Stratyrise · Risk & Statistics
Risk & statistics
Dec 2024 — 28 May 2026 · 18 active months · Source: Interactive Brokers PortfolioAnalyst
Sharpe ratio
1.57
vs SPX 0.89Sortino ratio
3.99
vs SPX 2.32Alpha vs S&P 500
+25.10%
AnnualisedBeta vs S&P 500
−0.28
Low correlationWin rate (months)
77.8%
14 of 18 monthsAnnualised return
+20.65%
vs SPX +15.87%Annualised volatility
10.94%
vs SPX 13.78%Max drawdown
−6.90%
vs SPX −7.95%RETURN METRICS
RISK METRICS
| Return since inception | +34.80% | TWR, IB confirmed |
| Annualised return | +20.65% | Based on 18 months |
| Annualised volatility | 10.94% | vs SPX 13.78% |
| Sharpe ratio | 1.57 | IB confirmed |
| Sortino ratio | 3.99 | vs SPX 2.32 |
| Calmar ratio | 2.99 | Return / max DD |
| Alpha vs SPX | +25.10% | Annualised |
| Beta vs SPX | −0.28 | Low correlation |
| Best month | +8.62% | Feb 2025 |
| Worst month | −5.15% | Sep 2025 |
| Max drawdown | −6.90% | Peak to trough |
| Win rate (months) | 77.8% | 14 of 18 months |
| Avg winning month | +2.94% | |
| Avg losing month | −2.53% | |
| Win / loss ratio | 1.16× | |
| Downside deviation | 5.17% | Annualised |
| SPX since inception | +25.02% | IB confirmed |
| Outperformance | +9.78pp | vs SPX |
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 drop from a high point to a low point. It shows the worst-case loss an investor could have experienced.
All statistics calculated from Interactive Brokers PortfolioAnalyst monthly return data (Dec 2024–May 2026, 18 active months). Sharpe ratio sourced directly from IB report (1.57). 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.