| Metric | SPY | ROMO |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 12.9% |
| CAGR﹪ | 18.02% | 13.01% |
| Sharpe | 1.04 | 0.65 |
| Prob. Sharpe Ratio | 84.73% | 74.05% |
| Smart Sharpe | 1.01 | 0.58 |
| Sortino | 1.51 | 0.94 |
| Smart Sortino | 1.47 | 0.83 |
| Sortino/√2 | 1.07 | 0.66 |
| Smart Sortino/√2 | 1.04 | 0.59 |
| Omega | 1.25 | 1.17 |
| Max Drawdown | -8.88% | -11.16% |
| Max DD Date | 2026-03-30 | 2026-03-20 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-08-03 |
| Longest DD Days | 76 | 159 |
| Volatility (ann.) | 12.99% | 14.3% |
| R^2 | 0.76 | 0.76 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.03 | 1.17 |
| Skew | -0.15 | -0.08 |
| Kurtosis | 1.05 | 1.65 |
| Ulcer Performance Index | 8.3 | 4.01 |
| Risk-Adjusted Return | 18.02% | 13.01% |
| Risk-Return Ratio | 0.08 | 0.06 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.69% | 0.72% |
| Avg. Loss | -0.69% | -0.77% |
| Win/Loss Ratio | 1.01 | 0.94 |
| Profit Ratio | 0.94 | 0.72 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.27% | 0.94% |
| Expected Yearly | 8.57% | 6.26% |
| Kelly Criterion | 7.75% | 9.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.43% |
| Expected Shortfall (cVaR) | -1.72% | -2.07% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.17 |
| Gain/Pain (1M) | 2.6 | 1.53 |
| Payoff Ratio | 1.01 | 0.94 |
| Profit Factor | 1.25 | 1.17 |
| Common Sense Ratio | 1.24 | 1.17 |
| CPC Index | 0.68 | 0.62 |
| Tail Ratio | 0.99 | 1.0 |
| Outlier Win Ratio | 2.88 | 3.71 |
| Outlier Loss Ratio | 3.19 | 3.62 |
| MTD | 1.08% | 0.29% |
| 3M | 3.82% | 3.01% |
| 6M | 19.85% | 14.22% |
| YTD | 14.3% | 9.67% |
| 1Y | 17.87% | 12.9% |
| 3Y (ann.) | 18.02% | 13.01% |
| 5Y (ann.) | 18.02% | 13.01% |
| 10Y (ann.) | 18.02% | 13.01% |
| All-time (ann.) | 18.02% | 13.01% |
| Best Day | 2.91% | 3.29% |
| Worst Day | -2.7% | -3.09% |
| Best Month | 10.51% | 4.56% |
| Worst Month | -4.94% | -8.01% |
| Best Year | 14.3% | 9.67% |
| Worst Year | 3.13% | 2.95% |
| Avg. Drawdown | -1.71% | -2.2% |
| Avg. Drawdown Days | 13 | 23 |
| Recovery Factor | 1.94 | 1.18 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.16 | 0.44 |
| Avg. Up Month | 2.66% | 1.89% |
| Avg. Down Month | -2.98% | -4.26% |
| Win Days | 53.6% | 56.0% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.96 |
| Alpha | - | -0.03 |
| Correlation | - | 87.38% |
| Treynor Ratio | - | 13.42% |
| Year | SPY | ROMO | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 2.95 | 0.94 | - |
| 2026 | 14.30 | 9.67 | 0.68 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-08-03 | -11.16 | 159 |
| 2025-10-29 | 2025-12-22 | -4.79 | 55 |
| 2025-10-07 | 2025-10-17 | -3.23 | 11 |
| 2026-08-14 | 2026-09-22 | -3.08 | 40 |
| 2026-01-28 | 2026-02-05 | -1.79 | 9 |
| 2026-01-20 | 2026-01-21 | -1.58 | 2 |
| 2025-09-24 | 2025-09-29 | -1.03 | 6 |
| 2026-02-12 | 2026-02-24 | -0.96 | 13 |
| 2025-10-21 | 2025-10-23 | -0.90 | 3 |
| 2025-12-26 | 2026-01-02 | -0.68 | 8 |