| Metric | SPY | RINF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 74.99% | 27.27% |
| CAGR﹪ | 11.91% | 4.97% |
| Sharpe | 0.52 | 0.14 |
| Prob. Sharpe Ratio | 87.6% | 62.42% |
| Smart Sharpe | 0.5 | 0.14 |
| Sortino | 0.74 | 0.21 |
| Smart Sortino | 0.72 | 0.21 |
| Sortino/√2 | 0.53 | 0.15 |
| Smart Sortino/√2 | 0.51 | 0.15 |
| Omega | 1.14 | 1.09 |
| Max Drawdown | -24.5% | -13.58% |
| Max DD Date | 2022-10-12 | 2023-02-03 |
| Max DD Period Start | 2022-01-04 | 2022-10-25 |
| Max DD Period End | 2023-12-12 | 2023-10-17 |
| Longest DD Days | 708 | 445 |
| Volatility (ann.) | 17.19% | 12.24% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.37 |
| Skew | 0.33 | 0.21 |
| Kurtosis | 8.98 | 4.18 |
| Ulcer Performance Index | 8.86 | 5.53 |
| Risk-Adjusted Return | 11.91% | 4.97% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.81% | 0.5% |
| Avg. Loss | -0.85% | -0.59% |
| Win/Loss Ratio | 0.96 | 0.84 |
| Profit Ratio | 0.86 | 0.9 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.4% |
| Expected Yearly | 9.77% | 4.1% |
| Kelly Criterion | 4.82% | -4.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.25% |
| Expected Shortfall (cVaR) | -2.58% | -1.91% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 10 |
| Gain/Pain Ratio | 0.14 | 0.09 |
| Gain/Pain (1M) | 0.79 | 0.53 |
| Payoff Ratio | 0.96 | 0.84 |
| Profit Factor | 1.14 | 1.09 |
| Common Sense Ratio | 1.15 | 1.1 |
| CPC Index | 0.58 | 0.48 |
| Tail Ratio | 1.0 | 1.01 |
| Outlier Win Ratio | 3.4 | 4.79 |
| Outlier Loss Ratio | 3.8 | 4.38 |
| MTD | 1.47% | -0.49% |
| 3M | 1.46% | -0.74% |
| 6M | 6.94% | 0.57% |
| YTD | 13.33% | 2.32% |
| 1Y | 13.43% | 2.79% |
| 3Y (ann.) | 20.78% | 3.3% |
| 5Y (ann.) | 12.86% | 5.17% |
| 10Y (ann.) | 11.91% | 4.97% |
| All-time (ann.) | 11.91% | 4.97% |
| Best Day | 10.5% | 4.04% |
| Worst Day | -5.85% | -3.34% |
| Best Month | 10.51% | 13.15% |
| Worst Month | -9.24% | -5.92% |
| Best Year | 26.18% | 9.79% |
| Worst Year | -18.18% | 0.21% |
| Avg. Drawdown | -1.94% | -3.64% |
| Avg. Drawdown Days | 21 | 80 |
| Recovery Factor | 2.58 | 2.05 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.43 | 0.42 |
| Avg. Up Month | 3.92% | 2.13% |
| Avg. Down Month | -3.72% | -2.55% |
| Win Days | 53.48% | 52.05% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.07 |
| Alpha | - | 0.05 |
| Correlation | - | 10.38% |
| Treynor Ratio | - | 368.78% |
| Year | SPY | RINF | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 2.26 | 1.31 | + |
| 2022 | -18.18 | 8.77 | -0.48 | + |
| 2023 | 26.18 | 0.21 | 0.01 | - |
| 2024 | 24.89 | 9.79 | 0.39 | - |
| 2025 | 17.72 | 1.64 | 0.09 | - |
| 2026 | 13.33 | 2.32 | 0.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-25 | 2023-10-17 | -13.58 | 358 |
| 2022-06-06 | 2022-10-19 | -10.60 | 136 |
| 2023-10-20 | 2025-01-06 | -9.62 | 445 |
| 2021-11-16 | 2022-03-01 | -8.20 | 106 |
| 2022-04-22 | 2022-06-02 | -7.49 | 42 |
| 2025-02-04 | 2025-05-13 | -4.51 | 99 |
| 2022-03-15 | 2022-04-08 | -4.40 | 25 |
| 2022-03-03 | 2022-03-07 | -3.18 | 5 |
| 2022-04-12 | 2022-04-13 | -3.08 | 2 |
| 2025-07-18 | 2026-04-29 | -2.60 | 286 |