| Metric | SPY | ROMO |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 86.58% | 38.11% |
| CAGR﹪ | 13.36% | 6.71% |
| Sharpe | 0.59 | 0.28 |
| Prob. Sharpe Ratio | 90.85% | 73.52% |
| Smart Sharpe | 0.58 | 0.27 |
| Sortino | 0.86 | 0.39 |
| Smart Sortino | 0.83 | 0.38 |
| Sortino/√2 | 0.61 | 0.28 |
| Smart Sortino/√2 | 0.59 | 0.27 |
| Omega | 1.16 | 1.11 |
| Max Drawdown | -24.5% | -20.26% |
| Max DD Date | 2022-10-12 | 2022-11-07 |
| Max DD Period Start | 2022-01-04 | 2022-01-05 |
| Max DD Period End | 2023-12-12 | 2024-06-04 |
| Longest DD Days | 708 | 882 |
| Volatility (ann.) | 17.2% | 12.18% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.33 |
| Skew | 0.32 | -0.19 |
| Kurtosis | 8.95 | 2.96 |
| Ulcer Performance Index | 10.24 | 3.73 |
| Risk-Adjusted Return | 13.36% | 6.71% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.82% | 0.62% |
| Avg. Loss | -0.85% | -0.66% |
| Win/Loss Ratio | 0.97 | 0.94 |
| Profit Ratio | 0.83 | 0.86 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.03% | 0.53% |
| Expected Yearly | 10.95% | 5.53% |
| Kelly Criterion | 6.72% | 2.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.23% |
| Expected Shortfall (cVaR) | -2.58% | -1.73% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.11 |
| Gain/Pain (1M) | 0.87 | 0.56 |
| Payoff Ratio | 0.97 | 0.94 |
| Profit Factor | 1.16 | 1.11 |
| Common Sense Ratio | 1.17 | 1.04 |
| CPC Index | 0.61 | 0.55 |
| Tail Ratio | 1.01 | 0.94 |
| Outlier Win Ratio | 3.41 | 3.51 |
| Outlier Loss Ratio | 3.77 | 3.55 |
| MTD | 1.08% | 0.29% |
| 3M | 3.82% | 3.01% |
| 6M | 19.85% | 14.22% |
| YTD | 14.3% | 9.67% |
| 1Y | 17.78% | 13.05% |
| 3Y (ann.) | 24.86% | 17.16% |
| 5Y (ann.) | 13.06% | 6.63% |
| 10Y (ann.) | 13.36% | 6.71% |
| All-time (ann.) | 13.36% | 6.71% |
| Best Day | 10.5% | 4.66% |
| Worst Day | -5.85% | -4.29% |
| Best Month | 10.51% | 5.86% |
| Worst Month | -9.24% | -8.01% |
| Best Year | 26.18% | 20.68% |
| Worst Year | -18.18% | -18.88% |
| Avg. Drawdown | -1.89% | -2.27% |
| Avg. Drawdown Days | 20 | 35 |
| Recovery Factor | 2.85 | 1.78 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 0.47 | 0.14 |
| Avg. Up Month | 4.09% | 2.85% |
| Avg. Down Month | -3.98% | -2.86% |
| Win Days | 54.04% | 53.04% |
| Win Month | 63.93% | 57.38% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.55 |
| Alpha | - | -0.0 |
| Correlation | - | 77.8% |
| Treynor Ratio | - | 69.17% |
| Year | SPY | ROMO | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 5.99 | 0.79 | - |
| 2022 | -18.18 | -18.88 | 1.04 | - |
| 2023 | 26.18 | 11.05 | 0.42 | - |
| 2024 | 24.89 | 20.68 | 0.83 | - |
| 2025 | 17.72 | 9.29 | 0.52 | - |
| 2026 | 14.30 | 9.67 | 0.68 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2024-06-04 | -20.26 | 882 |
| 2025-02-20 | 2025-08-13 | -14.09 | 175 |
| 2026-02-26 | 2026-08-03 | -11.16 | 159 |
| 2024-07-17 | 2024-09-18 | -8.67 | 64 |
| 2025-10-29 | 2025-12-22 | -4.79 | 55 |
| 2021-11-19 | 2021-12-09 | -4.18 | 21 |
| 2024-12-09 | 2025-01-22 | -4.11 | 45 |
| 2021-09-27 | 2021-10-15 | -3.45 | 19 |
| 2025-10-07 | 2025-10-17 | -3.23 | 11 |
| 2026-08-14 | 2026-09-22 | -3.08 | 40 |