| Metric | SPY | RDMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 14.39% | 10.41% |
| CAGR﹪ | 14.51% | 10.5% |
| Sharpe | 0.83 | 0.66 |
| Prob. Sharpe Ratio | 79.61% | 74.29% |
| Smart Sharpe | 0.82 | 0.63 |
| Sortino | 1.22 | 0.95 |
| Smart Sortino | 1.2 | 0.9 |
| Sortino/√2 | 0.86 | 0.67 |
| Smart Sortino/√2 | 0.85 | 0.64 |
| Omega | 1.2 | 1.18 |
| Max Drawdown | -8.88% | -6.14% |
| Max DD Date | 2026-03-30 | 2026-01-20 |
| Max DD Period Start | 2026-01-28 | 2025-11-13 |
| Max DD Period End | 2026-04-13 | 2026-03-02 |
| Longest DD Days | 76 | 110 |
| Volatility (ann.) | 12.86% | 10.4% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.63 | 1.71 |
| Skew | -0.02 | -0.19 |
| Kurtosis | 0.78 | 1.97 |
| Ulcer Performance Index | 6.68 | 4.35 |
| Risk-Adjusted Return | 14.51% | 10.71% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.7% | 0.6% |
| Avg. Loss | -0.69% | -0.59% |
| Win/Loss Ratio | 1.01 | 1.02 |
| Profit Ratio | 1.02 | 0.86 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.76% |
| Expected Yearly | 6.95% | 5.08% |
| Kelly Criterion | 4.47% | 7.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.04% |
| Expected Shortfall (cVaR) | -1.66% | -1.42% |
| Max Consecutive Wins | 7 | 12 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.18 |
| Gain/Pain (1M) | 1.83 | 2.49 |
| Payoff Ratio | 1.01 | 1.02 |
| Profit Factor | 1.2 | 1.18 |
| Common Sense Ratio | 1.19 | 1.26 |
| CPC Index | 0.63 | 0.64 |
| Tail Ratio | 0.99 | 1.06 |
| Outlier Win Ratio | 2.84 | 3.27 |
| Outlier Loss Ratio | 3.01 | 3.03 |
| MTD | 1.47% | 0.64% |
| 3M | 1.46% | 0.6% |
| 6M | 6.94% | 0.51% |
| YTD | 13.33% | 12.51% |
| 1Y | 14.39% | 10.41% |
| 3Y (ann.) | 14.51% | 10.5% |
| 5Y (ann.) | 14.51% | 10.5% |
| 10Y (ann.) | 14.51% | 10.5% |
| All-time (ann.) | 14.51% | 10.5% |
| Best Day | 2.91% | 2.26% |
| Worst Day | -2.58% | -2.96% |
| Best Month | 10.51% | 7.86% |
| Worst Month | -4.94% | -2.27% |
| Best Year | 13.33% | 12.51% |
| Worst Year | 0.94% | -1.86% |
| Avg. Drawdown | -1.74% | -2.35% |
| Avg. Drawdown Days | 14 | 29 |
| Recovery Factor | 1.61 | 1.7 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 0.56 |
| Avg. Up Month | 4.15% | 1.91% |
| Avg. Down Month | -0.75% | -0.19% |
| Win Days | 52.0% | 53.06% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.45 |
| Alpha | - | 0.04 |
| Correlation | - | 55.21% |
| Treynor Ratio | - | 23.32% |
| Year | SPY | RDMAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -1.86 | -1.98 | - |
| 2026 | 13.33 | 12.51 | 0.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-11-13 | 2026-03-02 | -6.14 | 110 |
| 2026-03-13 | 2026-04-06 | -4.61 | 25 |
| 2026-09-11 | 2026-11-04 | -4.16 | 55 |
| 2026-06-04 | 2026-07-14 | -2.78 | 41 |
| 2026-04-28 | 2026-05-28 | -2.52 | 31 |
| 2026-08-14 | 2026-09-09 | -1.97 | 27 |
| 2026-07-16 | 2026-08-12 | -1.85 | 28 |
| 2025-11-06 | 2025-11-07 | -0.98 | 2 |
| 2026-03-10 | 2026-03-10 | -0.63 | 1 |
| 2026-04-21 | 2026-04-21 | -0.13 | 1 |