SPY + 200 Day SMA
Holds the S&P 500 when it trades above its 200-day SMA and moves to short-term bonds when it falls below — a straightforward trend-following rule applied to the market's broadest benchmark.
Key Performance Metrics
Inception: 1993-01-29 | Last Updated: 2026-04-08| Metric | Portfolio | Benchmark |
|---|---|---|
| Ending Value | $137,242 | $175,007 |
| Total Contributions | $0 | $0 |
| Cumulative Return | 1,272.42% | 1,650.07% |
| CAGR | 7.91% | 8.67% |
| Volatility | 11.46% | 18.17% |
| Max Drawdown | -20.70% | -56.78% |
| Sharpe | 0.722 | 0.549 |
| Sortino | 0.857 | 0.699 |
| Calmar | 0.382 | 0.153 |
| Treynor | 0.220 | — |
| Information | -0.117 | — |
| Omega | 1.148 | 1.110 |
| Diversification | 1.000 | 1.000 |
| M² | 13.11% | — |
| Ulcer Index | 7.796 | 16.019 |
| UPI | 0.011 | 0.006 |
| Beta | 0.376 | — |
| Alpha | 4.52% | — |
| Fama French 6 Factor Alpha | 0.60% | -2.55% |
| Fama French 6 Factor Alpha t-stat | 0.395 | -13.066 |
| R² | 0.356 | — |
| Fama French 6 Factor R² | 0.405 | 0.995 |
| Fama French 6 Factor Adj. R² | 0.405 | 0.995 |
| Deflated Sharpe Ratio | 91.03% | 62.81% |
| Probabilistic Sharpe Ratio (> 0) | 100.00% | 99.95% |
| Probabilistic Sharpe Ratio | 87.00% | 12.76% |
| Minimum Track Record (> 0) | 5.4 yrs | 9.1 yrs |
| Minimum Track Record | 93.4 yrs | — |