| Metric | SPY | RINF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 204.97% | 49.47% |
| CAGR﹪ | 16.25% | 5.58% |
| Sharpe | 0.72 | 0.26 |
| Prob. Sharpe Ratio | 97.45% | 75.98% |
| Smart Sharpe | 0.63 | 0.24 |
| Sortino | 1.02 | 0.36 |
| Smart Sortino | 0.88 | 0.33 |
| Sortino/√2 | 0.72 | 0.26 |
| Smart Sortino/√2 | 0.62 | 0.23 |
| Omega | 1.18 | 1.09 |
| 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.) | 19.45% | 13.11% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.24 |
| Skew | -0.29 | -0.55 |
| Kurtosis | 13.94 | 10.62 |
| Ulcer Performance Index | 25.91 | 9.49 |
| Risk-Adjusted Return | 16.25% | 5.58% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.84% | 0.54% |
| Avg. Loss | -0.92% | -0.65% |
| Win/Loss Ratio | 0.91 | 0.83 |
| Profit Ratio | 0.78 | 0.83 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.45% |
| Expected Yearly | 14.96% | 5.15% |
| Kelly Criterion | 6.13% | -3.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.33% |
| Expected Shortfall (cVaR) | -3.2% | -2.12% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 10 |
| Gain/Pain Ratio | 0.18 | 0.09 |
| Gain/Pain (1M) | 1.15 | 0.57 |
| Payoff Ratio | 0.91 | 0.83 |
| Profit Factor | 1.18 | 1.09 |
| Common Sense Ratio | 1.13 | 1.1 |
| CPC Index | 0.6 | 0.48 |
| Tail Ratio | 0.96 | 1.0 |
| Outlier Win Ratio | 3.69 | 4.49 |
| Outlier Loss Ratio | 4.12 | 4.11 |
| 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.) | 16.25% | 5.58% |
| All-time (ann.) | 16.25% | 5.58% |
| 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 | -1.79% | -3.08% |
| Avg. Drawdown Days | 16 | 58 |
| Recovery Factor | 3.72 | 2.0 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.03 | 0.63 |
| Avg. Up Month | 4.21% | 2.29% |
| Avg. Down Month | -4.24% | -3.57% |
| Win Days | 55.15% | 53.23% |
| Win Month | 65.56% | 61.11% |
| Win Quarter | 77.42% | 70.97% |
| Win Year | 87.5% | 100.0% |
| Beta | - | 0.12 |
| Alpha | - | 0.04 |
| Correlation | - | 18.44% |
| Treynor Ratio | - | 397.96% |
| 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 | 13.33 | 2.32 | 0.17 | - |
| 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 |