| Metric | SPY | RLSFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 14.39% | -1.78% |
| CAGR﹪ | 14.51% | -1.79% |
| Sharpe | 0.83 | -0.35 |
| Prob. Sharpe Ratio | 79.61% | 36.28% |
| Smart Sharpe | 0.82 | -0.34 |
| Sortino | 1.22 | -0.48 |
| Smart Sortino | 1.2 | -0.46 |
| Sortino/√2 | 0.86 | -0.34 |
| Smart Sortino/√2 | 0.85 | -0.32 |
| Omega | 1.2 | 0.99 |
| Max Drawdown | -8.88% | -13.78% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-01-28 | 2025-11-13 |
| Max DD Period End | 2026-04-13 | 2026-08-07 |
| Longest DD Days | 76 | 268 |
| Volatility (ann.) | 12.86% | 13.08% |
| R^2 | 0.71 | 0.71 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 1.63 | -0.13 |
| Skew | -0.02 | -0.14 |
| Kurtosis | 0.78 | 0.44 |
| Ulcer Performance Index | 6.68 | -0.36 |
| Risk-Adjusted Return | 14.51% | -1.83% |
| Risk-Return Ratio | 0.07 | -0.0 |
| Avg. Return | 0.06% | -0.0% |
| Avg. Win | 0.72% | 0.64% |
| Avg. Loss | -0.69% | -0.78% |
| Win/Loss Ratio | 1.03 | 0.83 |
| Profit Ratio | 1.02 | 0.61 |
| Expected Daily | 0.05% | -0.01% |
| Expected Monthly | 1.04% | -0.14% |
| Expected Yearly | 6.95% | -0.89% |
| Kelly Criterion | 5.62% | 0.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.36% |
| Expected Shortfall (cVaR) | -1.66% | -1.76% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | -0.01 |
| Gain/Pain (1M) | 1.83 | -0.06 |
| Payoff Ratio | 1.03 | 0.83 |
| Profit Factor | 1.2 | 0.99 |
| Common Sense Ratio | 1.19 | 0.9 |
| CPC Index | 0.65 | 0.45 |
| Tail Ratio | 0.99 | 0.91 |
| Outlier Win Ratio | 2.84 | 3.25 |
| Outlier Loss Ratio | 3.01 | 2.7 |
| MTD | 1.47% | 1.91% |
| 3M | 1.46% | -0.66% |
| 6M | 6.94% | 1.08% |
| YTD | 13.33% | -1.32% |
| 1Y | 14.39% | -1.78% |
| 3Y (ann.) | 14.51% | -1.79% |
| 5Y (ann.) | 14.51% | -1.79% |
| 10Y (ann.) | 14.51% | -1.79% |
| All-time (ann.) | 14.51% | -1.79% |
| Best Day | 2.91% | 2.71% |
| Worst Day | -2.58% | -2.56% |
| Best Month | 10.51% | 7.69% |
| Worst Month | -4.94% | -4.18% |
| Best Year | 13.33% | -0.46% |
| Worst Year | 0.94% | -1.32% |
| Avg. Drawdown | -1.74% | -4.33% |
| Avg. Drawdown Days | 14 | 58 |
| Recovery Factor | 1.61 | 0.07 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.94 | -0.01 |
| Avg. Up Month | 3.99% | 3.1% |
| Avg. Down Month | -1.61% | -2.81% |
| Win Days | 52.0% | 55.1% |
| Win Month | 61.54% | 38.46% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.85 |
| Alpha | - | -0.13 |
| Correlation | - | 83.97% |
| Treynor Ratio | - | -2.08% |
| Year | SPY | RLSFX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -0.46 | -0.49 | - |
| 2026 | 13.33 | -1.32 | -0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-11-13 | 2026-08-07 | -13.78 | 268 |
| 2026-10-13 | 2026-11-04 | -6.72 | 23 |
| 2026-08-14 | 2026-10-05 | -3.73 | 53 |
| 2026-10-07 | 2026-10-08 | -0.71 | 2 |
| 2025-11-06 | 2025-11-07 | -0.53 | 2 |
| 2026-08-11 | 2026-08-12 | -0.52 | 2 |