| Metric | SPY | RLSFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 18.6% | 10.64% |
| CAGR﹪ | 40.67% | 22.4% |
| Sharpe | 2.32 | 1.29 |
| Prob. Sharpe Ratio | 95.04% | 81.93% |
| Smart Sharpe | 2.3 | 1.26 |
| Sortino | 3.78 | 1.96 |
| Smart Sortino | 3.75 | 1.91 |
| Sortino/√2 | 2.67 | 1.38 |
| Smart Sortino/√2 | 2.65 | 1.35 |
| Omega | 1.54 | 1.29 |
| Max Drawdown | -4.49% | -5.52% |
| Max DD Date | 2026-06-10 | 2026-06-25 |
| Max DD Period Start | 2026-06-03 | 2026-06-02 |
| Max DD Period End | 2026-07-31 | 2026-07-31 |
| Longest DD Days | 59 | 60 |
| Volatility (ann.) | 13.55% | 13.57% |
| R^2 | 0.63 | 0.63 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 9.05 | 4.06 |
| Skew | 0.1 | 0.06 |
| Kurtosis | 1.12 | 0.36 |
| Ulcer Performance Index | 11.86 | 5.23 |
| Risk-Adjusted Return | 40.67% | 22.63% |
| Risk-Return Ratio | 0.16 | 0.1 |
| Avg. Return | 0.14% | 0.09% |
| Avg. Win | 0.82% | 0.75% |
| Avg. Loss | -0.72% | -0.79% |
| Win/Loss Ratio | 1.15 | 0.94 |
| Profit Ratio | 1.12 | 0.6 |
| Expected Daily | 0.14% | 0.08% |
| Expected Monthly | 2.47% | 1.45% |
| Expected Yearly | 18.6% | 10.64% |
| Kelly Criterion | 14.01% | 15.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.32% |
| Expected Shortfall (cVaR) | -1.77% | -1.66% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.29 |
| Gain/Pain (1M) | 10.92 | 3.68 |
| Payoff Ratio | 1.15 | 0.94 |
| Profit Factor | 1.54 | 1.29 |
| Common Sense Ratio | 2.01 | 1.52 |
| CPC Index | 0.96 | 0.71 |
| Tail Ratio | 1.3 | 1.18 |
| Outlier Win Ratio | 3.21 | 3.04 |
| Outlier Loss Ratio | 3.16 | 2.49 |
| MTD | 1.08% | -0.39% |
| 3M | 3.82% | 4.16% |
| 6M | 18.6% | 10.64% |
| YTD | 18.6% | 10.64% |
| 1Y | 18.6% | 10.64% |
| 3Y (ann.) | 40.67% | 22.4% |
| 5Y (ann.) | 40.67% | 22.4% |
| 10Y (ann.) | 40.67% | 22.4% |
| All-time (ann.) | 40.67% | 22.4% |
| Best Day | 2.91% | 2.71% |
| Worst Day | -2.58% | -2.16% |
| Best Month | 10.51% | 7.69% |
| Worst Month | -1.03% | -1.48% |
| Best Year | 18.6% | 10.64% |
| Worst Year | 18.6% | 10.64% |
| Avg. Drawdown | -1.13% | -1.74% |
| Avg. Drawdown Days | 9 | 14 |
| Recovery Factor | 3.9 | 1.91 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.75 | 1.03 |
| Avg. Up Month | 4.62% | 3.4% |
| Avg. Down Month | -0.9% | -1.35% |
| Win Days | 53.97% | 58.87% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.8 |
| Alpha | - | -0.07 |
| Correlation | - | 79.53% |
| Treynor Ratio | - | 13.35% |
| Year | SPY | RLSFX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 10.64 | 0.57 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-02 | 2026-07-31 | -5.52 | 60 |
| 2026-03-24 | 2026-04-07 | -3.98 | 15 |
| 2026-08-14 | 2026-09-22 | -3.73 | 40 |
| 2026-04-23 | 2026-04-30 | -1.49 | 8 |
| 2026-05-15 | 2026-05-29 | -1.00 | 15 |
| 2026-04-20 | 2026-04-21 | -0.95 | 2 |
| 2026-05-08 | 2026-05-13 | -0.94 | 6 |
| 2026-05-05 | 2026-05-05 | -0.61 | 1 |
| 2026-08-11 | 2026-08-12 | -0.52 | 2 |
| 2026-04-16 | 2026-04-16 | -0.34 | 1 |