| Metric | SPY | RINF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 86.58% | 32.72% |
| CAGR﹪ | 13.36% | 5.86% |
| Sharpe | 0.59 | 0.21 |
| Prob. Sharpe Ratio | 90.85% | 68.42% |
| Smart Sharpe | 0.58 | 0.21 |
| Sortino | 0.86 | 0.31 |
| Smart Sortino | 0.83 | 0.31 |
| Sortino/√2 | 0.61 | 0.22 |
| Smart Sortino/√2 | 0.59 | 0.22 |
| Omega | 1.16 | 1.1 |
| 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.) | 17.2% | 12.4% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.55 | 0.43 |
| Skew | 0.32 | 0.16 |
| Kurtosis | 8.95 | 3.94 |
| Ulcer Performance Index | 10.24 | 6.63 |
| Risk-Adjusted Return | 13.36% | 5.86% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.81% | 0.51% |
| Avg. Loss | -0.85% | -0.6% |
| Win/Loss Ratio | 0.95 | 0.85 |
| Profit Ratio | 0.83 | 0.88 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.47% |
| Expected Yearly | 10.95% | 4.83% |
| Kelly Criterion | 5.83% | -3.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.26% |
| Expected Shortfall (cVaR) | -2.58% | -1.91% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 10 |
| Gain/Pain Ratio | 0.16 | 0.1 |
| Gain/Pain (1M) | 0.87 | 0.63 |
| Payoff Ratio | 0.95 | 0.85 |
| Profit Factor | 1.16 | 1.1 |
| Common Sense Ratio | 1.17 | 1.1 |
| CPC Index | 0.6 | 0.49 |
| Tail Ratio | 1.01 | 1.0 |
| Outlier Win Ratio | 3.41 | 4.7 |
| Outlier Loss Ratio | 3.77 | 4.28 |
| MTD | 1.08% | -0.05% |
| 3M | 3.82% | 1.36% |
| 6M | 19.85% | 3.31% |
| YTD | 14.3% | 2.94% |
| 1Y | 17.78% | 3.01% |
| 3Y (ann.) | 24.86% | 1.41% |
| 5Y (ann.) | 13.06% | 4.6% |
| 10Y (ann.) | 13.36% | 5.86% |
| All-time (ann.) | 13.36% | 5.86% |
| 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 | -1.89% | -3.23% |
| Avg. Drawdown Days | 20 | 64 |
| Recovery Factor | 2.85 | 2.37 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.47 | 0.49 |
| Avg. Up Month | 4.05% | 2.04% |
| Avg. Down Month | -4.07% | -2.74% |
| Win Days | 54.04% | 52.49% |
| Win Month | 63.93% | 60.66% |
| Win Quarter | 66.67% | 76.19% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.07 |
| Alpha | - | 0.05 |
| Correlation | - | 10.08% |
| Treynor Ratio | - | 450.39% |
| Year | SPY | RINF | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 6.00 | 0.80 | - |
| 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 | 14.30 | 2.94 | 0.21 | - |
| 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 |
| 2021-10-22 | 2021-11-09 | -4.61 | 19 |
| 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 |