| Metric | SPY | RNMN |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 112.05% | 27.15% |
| CAGR﹪ | 19.75% | 5.93% |
| Sharpe | 0.92 | 0.23 |
| Prob. Sharpe Ratio | 97.1% | 68.48% |
| Smart Sharpe | 0.87 | 0.14 |
| Sortino | 1.37 | 0.34 |
| Smart Sortino | 1.3 | 0.21 |
| Sortino/√2 | 0.97 | 0.24 |
| Smart Sortino/√2 | 0.92 | 0.15 |
| Omega | 1.24 | 1.33 |
| 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 | 120 |
| Volatility (ann.) | 16.19% | 6.08% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.05 | 1.33 |
| Skew | 0.66 | 0.68 |
| Kurtosis | 13.01 | 57.18 |
| Ulcer Performance Index | 24.24 | 22.56 |
| Risk-Adjusted Return | 19.75% | 5.99% |
| Risk-Return Ratio | 0.08 | 0.06 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.77% | 0.15% |
| Avg. Loss | -0.78% | -0.18% |
| Win/Loss Ratio | 0.99 | 0.85 |
| Profit Ratio | 0.85 | 0.68 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.48% | 0.47% |
| Expected Yearly | 16.22% | 4.92% |
| Kelly Criterion | 8.81% | 7.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.6% | -0.61% |
| Expected Shortfall (cVaR) | -2.36% | -1.34% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.24 | 0.33 |
| Gain/Pain (1M) | 1.55 | 3.97 |
| Payoff Ratio | 0.99 | 0.85 |
| Profit Factor | 1.24 | 1.33 |
| Common Sense Ratio | 1.27 | 1.53 |
| CPC Index | 0.67 | 0.65 |
| Tail Ratio | 1.02 | 1.15 |
| Outlier Win Ratio | 3.57 | 5.61 |
| Outlier Loss Ratio | 3.62 | 4.62 |
| MTD | 1.08% | -0.71% |
| 3M | 2.51% | -0.45% |
| 6M | 18.33% | 1.46% |
| YTD | 12.85% | 1.45% |
| 1Y | 16.29% | 2.46% |
| 3Y (ann.) | 24.38% | 5.83% |
| 5Y (ann.) | 19.75% | 5.93% |
| 10Y (ann.) | 19.75% | 5.93% |
| All-time (ann.) | 19.75% | 5.93% |
| 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% | 1.45% |
| Avg. Drawdown | -1.79% | -0.45% |
| Avg. Drawdown Days | 15 | 12 |
| Recovery Factor | 4.3 | 5.55 |
| Ulcer Index | 0.05 | 0.01 |
| Serenity Index | 1.5 | 2.6 |
| Avg. Up Month | 3.63% | 0.85% |
| Avg. Down Month | -4.08% | -0.27% |
| Win Days | 54.62% | 57.52% |
| Win Month | 66.67% | 74.51% |
| Win Quarter | 76.47% | 88.24% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.0 |
| Alpha | - | 0.06 |
| Correlation | - | 0.47% |
| Treynor Ratio | - | 15342.33% |
| 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 | 12.85 | 1.45 | 0.11 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-08-08 | 2024-09-24 | -4.47 | 48 |
| 2026-06-11 | 2026-09-22 | -3.85 | 104 |
| 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 |