| Metric | SPY | RNMN |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 12.94% | 1.24% |
| CAGR﹪ | 13.16% | 1.26% |
| Sharpe | 0.74 | -0.23 |
| Prob. Sharpe Ratio | 76.83% | 40.92% |
| Smart Sharpe | 0.73 | -0.13 |
| Sortino | 1.08 | -0.34 |
| Smart Sortino | 1.06 | -0.19 |
| Sortino/√2 | 0.76 | -0.24 |
| Smart Sortino/√2 | 0.75 | -0.14 |
| Omega | 1.18 | 1.06 |
| Max Drawdown | -8.88% | -4.11% |
| Max DD Date | 2026-03-30 | 2026-09-25 |
| Max DD Period Start | 2026-01-28 | 2026-06-11 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 147 |
| Volatility (ann.) | 12.88% | 8.69% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.48 | 0.31 |
| Skew | -0.01 | 0.82 |
| Kurtosis | 0.78 | 34.1 |
| Ulcer Performance Index | 5.77 | 0.47 |
| Risk-Adjusted Return | 13.16% | 1.28% |
| Risk-Return Ratio | 0.06 | 0.01 |
| Avg. Return | 0.04% | 0.01% |
| Avg. Win | 0.65% | 0.13% |
| Avg. Loss | -0.62% | -0.2% |
| Win/Loss Ratio | 1.06 | 0.64 |
| Profit Ratio | 1.04 | 0.82 |
| Expected Daily | 0.05% | 0.0% |
| Expected Monthly | 0.94% | 0.09% |
| Expected Yearly | 6.27% | 0.62% |
| Kelly Criterion | 5.79% | -22.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.89% |
| Expected Shortfall (cVaR) | -1.66% | -2.97% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.18 | 0.06 |
| Gain/Pain (1M) | 1.45 | 0.7 |
| Payoff Ratio | 1.06 | 0.64 |
| Profit Factor | 1.18 | 1.06 |
| Common Sense Ratio | 1.18 | 0.97 |
| CPC Index | 0.64 | 0.35 |
| Tail Ratio | 0.99 | 0.91 |
| Outlier Win Ratio | 2.84 | 9.93 |
| Outlier Loss Ratio | 3.01 | 6.93 |
| MTD | 1.47% | -0.04% |
| 3M | 1.46% | -0.17% |
| 6M | 5.59% | 1.04% |
| YTD | 11.89% | 1.76% |
| 1Y | 12.94% | 1.24% |
| 3Y (ann.) | 13.16% | 1.26% |
| 5Y (ann.) | 13.16% | 1.26% |
| 10Y (ann.) | 13.16% | 1.26% |
| All-time (ann.) | 13.16% | 1.26% |
| Best Day | 2.91% | 4.46% |
| Worst Day | -2.58% | -3.82% |
| Best Month | 10.51% | 2.41% |
| Worst Month | -4.94% | -0.78% |
| Best Year | 11.89% | 1.76% |
| Worst Year | 0.94% | -0.52% |
| Avg. Drawdown | -1.76% | -2.96% |
| Avg. Drawdown Days | 14 | 88 |
| Recovery Factor | 1.46 | 0.39 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.83 | 0.08 |
| Avg. Up Month | 3.14% | 1.08% |
| Avg. Down Month | -1.85% | -0.31% |
| Win Days | 51.61% | 52.26% |
| Win Month | 53.85% | 38.46% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | -0.12 |
| Alpha | - | 0.03 |
| Correlation | - | -17.11% |
| Treynor Ratio | - | -10.72% |
| Year | SPY | RNMN | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -0.52 | -0.55 | - |
| 2026 | 11.89 | 1.76 | 0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-11 | 2026-11-04 | -4.11 | 147 |
| 2026-04-30 | 2026-06-09 | -3.82 | 41 |
| 2025-12-30 | 2026-04-28 | -2.86 | 120 |
| 2025-11-12 | 2025-12-26 | -1.04 | 45 |