| Metric | SPY | RNMN |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 110.25% | 27.54% |
| CAGR﹪ | 18.9% | 5.83% |
| Sharpe | 0.88 | 0.23 |
| Prob. Sharpe Ratio | 96.77% | 68.41% |
| Smart Sharpe | 0.84 | 0.14 |
| Sortino | 1.31 | 0.34 |
| Smart Sortino | 1.25 | 0.21 |
| Sortino/√2 | 0.93 | 0.24 |
| Smart Sortino/√2 | 0.89 | 0.15 |
| Omega | 1.23 | 1.32 |
| Max Drawdown | -18.76% | -4.47% |
| Max DD Date | 2025-04-08 | 2024-09-03 |
| Max DD Period Start | 2025-02-20 | 2024-08-08 |
| Max DD Period End | 2025-06-25 | 2024-09-24 |
| Longest DD Days | 289 | 147 |
| Volatility (ann.) | 16.07% | 6.01% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.01 | 1.3 |
| Skew | 0.66 | 0.69 |
| Kurtosis | 13.05 | 58.17 |
| Ulcer Performance Index | 24.16 | 20.7 |
| Risk-Adjusted Return | 18.9% | 5.95% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.77% | 0.15% |
| Avg. Loss | -0.78% | -0.17% |
| Win/Loss Ratio | 0.99 | 0.87 |
| Profit Ratio | 0.86 | 0.69 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.41% | 0.46% |
| Expected Yearly | 16.02% | 4.99% |
| Kelly Criterion | 8.54% | 7.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.59% | -0.6% |
| Expected Shortfall (cVaR) | -2.32% | -1.34% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.23 | 0.32 |
| Gain/Pain (1M) | 1.5 | 4.24 |
| Payoff Ratio | 0.99 | 0.87 |
| Profit Factor | 1.23 | 1.32 |
| Common Sense Ratio | 1.26 | 1.49 |
| CPC Index | 0.67 | 0.66 |
| Tail Ratio | 1.02 | 1.13 |
| Outlier Win Ratio | 3.58 | 5.53 |
| Outlier Loss Ratio | 3.61 | 4.66 |
| MTD | 1.47% | -0.04% |
| 3M | 1.46% | -0.17% |
| 6M | 5.59% | 1.04% |
| YTD | 11.89% | 1.76% |
| 1Y | 11.99% | 1.11% |
| 3Y (ann.) | 20.32% | 6.05% |
| 5Y (ann.) | 18.9% | 5.83% |
| 10Y (ann.) | 18.9% | 5.83% |
| All-time (ann.) | 18.9% | 5.83% |
| Best Day | 10.5% | 4.46% |
| Worst Day | -5.85% | -3.82% |
| Best Month | 10.51% | 3.7% |
| Worst Month | -9.24% | -1.86% |
| Best Year | 26.18% | 10.19% |
| Worst Year | 1.3% | 1.76% |
| Avg. Drawdown | -1.81% | -0.45% |
| Avg. Drawdown Days | 16 | 13 |
| Recovery Factor | 4.26 | 5.62 |
| Ulcer Index | 0.05 | 0.01 |
| Serenity Index | 1.5 | 2.18 |
| Avg. Up Month | 3.63% | 0.85% |
| Avg. Down Month | -2.92% | -0.24% |
| Win Days | 54.44% | 57.09% |
| Win Month | 64.15% | 71.7% |
| Win Quarter | 77.78% | 88.89% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.0 |
| Alpha | - | 0.06 |
| Correlation | - | 0.21% |
| Treynor Ratio | - | 34829.21% |
| Year | SPY | RNMN | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 1.30 | 1.95 | 1.51 | + |
| 2023 | 26.18 | 5.93 | 0.23 | - |
| 2024 | 24.89 | 5.31 | 0.21 | - |
| 2025 | 17.72 | 10.19 | 0.58 | - |
| 2026 | 11.89 | 1.76 | 0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-08-08 | 2024-09-24 | -4.47 | 48 |
| 2026-06-11 | 2026-11-04 | -4.11 | 147 |
| 2026-04-30 | 2026-06-09 | -3.82 | 41 |
| 2025-06-17 | 2025-07-22 | -3.50 | 36 |
| 2025-12-30 | 2026-04-28 | -2.86 | 120 |
| 2024-10-21 | 2024-12-20 | -1.34 | 61 |
| 2025-10-16 | 2025-12-26 | -1.21 | 72 |
| 2023-12-14 | 2024-01-03 | -1.11 | 21 |
| 2025-07-28 | 2025-08-18 | -1.00 | 22 |
| 2023-10-24 | 2023-11-01 | -0.94 | 9 |