| Metric | SPY | RMYAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 204.97% | 41.85% |
| CAGR﹪ | 16.25% | 4.83% |
| Sharpe | 0.72 | 0.24 |
| Prob. Sharpe Ratio | 97.45% | 74.05% |
| Smart Sharpe | 0.63 | 0.23 |
| Sortino | 1.02 | 0.33 |
| Smart Sortino | 0.88 | 0.31 |
| Sortino/√2 | 0.72 | 0.23 |
| Smart Sortino/√2 | 0.62 | 0.22 |
| Omega | 1.18 | 1.11 |
| Max Drawdown | -33.72% | -22.04% |
| Max DD Date | 2020-03-23 | 2022-10-14 |
| Max DD Period Start | 2020-02-20 | 2021-11-10 |
| Max DD Period End | 2020-08-07 | 2024-08-14 |
| Longest DD Days | 708 | 1009 |
| Volatility (ann.) | 19.45% | 9.73% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.22 |
| Skew | -0.29 | -0.95 |
| Kurtosis | 13.94 | 19.64 |
| Ulcer Performance Index | 25.91 | 5.88 |
| Risk-Adjusted Return | 16.25% | 5.37% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.94% | 0.46% |
| Avg. Loss | -0.99% | -0.53% |
| Win/Loss Ratio | 0.94 | 0.87 |
| Profit Ratio | 0.78 | 0.53 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.39% |
| Expected Yearly | 14.96% | 4.47% |
| Kelly Criterion | 7.65% | 2.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.99% |
| Expected Shortfall (cVaR) | -3.2% | -1.68% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.11 |
| Gain/Pain (1M) | 1.15 | 0.46 |
| Payoff Ratio | 0.94 | 0.87 |
| Profit Factor | 1.18 | 1.11 |
| Common Sense Ratio | 1.13 | 1.11 |
| CPC Index | 0.62 | 0.53 |
| Tail Ratio | 0.96 | 1.0 |
| Outlier Win Ratio | 3.69 | 4.44 |
| Outlier Loss Ratio | 4.12 | 3.46 |
| 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.) | 16.25% | 4.83% |
| All-time (ann.) | 16.25% | 4.83% |
| Best Day | 10.5% | 5.18% |
| Worst Day | -10.94% | -6.01% |
| Best Month | 12.7% | 6.84% |
| Worst Month | -12.49% | -11.36% |
| Best Year | 28.73% | 13.6% |
| Worst Year | -18.18% | -14.24% |
| Avg. Drawdown | -1.79% | -1.5% |
| Avg. Drawdown Days | 16 | 35 |
| Recovery Factor | 3.72 | 1.75 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 1.03 | 0.21 |
| Avg. Up Month | 4.29% | 2.21% |
| Avg. Down Month | -4.17% | -3.0% |
| Win Days | 55.15% | 54.42% |
| Win Month | 65.56% | 63.33% |
| Win Quarter | 77.42% | 70.97% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.37 |
| Alpha | - | -0.01 |
| Correlation | - | 74.35% |
| Treynor Ratio | - | 112.55% |
| Year | SPY | RMYAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 4.49 | 0.27 | - |
| 2020 | 18.33 | 3.17 | 0.17 | - |
| 2021 | 28.73 | 8.66 | 0.30 | - |
| 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 |
| 2020-01-07 | 2020-11-23 | -21.84 | 322 |
| 2024-12-19 | 2025-06-09 | -7.50 | 173 |
| 2026-03-02 | 2026-07-31 | -5.70 | 152 |
| 2021-06-07 | 2021-11-08 | -4.63 | 155 |
| 2026-08-27 | 2026-11-04 | -4.50 | 70 |
| 2024-09-27 | 2024-12-17 | -3.61 | 82 |
| 2021-01-15 | 2021-02-05 | -2.39 | 22 |
| 2019-07-05 | 2019-10-22 | -2.29 | 110 |
| 2021-05-10 | 2021-05-28 | -1.88 | 19 |