| Metric | SPY | RNMN |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 16.38% | 2.43% |
| CAGR﹪ | 16.66% | 2.47% |
| Sharpe | 0.95 | -0.13 |
| Prob. Sharpe Ratio | 82.45% | 44.94% |
| Smart Sharpe | 0.93 | -0.07 |
| Sortino | 1.37 | -0.19 |
| Smart Sortino | 1.34 | -0.11 |
| Sortino/√2 | 0.97 | -0.13 |
| Smart Sortino/√2 | 0.95 | -0.07 |
| Omega | 1.23 | 1.1 |
| Max Drawdown | -8.88% | -3.85% |
| Max DD Date | 2026-03-30 | 2026-09-22 |
| Max DD Period Start | 2026-01-28 | 2026-06-11 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 120 |
| Volatility (ann.) | 13.01% | 8.77% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.88 | 0.64 |
| Skew | -0.14 | 0.79 |
| Kurtosis | 1.05 | 32.67 |
| Ulcer Performance Index | 7.3 | 1.04 |
| Risk-Adjusted Return | 16.66% | 2.47% |
| Risk-Return Ratio | 0.08 | 0.02 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.64% | 0.15% |
| Avg. Loss | -0.63% | -0.23% |
| Win/Loss Ratio | 1.01 | 0.67 |
| Profit Ratio | 0.95 | 0.82 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.17% | 0.19% |
| Expected Yearly | 7.88% | 1.21% |
| Kelly Criterion | 7.05% | -16.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.9% |
| Expected Shortfall (cVaR) | -1.72% | -2.97% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.23 | 0.1 |
| Gain/Pain (1M) | 2.05 | 1.0 |
| Payoff Ratio | 1.01 | 0.67 |
| Profit Factor | 1.23 | 1.1 |
| Common Sense Ratio | 1.22 | 1.08 |
| CPC Index | 0.66 | 0.39 |
| Tail Ratio | 0.99 | 0.98 |
| Outlier Win Ratio | 2.88 | 9.19 |
| Outlier Loss Ratio | 3.2 | 6.55 |
| MTD | 1.08% | -0.71% |
| 3M | 2.51% | -0.45% |
| 6M | 18.33% | 1.46% |
| YTD | 12.85% | 1.45% |
| 1Y | 16.38% | 2.43% |
| 3Y (ann.) | 16.66% | 2.47% |
| 5Y (ann.) | 16.66% | 2.47% |
| 10Y (ann.) | 16.66% | 2.47% |
| All-time (ann.) | 16.66% | 2.47% |
| Best Day | 2.91% | 4.46% |
| Worst Day | -2.7% | -3.82% |
| Best Month | 10.51% | 2.41% |
| Worst Month | -4.94% | -0.78% |
| Best Year | 12.85% | 1.45% |
| Worst Year | 3.13% | 0.97% |
| Avg. Drawdown | -1.73% | -2.07% |
| Avg. Drawdown Days | 14 | 58 |
| Recovery Factor | 1.8 | 0.72 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.03 | 0.17 |
| Avg. Up Month | 2.45% | 0.98% |
| Avg. Down Month | -3.08% | -0.43% |
| Win Days | 53.23% | 53.44% |
| Win Month | 69.23% | 53.85% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.09 |
| Alpha | - | 0.04 |
| Correlation | - | -14.03% |
| Treynor Ratio | - | -25.75% |
| Year | SPY | RNMN | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 0.97 | 0.31 | - |
| 2026 | 12.85 | 1.45 | 0.11 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-11 | 2026-09-22 | -3.85 | 104 |
| 2026-04-30 | 2026-06-09 | -3.82 | 41 |
| 2025-12-30 | 2026-04-28 | -2.86 | 120 |
| 2025-10-16 | 2025-12-26 | -1.21 | 72 |
| 2025-09-25 | 2025-10-07 | -0.68 | 13 |
| 2025-10-10 | 2025-10-10 | -0.00 | 1 |