| Metric | SPY | RNMN |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 5.14% | 0.98% |
| CAGR﹪ | 10.62% | 1.99% |
| Sharpe | 0.59 | -0.15 |
| Prob. Sharpe Ratio | 66.0% | 45.97% |
| Smart Sharpe | 0.57 | -0.09 |
| Sortino | 0.86 | -0.25 |
| Smart Sortino | 0.83 | -0.14 |
| Sortino/√2 | 0.6 | -0.17 |
| Smart Sortino/√2 | 0.59 | -0.1 |
| Omega | 1.15 | 1.1 |
| Max Drawdown | -4.93% | -4.11% |
| Max DD Date | 2026-07-29 | 2026-09-25 |
| Max DD Period Start | 2026-06-03 | 2026-06-11 |
| Max DD Period End | 2026-08-03 | 2026-11-04 |
| Longest DD Days | 62 | 147 |
| Volatility (ann.) | 12.43% | 8.33% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.15 | 0.49 |
| Skew | -0.13 | 3.46 |
| Kurtosis | 0.59 | 49.54 |
| Ulcer Performance Index | 2.73 | 0.32 |
| Risk-Adjusted Return | 10.62% | 2.06% |
| Risk-Return Ratio | 0.06 | 0.02 |
| Avg. Return | 0.03% | 0.01% |
| Avg. Win | 0.79% | 0.07% |
| Avg. Loss | -0.53% | -0.12% |
| Win/Loss Ratio | 1.49 | 0.61 |
| Profit Ratio | 1.19 | 0.73 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.72% | 0.14% |
| Expected Yearly | 5.14% | 0.98% |
| Kelly Criterion | 15.68% | -22.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.85% |
| Expected Shortfall (cVaR) | -1.7% | -2.97% |
| Max Consecutive Wins | 4 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.15 | 0.1 |
| Gain/Pain (1M) | 1.67 | 2.42 |
| Payoff Ratio | 1.49 | 0.61 |
| Profit Factor | 1.15 | 1.1 |
| Common Sense Ratio | 1.43 | 0.99 |
| CPC Index | 0.85 | 0.36 |
| Tail Ratio | 1.24 | 0.9 |
| Outlier Win Ratio | 2.66 | 3.91 |
| Outlier Loss Ratio | 3.08 | 3.69 |
| MTD | 1.47% | -0.04% |
| 3M | 1.46% | -0.17% |
| 6M | 5.14% | 0.98% |
| YTD | 5.14% | 0.98% |
| 1Y | 5.14% | 0.98% |
| 3Y (ann.) | 10.62% | 1.99% |
| 5Y (ann.) | 10.62% | 1.99% |
| 10Y (ann.) | 10.62% | 1.99% |
| All-time (ann.) | 10.62% | 1.99% |
| Best Day | 1.8% | 4.46% |
| Worst Day | -2.58% | -2.97% |
| Best Month | 4.52% | 0.77% |
| Worst Month | -1.23% | -0.24% |
| Best Year | 5.14% | 0.98% |
| Worst Year | 5.14% | 0.98% |
| Avg. Drawdown | -1.62% | -0.89% |
| Avg. Drawdown Days | 18 | 27 |
| Recovery Factor | 1.09 | 0.28 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.57 | 0.04 |
| Avg. Up Month | 3.6% | 0.5% |
| Avg. Down Month | -0.82% | -0.15% |
| Win Days | 49.6% | 53.72% |
| Win Month | 42.86% | 42.86% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.23 |
| Alpha | - | 0.05 |
| Correlation | - | -34.31% |
| Treynor Ratio | - | -4.28% |
| Year | SPY | RNMN | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 5.14 | 0.98 | 0.19 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-11 | 2026-11-04 | -4.11 | 147 |
| 2026-06-08 | 2026-06-09 | -0.70 | 2 |
| 2026-05-26 | 2026-06-04 | -0.44 | 10 |
| 2026-05-12 | 2026-05-13 | -0.07 | 2 |
| 2026-05-21 | 2026-05-21 | -0.02 | 1 |
| 2026-05-18 | 2026-05-18 | -0.01 | 1 |