Resilient Asset Allocation (Compounded)

28 Feb, 1993 - 31 Jul, 2026 (matched dates)

Key Performance Metrics

Metric	SPY	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	2,964.41%	2,136.45%
CAGR﹪	10.76%	9.72%
Sharpe	0.77	1.12
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	0.73	1.07
Sortino	1.18	2.0
Smart Sortino	1.13	1.91
Sortino/√2	0.84	1.41
Smart Sortino/√2	0.8	1.35
Omega	1.76	2.33
Max Drawdown	-50.78%	-22.68%
Max DD Date	2009-02-28	2022-09-30
Max DD Period Start	2007-11-30	2021-01-31
Max DD Period End	2012-02-29	2025-07-31
Longest DD Days	2223	1643
Volatility (ann.)	14.76%	8.65%
R^2	0.25	0.25
Information Ratio	-0.04	-0.04
Calmar	0.21	0.43
Skew	-0.55	-0.04
Kurtosis	0.98	1.48
Ulcer Performance Index	211.25	453.78
Risk-Adjusted Return	754.56%	601.44%
Risk-Return Ratio	0.22	0.32
Avg. Return	0.95%	0.81%
Avg. Win	3.54%	2.2%
Avg. Loss	-4.23%	-2.29%
Win/Loss Ratio	0.84	0.96
Profit Ratio	0.5	0.56
Expected Daily	0.85%	0.78%
Expected Monthly	0.85%	0.78%
Expected Yearly	10.59%	9.57%
Kelly Criterion	23.42%	33.09%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.06%	-3.3%
Expected Shortfall (cVaR)	-8.96%	-4.55%
Max Consecutive Wins	15	12
Max Consecutive Losses	5	4
Gain/Pain Ratio	0.76	1.33
Gain/Pain (1M)	0.76	1.33
Payoff Ratio	0.84	0.96
Profit Factor	1.76	2.33
Common Sense Ratio	1.85	3.16
CPC Index	0.96	1.51
Tail Ratio	1.05	1.36
Outlier Win Ratio	2.95	3.56
Outlier Loss Ratio	2.93	2.82
MTD	-1.05%	-2.13%
3M	13.91%	-1.72%
6M	8.94%	0.07%
YTD	8.94%	0.07%
1Y	20.92%	12.3%
3Y (ann.)	18.77%	6.42%
5Y (ann.)	12.51%	2.58%
10Y (ann.)	15.13%	4.88%
All-time (ann.)	10.76%	9.72%
Best Day	12.7%	11.03%
Worst Day	-16.52%	-8.56%
Best Month	12.7%	11.03%
Worst Month	-16.52%	-8.56%
Best Year	38.05%	27.72%
Worst Year	-36.79%	-18.68%
Avg. Drawdown	-6.27%	-2.76%
Avg. Drawdown Days	122	87
Recovery Factor	7.49	14.3
Ulcer Index	0.14	0.05
Serenity Index	3.21	12.34
Avg. Up Month	3.54%	2.2%
Avg. Down Month	-4.23%	-2.29%
Win Days	65.09%	67.16%
Win Month	65.09%	67.16%
Win Quarter	73.33%	75.56%
Win Year	82.35%	85.29%
Beta	-	0.29
Alpha	-	0.06
Correlation	-	49.6%
Treynor Ratio	-	7351.89%