Profit Ratio | 0.86 | 0.65 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.21% |
| Expected Yearly | 9.77% | 2.16% |
| Kelly Criterion | 5.02% | 2.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.86% |
| Expected Shortfall (cVaR) | -2.58% | -2.8% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.04 |
| Gain/Pain (1M) | 0.79 | 0.17 |
| Payoff Ratio | 0.96 | 0.89 |
| Profit Factor | 1.14 | 1.04 |
| Common Sense Ratio | 1.15 | 0.87 |
| CPC Index | 0.59 | 0.5 |
| Tail Ratio | 1.0 | 0.83 |
| Outlier Win Ratio | 3.4 | 3.78 |
| Outlier Loss Ratio | 3.8 | 3.8 |
| MTD | 1.47% | 1.3% |
| 3M | 1.46% | 0.6% |
| 6M | 6.94% | 6.35% |
| YTD | 13.33% | 8.32% |
| 1Y | 13.43% | 9.35% |
| 3Y (ann.) | 20.78% | 10.64% |
| 5Y (ann.) | 12.86% | 3.9% |
| 10Y (ann.) | 11.91% | 2.62% |
| All-time (ann.) | 11.91% | 2.62% |
| Best Day | 10.5% | 5.71% |
| Worst Day | -5.85% | -8.0% |
| Best Month | 10.51% | 11.25% |
| Worst Month | -9.24% | -15.42% |
| Best Year | 26.18% | 24.74% |
| Worst Year | -18.18% | -29.76% |
| Avg. Drawdown | -1.94% | -4.48% |
| Avg. Drawdown Days | 21 | 73 |
| Recovery Factor | 2.58 | 0.6 |
| Ulcer Index | 0.08 | 0.16 |
| Serenity Index | 0.43 | 0.05 |
| Avg. Up Month | 4.1% | 4.3% |
| Avg. Down Month | -3.53% | -5.03% |
| Win Days | 53.48% | 53.96% |
| Win Month | 62.3% | 55.74% |
| Win Quarter | 71.43% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.88 |
| Alpha | - | -0.07 |
| Correlation | - | 83.6% |
| Treynor Ratio | - | 15.56% |
| Year | SPY | VOLSX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 1.13 | 0.66 | - |
| 2022 | -18.18 | -29.76 | 1.64 | - |
| 2023 | 26.18 | 24.74 | 0.94 | - |
| 2024 | 24.89 | 15.21 | 0.61 | - |
| 2025 | 17.72 | 2.83 | 0.16 | - |
| 2026 | 13.33 | 8.32 | 0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-04 | 2024-10-11 | -35.10 | 1012 |
| 2024-12-09 | 2026-01-09 | -24.06 | 397 |
| 2026-01-13 | 2026-04-29 | -12.37 | 107 |
| 2024-10-21 | 2024-11-05 | -6.18 | 16 |
| 2021-11-09 | 2021-12-23 | -5.74 | 45 |
| 2026-06-05 | 2026-07-02 | -4.31 | 28 |
| 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 |
| 2024-11-12 | 2024-11-22 | -2.14 | 11 |