| Metric | SPY | RLSFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 204.97% | 35.3% |
| CAGR﹪ | 16.25% | 4.17% |
| Sharpe | 0.72 | 0.17 |
| Prob. Sharpe Ratio | 97.45% | 67.88% |
| Smart Sharpe | 0.63 | 0.17 |
| Sortino | 1.02 | 0.24 |
| Smart Sortino | 0.88 | 0.23 |
| Sortino/√2 | 0.72 | 0.17 |
| Smart Sortino/√2 | 0.62 | 0.16 |
| Omega | 1.18 | 1.06 |
| Max Drawdown | -33.72% | -60.89% |
| Max DD Date | 2020-03-23 | 2022-11-09 |
| Max DD Period Start | 2020-02-20 | 2021-10-22 |
| Max DD Period End | 2020-08-07 | 2026-11-04 |
| Longest DD Days | 708 | 1840 |
| Volatility (ann.) | 19.45% | 24.07% |
| R^2 | 0.5 | 0.5 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.07 |
| Skew | -0.29 | 0.03 |
| Kurtosis | 13.94 | 6.74 |
| Ulcer Performance Index | 25.91 | 1.08 |
| Risk-Adjusted Return | 16.25% | 4.3% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.9% | 1.08% |
| Avg. Loss | -0.99% | -1.29% |
| Win/Loss Ratio | 0.91 | 0.83 |
| Profit Ratio | 0.78 | 0.59 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.34% |
| Expected Yearly | 14.96% | 3.85% |
| Kelly Criterion | 6.08% | 2.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -2.47% |
| Expected Shortfall (cVaR) | -3.2% | -3.8% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.06 |
| Gain/Pain (1M) | 1.15 | 0.32 |
| Payoff Ratio | 0.91 | 0.83 |
| Profit Factor | 1.18 | 1.06 |
| Common Sense Ratio | 1.13 | 0.94 |
| CPC Index | 0.6 | 0.49 |
| Tail Ratio | 0.96 | 0.89 |
| Outlier Win Ratio | 3.69 | 4.55 |
| Outlier Loss Ratio | 4.12 | 3.84 |
| MTD | 1.47% | 1.91% |
| 3M | 1.46% | -0.66% |
| 6M | 6.94% | 1.08% |
| YTD | 13.33% | -1.32% |
| 1Y | 13.43% | -3.55% |
| 3Y (ann.) | 20.78% | 8.67% |
| 5Y (ann.) | 12.86% | -3.74% |
| 10Y (ann.) | 16.25% | 4.17% |
| All-time (ann.) | 16.25% | 4.17% |
| Best Day | 10.5% | 11.09% |
| Worst Day | -10.94% | -10.15% |
| Best Month | 12.7% | 12.81% |
| Worst Month | -12.49% | -23.89% |
| Best Year | 28.73% | 54.31% |
| Worst Year | -18.18% | -53.98% |
| Avg. Drawdown | -1.79% | -5.46% |
| Avg. Drawdown Days | 16 | 71 |
| Recovery Factor | 3.72 | 0.85 |
| Ulcer Index | 0.08 | 0.33 |
| Serenity Index | 1.03 | 0.04 |
| Avg. Up Month | 4.48% | 4.07% |
| Avg. Down Month | -3.75% | -5.5% |
| Win Days | 55.15% | 55.64% |
| Win Month | 65.56% | 60.0% |
| Win Quarter | 77.42% | 64.52% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.87 |
| Alpha | - | -0.08 |
| Correlation | - | 70.49% |
| Treynor Ratio | - | 40.46% |
| Year | SPY | RLSFX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 5.05 | 0.31 | - |
| 2020 | 18.33 | 54.31 | 2.96 | + |
| 2021 | 28.73 | 1.84 | 0.06 | - |
| 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 | 13.33 | -1.32 | -0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-22 | 2026-11-04 | -60.89 | 1840 |
| 2021-02-17 | 2021-06-23 | -15.70 | 127 |
| 2020-02-20 | 2020-03-25 | -13.32 | 35 |
| 2019-12-17 | 2020-02-07 | -10.15 | 53 |
| 2021-07-26 | 2021-10-20 | -8.87 | 87 |
| 2020-09-03 | 2020-09-30 | -7.57 | 28 |
| 2019-07-12 | 2019-12-13 | -6.64 | 155 |
| 2020-11-09 | 2020-12-15 | -6.23 | 37 |
| 2021-01-22 | 2021-02-01 | -5.78 | 11 |
| 2020-10-26 | 2020-11-04 | -5.71 | 10 |