| Metric | SPY | RMYAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 86.58% | 19.64% |
| CAGR﹪ | 13.36% | 3.67% |
| Sharpe | 0.59 | 0.02 |
| Prob. Sharpe Ratio | 90.85% | 51.96% |
| Smart Sharpe | 0.58 | 0.02 |
| Sortino | 0.86 | 0.03 |
| Smart Sortino | 0.83 | 0.03 |
| Sortino/√2 | 0.61 | 0.02 |
| Smart Sortino/√2 | 0.59 | 0.02 |
| Omega | 1.16 | 1.09 |
| Max Drawdown | -24.5% | -22.04% |
| Max DD Date | 2022-10-12 | 2022-10-14 |
| Max DD Period Start | 2022-01-04 | 2021-11-10 |
| Max DD Period End | 2023-12-12 | 2024-08-14 |
| Longest DD Days | 708 | 1009 |
| Volatility (ann.) | 17.2% | 8.72% |
| R^2 | 0.47 | 0.47 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.55 | 0.17 |
| Skew | 0.32 | -0.37 |
| Kurtosis | 8.95 | 13.26 |
| Ulcer Performance Index | 10.24 | 2.44 |
| Risk-Adjusted Return | 13.36% | 4.04% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.9% | 0.45% |
| Avg. Loss | -0.91% | -0.49% |
| Win/Loss Ratio | 0.98 | 0.91 |
| Profit Ratio | 0.83 | 0.59 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.29% |
| Expected Yearly | 10.95% | 3.03% |
| Kelly Criterion | 7.3% | 1.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.89% |
| Expected Shortfall (cVaR) | -2.58% | -1.39% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.09 |
| Gain/Pain (1M) | 0.87 | 0.33 |
| Payoff Ratio | 0.98 | 0.91 |
| Profit Factor | 1.16 | 1.09 |
| Common Sense Ratio | 1.17 | 1.05 |
| CPC Index | 0.61 | 0.53 |
| Tail Ratio | 1.01 | 0.96 |
| Outlier Win Ratio | 3.41 | 4.09 |
| Outlier Loss Ratio | 3.77 | 3.35 |
| MTD | 1.08% | -1.7% |
| 3M | 3.82% | -0.37% |
| 6M | 19.85% | 4.27% |
| YTD | 14.3% | 4.27% |
| 1Y | 17.78% | 7.06% |
| 3Y (ann.) | 24.86% | 11.88% |
| 5Y (ann.) | 13.06% | 3.5% |
| 10Y (ann.) | 13.36% | 3.67% |
| All-time (ann.) | 13.36% | 3.67% |
| Best Day | 10.5% | 4.48% |
| Worst Day | -5.85% | -5.43% |
| Best Month | 10.51% | 6.84% |
| Worst Month | -9.24% | -7.62% |
| Best Year | 26.18% | 13.6% |
| Worst Year | -18.18% | -14.24% |
| Avg. Drawdown | -1.89% | -1.24% |
| Avg. Drawdown Days | 20 | 35 |
| Recovery Factor | 2.85 | 0.9 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 0.47 | 0.08 |
| Avg. Up Month | 4.26% | 2.25% |
| Avg. Down Month | -4.29% | -3.0% |
| Win Days | 54.04% | 53.22% |
| Win Month | 63.93% | 60.66% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.35 |
| Alpha | - | -0.01 |
| Correlation | - | 68.78% |
| Treynor Ratio | - | 56.31% |
| Year | SPY | RMYAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.87 | 0.11 | - |
| 2022 | -18.18 | -14.24 | 0.78 | + |
| 2023 | 26.18 | 11.13 | 0.43 | - |
| 2024 | 24.89 | 5.07 | 0.20 | - |
| 2025 | 17.72 | 13.60 | 0.77 | - |
| 2026 | 14.30 | 4.27 | 0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-10 | 2024-08-14 | -22.04 | 1009 |
| 2024-12-19 | 2025-06-09 | -7.50 | 173 |
| 2026-03-02 | 2026-07-31 | -5.70 | 152 |
| 2024-09-27 | 2024-12-17 | -3.61 | 82 |
| 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 |
| 2025-07-24 | 2025-08-06 | -1.22 | 14 |
| 2021-09-24 | 2021-10-04 | -1.00 | 11 |
| 2025-07-07 | 2025-07-21 | -0.92 | 15 |