| Metric | SPY | RLSFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 86.58% | -24.68% |
| CAGR﹪ | 13.36% | -5.54% |
| Sharpe | 0.59 | -0.26 |
| Prob. Sharpe Ratio | 90.85% | 28.41% |
| Smart Sharpe | 0.58 | -0.25 |
| Sortino | 0.86 | -0.35 |
| Smart Sortino | 0.83 | -0.35 |
| Sortino/√2 | 0.61 | -0.25 |
| Smart Sortino/√2 | 0.59 | -0.24 |
| Omega | 1.16 | 0.98 |
| Max Drawdown | -24.5% | -60.89% |
| Max DD Date | 2022-10-12 | 2022-10-14 |
| Max DD Period Start | 2022-01-04 | 2021-10-22 |
| Max DD Period End | 2023-12-12 | 2026-09-22 |
| Longest DD Days | 708 | 1797 |
| Volatility (ann.) | 17.2% | 24.94% |
| R^2 | 0.65 | 0.65 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.55 | -0.09 |
| Skew | 0.32 | 0.05 |
| Kurtosis | 8.95 | 5.19 |
| Ulcer Performance Index | 10.24 | -0.62 |
| Risk-Adjusted Return | 13.36% | -5.71% |
| Risk-Return Ratio | 0.05 | -0.01 |
| Avg. Return | 0.06% | -0.01% |
| Avg. Win | 0.87% | 1.09% |
| Avg. Loss | -0.9% | -1.32% |
| Win/Loss Ratio | 0.97 | 0.83 |
| Profit Ratio | 0.83 | 0.65 |
| Expected Daily | 0.05% | -0.02% |
| Expected Monthly | 1.03% | -0.46% |
| Expected Yearly | 10.95% | -4.61% |
| Kelly Criterion | 6.68% | -2.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.59% |
| Expected Shortfall (cVaR) | -2.58% | -3.94% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.16 | -0.02 |
| Gain/Pain (1M) | 0.87 | -0.09 |
| Payoff Ratio | 0.97 | 0.83 |
| Profit Factor | 1.16 | 0.98 |
| Common Sense Ratio | 1.17 | 0.82 |
| CPC Index | 0.61 | 0.43 |
| Tail Ratio | 1.01 | 0.83 |
| Outlier Win Ratio | 3.41 | 4.81 |
| Outlier Loss Ratio | 3.77 | 4.05 |
| MTD | 1.08% | -0.39% |
| 3M | 3.82% | 4.16% |
| 6M | 19.85% | 11.2% |
| YTD | 14.3% | 0.99% |
| 1Y | 17.78% | 0.53% |
| 3Y (ann.) | 24.86% | 14.17% |
| 5Y (ann.) | 13.06% | -5.87% |
| 10Y (ann.) | 13.36% | -5.54% |
| All-time (ann.) | 13.36% | -5.54% |
| Best Day | 10.5% | 9.58% |
| Worst Day | -5.85% | -8.33% |
| Best Month | 10.51% | 12.81% |
| Worst Month | -9.24% | -23.89% |
| Best Year | 26.18% | 43.62% |
| Worst Year | -18.18% | -53.98% |
| Avg. Drawdown | -1.89% | -34.41% |
| Avg. Drawdown Days | 20 | 911 |
| Recovery Factor | 2.85 | 0.21 |
| Ulcer Index | 0.08 | 0.4 |
| Serenity Index | 0.47 | -0.01 |
| Avg. Up Month | 4.53% | 4.24% |
| Avg. Down Month | -3.97% | -6.33% |
| Win Days | 54.04% | 53.52% |
| Win Month | 63.93% | 52.46% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 1.17 |
| Alpha | - | -0.19 |
| Correlation | - | 80.86% |
| Treynor Ratio | - | -21.05% |
| Year | SPY | RLSFX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -10.20 | -1.35 | - |
| 2022 | -18.18 | -53.98 | 2.97 | - |
| 2023 | 26.18 | 43.62 | 1.67 | + |
| 2024 | 24.89 | 15.85 | 0.64 | - |
| 2025 | 17.72 | 8.45 | 0.48 | - |
| 2026 | 14.30 | 0.99 | 0.07 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-22 | 2026-09-22 | -60.89 | 1797 |
| 2021-09-24 | 2021-10-18 | -7.93 | 25 |