| Metric | SPY | RHSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 18.6% | 35.3% |
| CAGR﹪ | 40.67% | 83.06% |
| Sharpe | 2.32 | 2.47 |
| Prob. Sharpe Ratio | 95.04% | 96.04% |
| Smart Sharpe | 2.3 | 2.46 |
| Sortino | 3.78 | 3.98 |
| Smart Sortino | 3.75 | 3.97 |
| Sortino/√2 | 2.67 | 2.82 |
| Smart Sortino/√2 | 2.65 | 2.81 |
| Omega | 1.54 | 1.56 |
| Max Drawdown | -4.49% | -7.54% |
| Max DD Date | 2026-06-10 | 2026-03-30 |
| Max DD Period Start | 2026-06-03 | 2026-03-26 |
| Max DD Period End | 2026-07-31 | 2026-04-07 |
| Longest DD Days | 59 | 62 |
| Volatility (ann.) | 13.55% | 24.2% |
| R^2 | 0.82 | 0.82 |
| Information Ratio | 0.14 | 0.14 |
| Calmar | 9.05 | 11.01 |
| Skew | 0.1 | 0.12 |
| Kurtosis | 1.12 | 1.71 |
| Ulcer Performance Index | 11.86 | 14.21 |
| Risk-Adjusted Return | 40.67% | 83.9% |
| Risk-Return Ratio | 0.16 | 0.17 |
| Avg. Return | 0.15% | 0.26% |
| Avg. Win | 0.78% | 1.38% |
| Avg. Loss | -0.64% | -1.11% |
| Win/Loss Ratio | 1.23 | 1.24 |
| Profit Ratio | 1.12 | 0.82 |
| Expected Daily | 0.14% | 0.24% |
| Expected Monthly | 2.47% | 4.41% |
| Expected Yearly | 18.6% | 35.3% |
| Kelly Criterion | 16.56% | 22.66% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -2.26% |
| Expected Shortfall (cVaR) | -1.77% | -3.17% |
| Max Consecutive Wins | 7 | 10 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.56 |
| Gain/Pain (1M) | 10.92 | 5.54 |
| Payoff Ratio | 1.23 | 1.24 |
| Profit Factor | 1.54 | 1.56 |
| Common Sense Ratio | 2.01 | 1.53 |
| CPC Index | 1.02 | 1.1 |
| Tail Ratio | 1.3 | 0.99 |
| Outlier Win Ratio | 3.21 | 3.51 |
| Outlier Loss Ratio | 3.16 | 3.4 |
| MTD | 1.08% | 6.46% |
| 3M | 3.82% | 7.94% |
| 6M | 18.6% | 35.3% |
| YTD | 18.6% | 35.3% |
| 1Y | 18.6% | 35.3% |
| 3Y (ann.) | 40.67% | 83.06% |
| 5Y (ann.) | 40.67% | 83.06% |
| 10Y (ann.) | 40.67% | 83.06% |
| All-time (ann.) | 40.67% | 83.06% |
| Best Day | 2.91% | 5.92% |
| Worst Day | -2.58% | -4.17% |
| Best Month | 10.51% | 17.48% |
| Worst Month | -1.03% | -3.84% |
| Best Year | 18.6% | 35.3% |
| Worst Year | 18.6% | 35.3% |
| Avg. Drawdown | -1.13% | -2.31% |
| Avg. Drawdown Days | 9 | 9 |
| Recovery Factor | 3.9 | 4.21 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.75 | 3.42 |
| Avg. Up Month | 4.88% | 9.5% |
| Avg. Down Month | -0.77% | -3.84% |
| Win Days | 53.97% | 57.26% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.62 |
| Alpha | - | 0.07 |
| Correlation | - | 90.79% |
| Treynor Ratio | - | 21.76% |
| Year | SPY | RHSAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 35.30 | 1.90 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-26 | 2026-04-07 | -7.54 | 13 |
| 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 |
| 2026-09-04 | 2026-09-10 | -1.24 | 7 |
| 2026-04-20 | 2026-04-21 | -1.21 | 2 |
| 2026-04-28 | 2026-04-29 | -1.08 | 2 |
| 2026-05-07 | 2026-05-07 | -0.69 | 1 |
| 2026-03-24 | 2026-03-24 | -0.67 | 1 |