| Metric | SPY | VOLSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 153.88% | 46.56% |
| CAGR﹪ | 16.11% | 6.32% |
| Sharpe | 0.8 | 0.26 |
| Prob. Sharpe Ratio | 97.7% | 73.85% |
| Smart Sharpe | 0.77 | 0.25 |
| Sortino | 1.15 | 0.34 |
| Smart Sortino | 1.11 | 0.33 |
| Sortino/√2 | 0.81 | 0.24 |
| Smart Sortino/√2 | 0.79 | 0.24 |
| Omega | 1.19 | 1.08 |
| 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.) | 16.61% | 18.58% |
| R^2 | 0.7 | 0.7 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.66 | 0.18 |
| Skew | 0.2 | -0.98 |
| Kurtosis | 8.39 | 5.63 |
| Ulcer Performance Index | 20.16 | 3.22 |
| Risk-Adjusted Return | 16.11% | 6.58% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.8% | 0.84% |
| Avg. Loss | -0.84% | -0.98% |
| Win/Loss Ratio | 0.94 | 0.85 |
| Profit Ratio | 0.82 | 0.58 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.23% | 0.5% |
| Expected Yearly | 14.24% | 5.61% |
| Kelly Criterion | 6.37% | 4.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.66% | -1.89% |
| Expected Shortfall (cVaR) | -2.44% | -2.96% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.19 | 0.08 |
| Gain/Pain (1M) | 1.14 | 0.34 |
| Payoff Ratio | 0.94 | 0.85 |
| Profit Factor | 1.19 | 1.08 |
| Common Sense Ratio | 1.2 | 0.92 |
| CPC Index | 0.61 | 0.52 |
| Tail Ratio | 1.01 | 0.85 |
| Outlier Win Ratio | 3.4 | 3.69 |
| Outlier Loss Ratio | 3.86 | 3.76 |
| 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.) | 16.11% | 6.32% |
| All-time (ann.) | 16.11% | 6.32% |
| Best Day | 10.5% | 5.71% |
| Worst Day | -5.85% | -8.0% |
| Best Month | 10.88% | 11.25% |
| Worst Month | -9.24% | -15.42% |
| Best Year | 28.73% | 27.81% |
| Worst Year | -18.18% | -29.76% |
| Avg. Drawdown | -1.68% | -3.51% |
| Avg. Drawdown Days | 16 | 43 |
| Recovery Factor | 4.16 | 1.4 |
| Ulcer Index | 0.08 | 0.14 |
| Serenity Index | 0.77 | 0.13 |
| Avg. Up Month | 4.26% | 4.46% |
| Avg. Down Month | -3.38% | -5.07% |
| Win Days | 54.52% | 55.85% |
| Win Month | 64.47% | 57.89% |
| Win Quarter | 76.92% | 69.23% |
| Win Year | 85.71% | 85.71% |
| Beta | - | 0.94 |
| Alpha | - | -0.07 |
| Correlation | - | 83.61% |
| Treynor Ratio | - | 49.8% |
| Year | SPY | VOLSX | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 14.66 | 2.00 | 0.14 | - |
| 2021 | 28.73 | 27.81 | 0.97 | - |
| 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 |
| 2020-08-27 | 2021-01-07 | -13.20 | 134 |
| 2026-01-13 | 2026-04-29 | -12.37 | 107 |
| 2021-05-10 | 2021-06-25 | -8.66 | 47 |
| 2021-01-22 | 2021-02-23 | -8.18 | 33 |
| 2021-02-25 | 2021-03-25 | -6.90 | 29 |
| 2024-10-21 | 2024-11-05 | -6.18 | 16 |
| 2021-09-03 | 2021-10-19 | -5.98 | 47 |
| 2021-11-19 | 2021-12-23 | -5.74 | 35 |