| Metric | SPY | RHSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 6.48% | 9.59% |
| CAGR﹪ | 13.27% | 19.93% |
| Sharpe | 0.78 | 0.75 |
| Prob. Sharpe Ratio | 70.87% | 70.17% |
| Smart Sharpe | 0.75 | 0.74 |
| Sortino | 1.14 | 1.07 |
| Smart Sortino | 1.09 | 1.05 |
| Sortino/√2 | 0.8 | 0.76 |
| Smart Sortino/√2 | 0.77 | 0.74 |
| Omega | 1.19 | 1.16 |
| Max Drawdown | -4.49% | -9.63% |
| Max DD Date | 2026-06-10 | 2026-11-02 |
| Max DD Period Start | 2026-06-03 | 2026-10-07 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 62 |
| Volatility (ann.) | 12.4% | 22.88% |
| R^2 | 0.81 | 0.81 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 2.95 | 2.07 |
| Skew | -0.15 | -0.23 |
| Kurtosis | 0.59 | 0.9 |
| Ulcer Performance Index | 3.89 | 3.2 |
| Risk-Adjusted Return | 13.27% | 19.93% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.05% | 0.08% |
| Avg. Win | 0.7% | 1.23% |
| Avg. Loss | -0.63% | -1.15% |
| Win/Loss Ratio | 1.11 | 1.07 |
| Profit Ratio | 1.15 | 0.88 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 0.9% | 1.32% |
| Expected Yearly | 6.48% | 9.59% |
| Kelly Criterion | 5.79% | 9.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -2.29% |
| Expected Shortfall (cVaR) | -1.63% | -3.15% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | 0.16 |
| Gain/Pain (1M) | 3.26 | 1.54 |
| Payoff Ratio | 1.11 | 1.07 |
| Profit Factor | 1.19 | 1.16 |
| Common Sense Ratio | 1.47 | 1.03 |
| CPC Index | 0.67 | 0.66 |
| Tail Ratio | 1.23 | 0.89 |
| Outlier Win Ratio | 2.66 | 2.89 |
| Outlier Loss Ratio | 3.07 | 3.42 |
| MTD | 1.47% | -0.43% |
| 3M | 1.46% | 1.96% |
| 6M | 6.48% | 9.59% |
| YTD | 6.48% | 9.59% |
| 1Y | 6.48% | 9.59% |
| 3Y (ann.) | 13.27% | 19.93% |
| 5Y (ann.) | 13.27% | 19.93% |
| 10Y (ann.) | 13.27% | 19.93% |
| All-time (ann.) | 13.27% | 19.93% |
| Best Day | 1.8% | 4.58% |
| Worst Day | -2.58% | -4.17% |
| Best Month | 4.52% | 8.07% |
| Worst Month | -1.03% | -4.56% |
| Best Year | 6.48% | 9.59% |
| Worst Year | 6.48% | 9.59% |
| Avg. Drawdown | -1.57% | -3.0% |
| Avg. Drawdown Days | 17 | 13 |
| Recovery Factor | 1.48 | 1.09 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.91 | 0.65 |
| Avg. Up Month | 3.6% | 6.07% |
| Avg. Down Month | -0.91% | -4.56% |
| Win Days | 50.39% | 53.17% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.66 |
| Alpha | - | -0.01 |
| Correlation | - | 90.12% |
| Treynor Ratio | - | 5.77% |
| Year | SPY | RHSAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 9.59 | 1.48 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-10-07 | 2026-11-04 | -9.63 | 29 |
| 2026-06-03 | 2026-08-03 | -7.45 | 62 |
| 2026-09-14 | 2026-09-18 | -4.68 | 5 |
| 2026-08-14 | 2026-09-02 | -3.32 | 20 |
| 2026-05-15 | 2026-05-21 | -2.98 | 7 |
| 2026-09-23 | 2026-10-02 | -1.99 | 10 |
| 2026-09-04 | 2026-09-10 | -1.24 | 7 |
| 2026-05-07 | 2026-05-07 | -0.69 | 1 |
| 2026-08-11 | 2026-08-11 | -0.63 | 1 |
| 2026-08-05 | 2026-08-06 | -0.32 | 2 |