| Metric | SPY | RINF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 207.58% | 50.37% |
| CAGR﹪ | 16.68% | 5.76% |
| Sharpe | 0.74 | 0.27 |
| Prob. Sharpe Ratio | 97.6% | 76.78% |
| Smart Sharpe | 0.64 | 0.25 |
| Sortino | 1.04 | 0.38 |
| Smart Sortino | 0.9 | 0.34 |
| Sortino/√2 | 0.74 | 0.27 |
| Smart Sortino/√2 | 0.64 | 0.24 |
| Omega | 1.19 | 1.1 |
| Max Drawdown | -33.72% | -23.32% |
| Max DD Date | 2020-03-23 | 2020-03-17 |
| Max DD Period Start | 2020-02-20 | 2019-07-16 |
| Max DD Period End | 2020-08-07 | 2020-12-01 |
| Longest DD Days | 708 | 505 |
| Volatility (ann.) | 19.56% | 13.2% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.25 |
| Skew | -0.29 | -0.55 |
| Kurtosis | 13.84 | 10.45 |
| Ulcer Performance Index | 26.03 | 9.58 |
| Risk-Adjusted Return | 16.68% | 5.76% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.85% | 0.54% |
| Avg. Loss | -0.93% | -0.66% |
| Win/Loss Ratio | 0.91 | 0.83 |
| Profit Ratio | 0.77 | 0.83 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.28% | 0.46% |
| Expected Yearly | 15.08% | 5.23% |
| Kelly Criterion | 6.27% | -3.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.34% |
| Expected Shortfall (cVaR) | -3.2% | -2.13% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 10 |
| Gain/Pain Ratio | 0.19 | 0.1 |
| Gain/Pain (1M) | 1.17 | 0.58 |
| Payoff Ratio | 0.91 | 0.83 |
| Profit Factor | 1.19 | 1.1 |
| Common Sense Ratio | 1.14 | 1.1 |
| CPC Index | 0.6 | 0.48 |
| Tail Ratio | 0.96 | 1.0 |
| Outlier Win Ratio | 3.69 | 4.48 |
| Outlier Loss Ratio | 4.1 | 4.13 |
| 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.) | 16.68% | 5.76% |
| All-time (ann.) | 16.68% | 5.76% |
| Best Day | 10.5% | 5.3% |
| Worst Day | -10.94% | -8.68% |
| Best Month | 12.7% | 13.15% |
| Worst Month | -12.49% | -12.63% |
| Best Year | 28.73% | 16.2% |
| Worst Year | -18.18% | 0.21% |
| Avg. Drawdown | -1.78% | -3.07% |
| Avg. Drawdown Days | 16 | 58 |
| Recovery Factor | 3.75 | 2.02 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.03 | 0.63 |
| Avg. Up Month | 4.21% | 2.29% |
| Avg. Down Month | -4.49% | -3.76% |
| Win Days | 55.26% | 53.28% |
| Win Month | 67.05% | 61.36% |
| Win Quarter | 76.67% | 73.33% |
| Win Year | 87.5% | 100.0% |
| Beta | - | 0.12 |
| Alpha | - | 0.04 |
| Correlation | - | 18.46% |
| Treynor Ratio | - | 404.28% |
| Year | SPY | RINF | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 1.34 | 0.08 | - |
| 2020 | 18.33 | 1.99 | 0.11 | - |
| 2021 | 28.73 | 16.20 | 0.56 | - |
| 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 |
|---|---|---|---|
| 2019-07-16 | 2020-12-01 | -23.32 | 505 |
| 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 |
| 2021-05-18 | 2021-10-07 | -5.94 | 143 |
| 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 |