Full Financial Crisis (2008-2009) | Strategy: 30.7% vs SPY: -20.1% | Alpha: 50.8%

2 Jan, 2008 - 31 Dec, 2009

Key Performance Metrics

Metric	SPY	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-20.14%	30.68%
CAGR﹪	-10.62%	14.28%
Sharpe	-0.15	1.62
Prob. Sharpe Ratio	41.64%	98.66%
Smart Sharpe	-0.14	1.57
Sortino	-0.21	2.39
Smart Sortino	-0.21	2.32
Sortino/√2	-0.15	1.69
Smart Sortino/√2	-0.15	1.64
Omega	1.35	1.35
Max Drawdown	-	-5.65%
Max DD Date	-	2009-03-10
Max DD Period Start	-	2008-12-31
Max DD Period End	-	2009-07-20
Longest DD Days	-	-
Volatility (ann.)	34.78%	8.47%
R^2	0.02	0.02
Information Ratio	0.03	0.03
Calmar	-0.2	2.53
Skew	0.42	-0.54
Kurtosis	7.13	5.95
Expected Daily	-0.04%	0.05%
Expected Monthly	-0.93%	1.12%
Expected Yearly	-10.64%	14.32%
Kelly Criterion	5.14%	11.74%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.62%	-0.82%
Expected Shortfall (cVaR)	-3.62%	-0.82%
Max Consecutive Wins	8	8
Max Consecutive Losses	7	7
Gain/Pain Ratio	-0.03	0.35
Gain/Pain (1M)	-0.15	4.7
Payoff Ratio	0.99	1.04
Profit Factor	0.97	1.35
Common Sense Ratio	0.96	1.56
CPC Index	0.51	0.77
Tail Ratio	0.99	1.16
Outlier Win Ratio	2.81	9.93
Outlier Loss Ratio	2.48	11.18
MTD	1.91%	4.15%
3M	5.7%	11.39%
6M	21.44%	22.0%
YTD	26.35%	20.53%
1Y	28.16%	20.11%
3Y (ann.)	-10.62%	14.28%
5Y (ann.)	-10.62%	14.28%
10Y (ann.)	-10.62%	14.28%
All-time (ann.)	-10.62%	14.28%
Best Day	14.52%	2.14%
Worst Day	-9.84%	-3.36%
Best Month	9.93%	6.23%
Worst Month	-16.52%	-2.59%
Best Year	26.35%	20.53%
Worst Year	-36.8%	8.42%
Avg. Drawdown	-	-1.03%
Avg. Drawdown Days	-	-
Recovery Factor	0.2	4.86
Ulcer Index	0.28	0.02
Serenity Index	-0.03	0.26
Avg. Up Month	4.94%	2.71%
Avg. Down Month	-8.99%	-1.03%
Win Days	52.87%	55.05%
Win Month	50.0%	70.83%
Win Quarter	37.5%	75.0%
Win Year	50.0%	100.0%
Beta	-	0.03
Alpha	-	0.14
Correlation	-	12.44%
Treynor Ratio	-	1012.49%