| Metric | SPY | ROMO |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 74.99% | 28.86% |
| CAGR﹪ | 11.91% | 5.23% |
| Sharpe | 0.52 | 0.16 |
| Prob. Sharpe Ratio | 87.6% | 64.14% |
| Smart Sharpe | 0.5 | 0.16 |
| Sortino | 0.74 | 0.23 |
| Smart Sortino | 0.72 | 0.22 |
| Sortino/√2 | 0.53 | 0.16 |
| Smart Sortino/√2 | 0.51 | 0.15 |
| Omega | 1.14 | 1.09 |
| 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.) | 17.19% | 12.19% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.26 |
| Skew | 0.33 | -0.18 |
| Kurtosis | 8.98 | 2.94 |
| Ulcer Performance Index | 8.86 | 2.83 |
| Risk-Adjusted Return | 11.91% | 5.23% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.83% | 0.62% |
| Avg. Loss | -0.84% | -0.66% |
| Win/Loss Ratio | 0.98 | 0.94 |
| Profit Ratio | 0.86 | 0.88 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.42% |
| Expected Yearly | 9.77% | 4.32% |
| Kelly Criterion | 6.11% | 2.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.24% |
| Expected Shortfall (cVaR) | -2.58% | -1.76% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.09 |
| Gain/Pain (1M) | 0.79 | 0.44 |
| Payoff Ratio | 0.98 | 0.94 |
| Profit Factor | 1.14 | 1.09 |
| Common Sense Ratio | 1.15 | 1.03 |
| CPC Index | 0.6 | 0.54 |
| Tail Ratio | 1.0 | 0.95 |
| Outlier Win Ratio | 3.4 | 3.51 |
| Outlier Loss Ratio | 3.8 | 3.55 |
| MTD | 1.47% | 1.35% |
| 3M | 1.46% | -0.95% |
| 6M | 6.94% | 3.2% |
| YTD | 13.33% | 6.75% |
| 1Y | 13.43% | 7.19% |
| 3Y (ann.) | 20.78% | 13.79% |
| 5Y (ann.) | 12.86% | 6.08% |
| 10Y (ann.) | 11.91% | 5.23% |
| All-time (ann.) | 11.91% | 5.23% |
| Best Day | 10.5% | 4.66% |
| Worst Day | -5.85% | -4.29% |
| Best Month | 10.51% | 5.12% |
| Worst Month | -9.24% | -8.01% |
| Best Year | 26.18% | 20.68% |
| Worst Year | -18.18% | -18.88% |
| Avg. Drawdown | -1.94% | -2.43% |
| Avg. Drawdown Days | 21 | 39 |
| Recovery Factor | 2.58 | 1.43 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 0.43 | 0.11 |
| Avg. Up Month | 4.01% | 2.79% |
| Avg. Down Month | -3.79% | -2.83% |
| Win Days | 53.48% | 52.56% |
| Win Month | 62.3% | 55.74% |
| Win Quarter | 71.43% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.55 |
| Alpha | - | -0.01 |
| Correlation | - | 77.78% |
| Treynor Ratio | - | 52.34% |
| Year | SPY | ROMO | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 1.60 | 0.92 | - |
| 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 | 13.33 | 6.75 | 0.51 | - |
| 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 |
| 2026-08-14 | 2026-11-04 | -5.03 | 83 |
| 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 |
| 2025-10-07 | 2025-10-17 | -3.23 | 11 |
| 2021-12-13 | 2021-12-22 | -2.96 | 10 |