| Metric | SPY | RHSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 14.81% | 9.9% |
| CAGR﹪ | 15.07% | 10.06% |
| Sharpe | 0.87 | 0.36 |
| Prob. Sharpe Ratio | 80.5% | 63.8% |
| Smart Sharpe | 0.86 | 0.34 |
| Sortino | 1.27 | 0.49 |
| Smart Sortino | 1.26 | 0.47 |
| Sortino/√2 | 0.9 | 0.35 |
| Smart Sortino/√2 | 0.89 | 0.33 |
| Omega | 1.21 | 1.09 |
| 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.) | 12.91% | 26.06% |
| R^2 | 0.79 | 0.79 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.7 | 0.42 |
| Skew | -0.03 | -0.33 |
| Kurtosis | 0.75 | 1.3 |
| Ulcer Performance Index | 6.86 | 1.38 |
| Risk-Adjusted Return | 15.07% | 10.17% |
| Risk-Return Ratio | 0.07 | 0.03 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.71% | 1.32% |
| Avg. Loss | -0.67% | -1.38% |
| Win/Loss Ratio | 1.06 | 0.96 |
| Profit Ratio | 0.99 | 0.81 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.07% | 0.73% |
| Expected Yearly | 7.15% | 4.83% |
| Kelly Criterion | 7.61% | 3.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.65% |
| Expected Shortfall (cVaR) | -1.66% | -3.55% |
| Max Consecutive Wins | 7 | 10 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.21 | 0.09 |
| Gain/Pain (1M) | 1.88 | 0.45 |
| Payoff Ratio | 1.06 | 0.96 |
| Profit Factor | 1.21 | 1.09 |
| Common Sense Ratio | 1.2 | 0.95 |
| CPC Index | 0.67 | 0.55 |
| Tail Ratio | 0.99 | 0.88 |
| Outlier Win Ratio | 2.84 | 2.98 |
| Outlier Loss Ratio | 2.98 | 3.14 |
| MTD | 1.47% | -0.43% |
| 3M | 1.46% | 1.96% |
| 6M | 6.94% | 11.02% |
| YTD | 13.33% | 8.02% |
| 1Y | 14.81% | 9.9% |
| 3Y (ann.) | 15.07% | 10.06% |
| 5Y (ann.) | 15.07% | 10.06% |
| 10Y (ann.) | 15.07% | 10.06% |
| All-time (ann.) | 15.07% | 10.06% |
| Best Day | 2.91% | 5.92% |
| Worst Day | -2.58% | -5.74% |
| Best Month | 10.51% | 17.48% |
| Worst Month | -4.94% | -16.81% |
| Best Year | 13.33% | 8.02% |
| Worst Year | 1.31% | 1.74% |
| Avg. Drawdown | -1.72% | -4.45% |
| Avg. Drawdown Days | 13 | 20 |
| Recovery Factor | 1.65 | 0.54 |
| Ulcer Index | 0.02 | 0.07 |
| Serenity Index | 0.96 | 0.16 |
| Avg. Up Month | 4.72% | 8.72% |
| Avg. Down Month | -2.92% | -10.69% |
| Win Days | 52.42% | 52.87% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.8 |
| Alpha | - | -0.14 |
| Correlation | - | 89.15% |
| Treynor Ratio | - | 5.5% |
| Year | SPY | RHSAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | 1.74 | 1.33 | + |
| 2026 | 13.33 | 8.02 | 0.60 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-12 | 2026-05-22 | -23.72 | 131 |
| 2026-10-07 | 2026-11-04 | -9.63 | 29 |
| 2025-11-13 | 2025-12-10 | -9.25 | 28 |
| 2026-06-03 | 2026-08-03 | -7.45 | 62 |
| 2026-09-14 | 2026-09-18 | -4.68 | 5 |
| 2025-12-12 | 2025-12-19 | -3.87 | 8 |
| 2026-08-14 | 2026-09-02 | -3.32 | 20 |
| 2025-11-06 | 2025-11-07 | -2.71 | 2 |
| 2026-09-23 | 2026-10-02 | -1.99 | 10 |
| 2026-09-04 | 2026-09-10 | -1.24 | 7 |