| Metric | SPY | VOLSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 86.58% | 23.29% |
| CAGR﹪ | 13.36% | 4.3% |
| Sharpe | 0.59 | 0.11 |
| Prob. Sharpe Ratio | 90.85% | 60.01% |
| Smart Sharpe | 0.58 | 0.11 |
| Sortino | 0.86 | 0.15 |
| Smart Sortino | 0.83 | 0.15 |
| Sortino/√2 | 0.61 | 0.11 |
| Smart Sortino/√2 | 0.59 | 0.11 |
| Omega | 1.16 | 1.06 |
| 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.) | 17.2% | 18.13% |
| R^2 | 0.7 | 0.7 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.55 | 0.12 |
| Skew | 0.32 | -0.7 |
| Kurtosis | 8.95 | 5.15 |
| Ulcer Performance Index | 10.24 | 1.45 |
| Risk-Adjusted Return | 13.36% | 4.48% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.82% | 0.83% |
| Avg. Loss | -0.86% | -0.94% |
| Win/Loss Ratio | 0.95 | 0.88 |
| Profit Ratio | 0.83 | 0.63 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.34% |
| Expected Yearly | 10.95% | 3.55% |
| Kelly Criterion | 5.6% | 2.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.86% |
| Expected Shortfall (cVaR) | -2.58% | -2.81% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.06 |
| Gain/Pain (1M) | 0.87 | 0.24 |
| Payoff Ratio | 0.95 | 0.88 |
| Profit Factor | 1.16 | 1.06 |
| Common Sense Ratio | 1.17 | 0.89 |
| CPC Index | 0.59 | 0.51 |
| Tail Ratio | 1.01 | 0.84 |
| Outlier Win Ratio | 3.41 | 3.78 |
| Outlier Loss Ratio | 3.77 | 3.79 |
| MTD | 1.08% | 0.68% |
| 3M | 3.82% | 3.66% |
| 6M | 19.85% | 19.7% |
| YTD | 14.3% | 10.07% |
| 1Y | 17.78% | 14.58% |
| 3Y (ann.) | 24.86% | 15.42% |
| 5Y (ann.) | 13.06% | 3.78% |
| 10Y (ann.) | 13.36% | 4.3% |
| All-time (ann.) | 13.36% | 4.3% |
| 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 | -1.89% | -4.21% |
| Avg. Drawdown Days | 20 | 66 |
| Recovery Factor | 2.85 | 0.83 |
| Ulcer Index | 0.08 | 0.16 |
| Serenity Index | 0.47 | 0.06 |
| Avg. Up Month | 4.17% | 4.39% |
| Avg. Down Month | -3.69% | -5.23% |
| Win Days | 54.04% | 54.46% |
| Win Month | 63.93% | 57.38% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.88 |
| Alpha | - | -0.06 |
| Correlation | - | 83.57% |
| Treynor Ratio | - | 26.44% |
| Year | SPY | VOLSX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 7.92 | 1.05 | + |
| 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 | 14.30 | 10.07 | 0.70 | - |
| 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 |
| 2021-11-19 | 2021-12-23 | -5.74 | 35 |
| 2026-06-05 | 2026-07-02 | -4.31 | 28 |
| 2026-07-16 | 2026-08-03 | -4.29 | 19 |
| 2021-09-27 | 2021-10-13 | -4.04 | 17 |
| 2026-08-14 | 2026-09-18 | -2.43 | 36 |
| 2024-11-12 | 2024-11-22 | -2.14 | 11 |