| Metric | SPY | RMYAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 74.99% | 19.85% |
| CAGR﹪ | 11.91% | 3.71% |
| Sharpe | 0.52 | 0.02 |
| Prob. Sharpe Ratio | 87.6% | 51.67% |
| Smart Sharpe | 0.5 | 0.02 |
| Sortino | 0.74 | 0.03 |
| Smart Sortino | 0.72 | 0.03 |
| Sortino/√2 | 0.53 | 0.02 |
| Smart Sortino/√2 | 0.51 | 0.02 |
| Omega | 1.14 | 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.) | 17.19% | 8.73% |
| R^2 | 0.47 | 0.47 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.17 |
| Skew | 0.33 | -0.36 |
| Kurtosis | 8.98 | 13.24 |
| Ulcer Performance Index | 8.86 | 2.46 |
| Risk-Adjusted Return | 11.91% | 4.08% |
| 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 | 1.0 | 0.92 |
| Profit Ratio | 0.86 | 0.58 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.3% |
| Expected Yearly | 9.77% | 3.06% |
| Kelly Criterion | 6.76% | 2.2% |
| 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 | 0.14 | 0.09 |
| Gain/Pain (1M) | 0.79 | 0.32 |
| Payoff Ratio | 1.0 | 0.92 |
| Profit Factor | 1.14 | 1.09 |
| Common Sense Ratio | 1.15 | 1.05 |
| CPC Index | 0.61 | 0.53 |
| Tail Ratio | 1.0 | 0.97 |
| Outlier Win Ratio | 3.4 | 4.11 |
| Outlier Loss Ratio | 3.8 | 3.35 |
| MTD | 1.47% | 1.44% |
| 3M | 1.46% | 0.54% |
| 6M | 6.94% | 2.3% |
| YTD | 13.33% | 6.45% |
| 1Y | 13.43% | 8.4% |
| 3Y (ann.) | 20.78% | 9.9% |
| 5Y (ann.) | 12.86% | 4.38% |
| 10Y (ann.) | 11.91% | 3.71% |
| All-time (ann.) | 11.91% | 3.71% |
| 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 | -1.94% | -1.42% |
| Avg. Drawdown Days | 21 | 41 |
| Recovery Factor | 2.58 | 0.91 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 0.43 | 0.08 |
| Avg. Up Month | 4.09% | 2.23% |
| Avg. Down Month | -4.24% | -3.21% |
| Win Days | 53.48% | 53.27% |
| Win Month | 62.3% | 62.3% |
| Win Quarter | 71.43% | 66.67% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.35 |
| Alpha | - | -0.0 |
| Correlation | - | 68.31% |
| Treynor Ratio | - | 57.24% |
| Year | SPY | RMYAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -1.02 | -0.59 | - |
| 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 | 13.33 | 6.45 | 0.48 | - |
| 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 |
| 2026-08-27 | 2026-11-04 | -4.50 | 70 |
| 2024-09-27 | 2024-12-17 | -3.61 | 82 |
| 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 |
| 2025-07-07 | 2025-07-21 | -0.92 | 15 |
| 2025-06-13 | 2025-06-23 | -0.82 | 11 |