| Metric | SPY | RHSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 98.41% | 41.05% |
| CAGR﹪ | 16.49% | 7.96% |
| Sharpe | 0.74 | 0.26 |
| Prob. Sharpe Ratio | 94.25% | 70.94% |
| Smart Sharpe | 0.71 | 0.25 |
| Sortino | 1.08 | 0.36 |
| Smart Sortino | 1.04 | 0.35 |
| Sortino/√2 | 0.76 | 0.25 |
| Smart Sortino/√2 | 0.74 | 0.24 |
| Omega | 1.2 | 1.08 |
| Max Drawdown | -18.76% | -40.26% |
| Max DD Date | 2025-04-08 | 2025-04-08 |
| Max DD Period Start | 2025-02-20 | 2024-07-17 |
| Max DD Period End | 2025-06-25 | 2025-10-24 |
| Longest DD Days | 289 | 587 |
| Volatility (ann.) | 16.8% | 25.63% |
| R^2 | 0.84 | 0.84 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.88 | 0.2 |
| Skew | 0.44 | -0.3 |
| Kurtosis | 10.85 | 11.58 |
| Ulcer Performance Index | 20.12 | 3.57 |
| Risk-Adjusted Return | 16.49% | 8.3% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.82% | 1.19% |
| Avg. Loss | -0.81% | -1.27% |
| Win/Loss Ratio | 1.01 | 0.94 |
| Profit Ratio | 0.84 | 0.72 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.63% |
| Expected Yearly | 14.69% | 7.12% |
| Kelly Criterion | 9.16% | 3.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.67% | -2.61% |
| Expected Shortfall (cVaR) | -2.55% | -4.1% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.2 | 0.08 |
| Gain/Pain (1M) | 1.24 | 0.41 |
| Payoff Ratio | 1.01 | 0.94 |
| Profit Factor | 1.2 | 1.08 |
| Common Sense Ratio | 1.24 | 0.97 |
| CPC Index | 0.66 | 0.54 |
| Tail Ratio | 1.03 | 0.9 |
| Outlier Win Ratio | 3.51 | 3.37 |
| Outlier Loss Ratio | 3.94 | 3.79 |
| MTD | 1.47% | -0.43% |
| 3M | 1.46% | 1.96% |
| 6M | 6.94% | 11.02% |
| YTD | 13.33% | 8.02% |
| 1Y | 13.84% | 7.79% |
| 3Y (ann.) | 21.0% | 12.87% |
| 5Y (ann.) | 16.49% | 7.96% |
| 10Y (ann.) | 16.49% | 7.96% |
| All-time (ann.) | 16.49% | 7.96% |
| Best Day | 10.5% | 14.94% |
| Worst Day | -5.85% | -11.36% |
| Best Month | 10.51% | 17.48% |
| Worst Month | -9.24% | -16.81% |
| Best Year | 26.18% | 23.76% |
| Worst Year | -5.96% | -17.24% |
| Avg. Drawdown | -2.01% | -4.72% |
| Avg. Drawdown Days | 17 | 44 |
| Recovery Factor | 3.99 | 1.22 |
| Ulcer Index | 0.05 | 0.11 |
| Serenity Index | 1.33 | 0.27 |
| Avg. Up Month | 4.45% | 5.63% |
| Avg. Down Month | -3.7% | -6.62% |
| Win Days | 54.3% | 53.09% |
| Win Month | 65.45% | 58.18% |
| Win Quarter | 73.68% | 57.89% |
| Win Year | 80.0% | 80.0% |
| Beta | - | 1.4 |
| Alpha | - | -0.12 |
| Correlation | - | 91.65% |
| Treynor Ratio | - | 29.37% |
| Year | SPY | RHSAX | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -5.96 | -17.24 | 2.89 | - |
| 2023 | 26.18 | 23.76 | 0.91 | - |
| 2024 | 24.89 | 14.28 | 0.57 | - |
| 2025 | 18.15 | 11.57 | 0.64 | - |
| 2026 | 13.33 | 8.02 | 0.60 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-17 | 2025-10-24 | -40.26 | 465 |
| 2026-01-12 | 2026-05-22 | -23.72 | 131 |
| 2022-05-05 | 2023-12-12 | -22.91 | 587 |
| 2025-10-30 | 2026-01-02 | -11.90 | 65 |
| 2026-10-07 | 2026-11-04 | -9.63 | 29 |
| 2024-03-28 | 2024-06-11 | -8.20 | 76 |
| 2026-06-03 | 2026-08-03 | -7.45 | 62 |
| 2026-09-14 | 2026-09-18 | -4.68 | 5 |
| 2023-12-28 | 2024-01-11 | -3.69 | 15 |
| 2022-05-02 | 2022-05-03 | -3.36 | 2 |