| Metric | SPY | RHSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 18.3% | 19.52% |
| CAGR﹪ | 18.62% | 19.86% |
| Sharpe | 1.07 | 0.67 |
| Prob. Sharpe Ratio | 85.46% | 74.56% |
| Smart Sharpe | 1.04 | 0.67 |
| Sortino | 1.56 | 0.94 |
| Smart Sortino | 1.52 | 0.93 |
| Sortino/√2 | 1.1 | 0.66 |
| Smart Sortino/√2 | 1.07 | 0.66 |
| Omega | 1.26 | 1.15 |
| Max Drawdown | -8.88% | -23.72% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-01-12 |
| Max DD Period End | 2026-04-13 | 2026-05-22 |
| Longest DD Days | 76 | 131 |
| Volatility (ann.) | 13.04% | 26.16% |
| R^2 | 0.8 | 0.8 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 2.1 | 0.84 |
| Skew | -0.16 | -0.36 |
| Kurtosis | 1.03 | 1.35 |
| Ulcer Performance Index | 8.48 | 2.69 |
| Risk-Adjusted Return | 18.62% | 20.27% |
| Risk-Return Ratio | 0.09 | 0.05 |
| Avg. Return | 0.07% | 0.09% |
| Avg. Win | 0.7% | 1.34% |
| Avg. Loss | -0.68% | -1.39% |
| Win/Loss Ratio | 1.03 | 0.96 |
| Profit Ratio | 0.91 | 0.8 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.3% | 1.38% |
| Expected Yearly | 8.77% | 9.32% |
| Kelly Criterion | 9.54% | 5.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.62% |
| Expected Shortfall (cVaR) | -1.72% | -3.62% |
| Max Consecutive Wins | 7 | 10 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.26 | 0.15 |
| Gain/Pain (1M) | 2.66 | 0.81 |
| Payoff Ratio | 1.03 | 0.96 |
| Profit Factor | 1.26 | 1.15 |
| Common Sense Ratio | 1.25 | 1.04 |
| CPC Index | 0.7 | 0.59 |
| Tail Ratio | 0.99 | 0.91 |
| Outlier Win Ratio | 2.88 | 2.94 |
| Outlier Loss Ratio | 3.16 | 3.33 |
| MTD | 1.08% | 6.46% |
| 3M | 3.82% | 7.94% |
| 6M | 19.85% | 38.65% |
| YTD | 14.3% | 15.97% |
| 1Y | 18.3% | 19.52% |
| 3Y (ann.) | 18.62% | 19.86% |
| 5Y (ann.) | 18.62% | 19.86% |
| 10Y (ann.) | 18.62% | 19.86% |
| All-time (ann.) | 18.62% | 19.86% |
| Best Day | 2.91% | 5.92% |
| Worst Day | -2.7% | -5.74% |
| Best Month | 10.51% | 17.48% |
| Worst Month | -4.94% | -16.81% |
| Best Year | 14.3% | 15.97% |
| Worst Year | 3.5% | 3.06% |
| Avg. Drawdown | -1.69% | -4.62% |
| Avg. Drawdown Days | 13 | 23 |
| Recovery Factor | 1.99 | 0.89 |
| Ulcer Index | 0.02 | 0.07 |
| Serenity Index | 1.19 | 0.26 |
| Avg. Up Month | 3.73% | 7.57% |
| Avg. Down Month | -4.94% | -16.81% |
| Win Days | 54.03% | 53.5% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.79 |
| Alpha | - | -0.11 |
| Correlation | - | 89.42% |
| Treynor Ratio | - | 10.88% |
| Year | SPY | RHSAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | 3.06 | 0.87 | - |
| 2026 | 14.30 | 15.97 | 1.12 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-12 | 2026-05-22 | -23.72 | 131 |
| 2025-10-30 | 2026-01-02 | -11.90 | 65 |
| 2026-06-03 | 2026-08-03 | -7.45 | 62 |
| 2025-10-09 | 2025-10-17 | -4.81 | 9 |
| 2026-09-14 | 2026-09-18 | -4.68 | 5 |
| 2026-08-14 | 2026-09-02 | -3.32 | 20 |
| 2025-09-24 | 2025-10-01 | -2.31 | 8 |
| 2025-10-21 | 2025-10-24 | -2.03 | 4 |
| 2026-09-04 | 2026-09-10 | -1.24 | 7 |
| 2025-10-07 | 2025-10-07 | -1.18 | 1 |