Stratyrise · Risk & Statistics
Risk & statistics
Dec 2024 — Jun 2026 · 19 active months · Source: Interactive Brokers PortfolioAnalyst · Updated monthly
Sharpe ratio
1.69
vs SPX 0.80Sortino ratio
3.34
vs SPX 1.35Alpha vs S&P 500
+2.52%
IB confirmedBeta vs S&P 500
−0.27
Low correlationWin rate (months)
78.9%
15 of 19 monthsAnnualised return
+22.43%
vs SPX +15.87%Annualised volatility
10.71%
vs SPX 13.78%Max drawdown
−5.34%
Aug 2025 – Jan 2026RETURN METRICS
RISK METRICS
| Return since inception | +40.12% | TWR, IB confirmed |
| Annualised return | +22.43% | Based on 19 months |
| Annualised volatility | 10.71% | vs SPX 13.68% |
| Sharpe ratio | 1.69 | IB confirmed |
| Sortino ratio | 3.34 | IB confirmed |
| Calmar ratio | — | Not reported by IB |
| Alpha vs SPX | +2.52% | IB confirmed (0.21% monthly × 12) |
| Beta vs SPX | −0.27 | Low correlation |
| Best month | +8.62% | Feb 2025 |
| Worst month | −5.15% | Worst single month · Sep 2025 |
| Max drawdown | −5.34% | Aug 2025–Jan 2026 · IB confirmed |
| Win rate (months) | 78.9% | 15 of 20 months |
| Avg winning month | +2.99% | |
| Avg losing month | −2.53% | |
| Win / loss ratio | 1.18× | |
| Downside deviation | 5.44% | IB 1.57% × √12 |
| SPX since inception | +23.96% | IB confirmed |
| TWR outperformance | +16.16pp | vs SPX since inception (TWR diff) |
Metric definitions
Sharpe ratio
How much return you earn for each unit of risk taken. A higher number means better returns relative to risk.
Sortino ratio
Like the Sharpe ratio, but only counts the bad volatility — losses. A high Sortino means gains are steady and losses are rare.
Alpha
The extra return earned above what the market itself delivered. Positive alpha means the portfolio outperformed the index.
Beta
How closely the portfolio moves with the market. A beta near zero means performance is largely independent of market swings.
Calmar ratio
Return earned compared to the worst loss period. A higher number means strong gains with limited downside risk.
Max drawdown
The biggest cumulative drop from a peak to a trough (−5.34%), occurring Aug 2025 – Jan 2026, with recovery in 4 months. IB confirmed.
All statistics calculated from Interactive Brokers PortfolioAnalyst monthly return data (Dec 2024–Jun 2026, 19 active months). Sharpe ratio 1.69 sourced directly from IB report (monthly frequency). Sortino, Alpha, Beta, Calmar and volatility calculated from IB monthly data. Past performance is not indicative of future results. For informational purposes only. Not investment advice. Updated monthly.