| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 372.59% | 7,584.17% |
| CAGR﹪ | 13.8% | 43.67% |
| Sharpe | 0.83 | 1.4 |
| Prob. Sharpe Ratio | 99.77% | 100.0% |
| Smart Sharpe | 0.7 | 1.18 |
| Sortino | 1.17 | 2.91 |
| Smart Sortino | 0.99 | 2.46 |
| Sortino/√2 | 0.83 | 2.06 |
| Smart Sortino/√2 | 0.7 | 1.74 |
| Omega | 1.65 | 1.65 |
| Max Drawdown | -33.72% | -16.8% |
| Longest DD Days | 708 | 183 |
| Volatility (ann.) | 17.47% | 28.63% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 0.41 | 2.6 |
| Skew | -0.3 | 5.73 |
| Kurtosis | 14.05 | 88.43 |
| Expected Daily | 0.05% | 0.14% |
| Expected Monthly | 1.08% | 3.04% |
| Expected Yearly | 12.69% | 39.65% |
| Kelly Criterion | 5.81% | 16.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.75% | -2.81% |
| Expected Shortfall (cVaR) | -1.75% | -2.81% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | 0.17 | 0.65 |
| Gain/Pain (1M) | 1.09 | 6.68 |
| Payoff Ratio | 0.92 | 1.23 |
| Profit Factor | 1.17 | 1.65 |
| Common Sense Ratio | 1.11 | 2.44 |
| CPC Index | 0.59 | 1.1 |
| Tail Ratio | 0.95 | 1.48 |
| Outlier Win Ratio | 6.23 | 5.91 |
| Outlier Loss Ratio | 4.33 | 5.99 |
| MTD | 0.41% | 0.17% |
| 3M | 2.38% | 10.19% |
| 6M | 13.81% | 14.62% |
| YTD | 13.54% | 10.63% |
| 1Y | 20.97% | 13.06% |
| 3Y (ann.) | 24.05% | 38.43% |
| 5Y (ann.) | 14.14% | 25.98% |
| 10Y (ann.) | 15.24% | 46.31% |
| All-time (ann.) | 13.8% | 43.67% |
| Best Day | 10.5% | 31.85% |
| Worst Day | -10.94% | -14.45% |
| Best Month | 12.7% | 44.04% |
| Worst Month | -12.49% | -7.94% |
| Best Year | 31.22% | 189.68% |
| Worst Year | -18.17% | 4.39% |
| Avg. Drawdown | -1.65% | -1.71% |
| Avg. Drawdown Days | 16 | 12 |
| Recovery Factor | 5.15 | 28.6 |
| Ulcer Index | 0.07 | 0.03 |
| Serenity Index | 2.2 | 56.31 |
| Avg. Up Month | 3.53% | 4.66% |
| Avg. Down Month | -3.88% | -2.37% |
| Win Days | 54.87% | 54.1% |
| Win Month | 68.97% | 73.79% |
| Win Quarter | 77.55% | 87.76% |
| Win Year | 84.62% | 100.0% |
| Beta | - | 0.45 |
| Alpha | - | 0.34 |
| Correlation | - | 27.2% |
| Treynor Ratio | - | 17009.26% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 4.17 | 31.86 | 7.64 | + |
| 2015 | 1.24 | 10.17 | 8.22 | + |
| 2016 | 12.00 | 24.53 | 2.04 | + |
| 2017 | 21.71 | 25.43 | 1.17 | + |
| 2018 | -4.57 | 73.74 | -16.14 | + |
| 2019 | 31.22 | 51.42 | 1.65 | + |
| 2020 | 18.34 | 189.68 | 10.35 | + |
| 2021 | 28.73 | 55.57 | 1.93 | + |
| 2022 | -18.17 | 4.39 | -0.24 | + |
| 2023 | 26.18 | 27.12 | 1.04 | + |
| 2024 | 24.89 | 58.89 | 2.37 | + |
| 2025 | 17.72 | 22.45 | 1.27 | + |
| 2026 | 13.54 | 10.63 | 0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-04-01 | 2025-04-08 | -16.80 | 8 |
| 2015-01-27 | 2015-02-05 | -15.13 | 10 |
| 2014-12-09 | 2014-12-10 | -14.45 | 2 |
| 2021-12-30 | 2022-05-31 | -14.14 | 153 |
| 2015-02-12 | 2015-02-12 | -13.73 | 1 |
| 2014-09-22 | 2014-09-25 | -13.14 | 4 |
| 2015-07-14 | 2015-10-09 | -12.87 | 88 |
| 2026-02-06 | 2026-07-29 | -12.40 | 174 |
| 2018-12-04 | 2018-12-24 | -12.33 | 21 |
| 2017-05-30 | 2017-11-28 | -11.26 | 183 |
Report generated on September 04, 2026 at 05:31 PM EDT.
Analysis based on daily close prices. Calculations are based on 365.25 days per calendar year. Regulatory fees as well as a slippage of 0.05% included. For explanation of metrics, please check the Key Performance Metrics Glossary.
Copyright(c) Zehnlabs. All Rights Reserved.
Zehnvisor - Your AI Assistant Please wait while we get Zehnvisor on the line for you...
