| Metric | SPY | RMYAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 17.87% | 6.63% |
| CAGR﹪ | 18.02% | 6.69% |
| Sharpe | 1.04 | 0.48 |
| Prob. Sharpe Ratio | 84.73% | 68.18% |
| Smart Sharpe | 1.01 | 0.45 |
| Sortino | 1.51 | 0.68 |
| Smart Sortino | 1.47 | 0.64 |
| Sortino/√2 | 1.07 | 0.48 |
| Smart Sortino/√2 | 1.04 | 0.45 |
| Omega | 1.25 | 1.21 |
| Max Drawdown | -8.88% | -5.7% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-07-31 |
| Longest DD Days | 76 | 152 |
| Volatility (ann.) | 12.99% | 5.62% |
| R^2 | 0.52 | 0.52 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.03 | 1.17 |
| Skew | -0.15 | 0.04 |
| Kurtosis | 1.05 | 1.5 |
| Ulcer Performance Index | 8.3 | 4.02 |
| Risk-Adjusted Return | 18.02% | 7.43% |
| Risk-Return Ratio | 0.08 | 0.07 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.75% | 0.33% |
| Avg. Loss | -0.71% | -0.33% |
| Win/Loss Ratio | 1.06 | 0.98 |
| Profit Ratio | 0.94 | 0.58 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.27% | 0.5% |
| Expected Yearly | 8.57% | 3.26% |
| Kelly Criterion | 9.87% | 8.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.56% |
| Expected Shortfall (cVaR) | -1.72% | -0.75% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.21 |
| Gain/Pain (1M) | 2.6 | 1.02 |
| Payoff Ratio | 1.06 | 0.98 |
| Profit Factor | 1.25 | 1.21 |
| Common Sense Ratio | 1.24 | 1.23 |
| CPC Index | 0.71 | 0.65 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.88 | 3.44 |
| Outlier Loss Ratio | 3.19 | 2.81 |
| MTD | 1.08% | -1.7% |
| 3M | 3.82% | -0.37% |
| 6M | 19.85% | 4.27% |
| YTD | 14.3% | 4.27% |
| 1Y | 17.87% | 6.63% |
| 3Y (ann.) | 18.02% | 6.69% |
| 5Y (ann.) | 18.02% | 6.69% |
| 10Y (ann.) | 18.02% | 6.69% |
| All-time (ann.) | 18.02% | 6.69% |
| Best Day | 2.91% | 1.56% |
| Worst Day | -2.7% | -1.13% |
| Best Month | 10.51% | 3.28% |
| Worst Month | -4.94% | -4.67% |
| Best Year | 14.3% | 4.27% |
| Worst Year | 3.13% | 2.27% |
| Avg. Drawdown | -1.71% | -0.75% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | 1.94 | 1.16 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 0.32 |
| Avg. Up Month | 2.56% | 1.01% |
| Avg. Down Month | -4.94% | -4.67% |
| Win Days | 53.6% | 54.67% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.31 |
| Alpha | - | 0.01 |
| Correlation | - | 72.31% |
| Treynor Ratio | - | 21.22% |
| Year | SPY | RMYAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 2.27 | 0.73 | - |
| 2026 | 14.30 | 4.27 | 0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-07-31 | -5.70 | 152 |
| 2026-08-27 | 2026-09-22 | -2.72 | 27 |
| 2025-10-28 | 2025-11-26 | -1.77 | 30 |
| 2025-10-06 | 2025-10-17 | -1.28 | 12 |
| 2025-12-04 | 2025-12-10 | -0.59 | 7 |
| 2026-01-16 | 2026-01-21 | -0.58 | 6 |
| 2025-09-24 | 2025-09-29 | -0.49 | 6 |
| 2026-01-28 | 2026-02-03 | -0.38 | 7 |
| 2026-08-14 | 2026-08-21 | -0.38 | 8 |
| 2025-12-29 | 2026-01-02 | -0.30 | 5 |