| Metric | SPY | ROMO |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | 11.53% |
| CAGR﹪ | 40.67% | 24.4% |
| Sharpe | 2.32 | 1.34 |
| Prob. Sharpe Ratio | 95.04% | 83.24% |
| Smart Sharpe | 2.3 | 1.15 |
| Sortino | 3.78 | 2.21 |
| Smart Sortino | 3.75 | 1.9 |
| Sortino/√2 | 2.67 | 1.56 |
| Smart Sortino/√2 | 2.65 | 1.34 |
| Omega | 1.54 | 1.3 |
| Max Drawdown | -4.49% | -3.96% |
| Max DD Date | 2026-06-10 | 2026-06-10 |
| Max DD Period Start | 2026-06-03 | 2026-06-03 |
| Max DD Period End | 2026-07-31 | 2026-07-02 |
| Longest DD Days | 59 | 40 |
| Volatility (ann.) | 13.55% | 14.43% |
| R^2 | 0.82 | 0.82 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 9.05 | 6.17 |
| Skew | 0.1 | 0.57 |
| Kurtosis | 1.12 | 1.4 |
| Ulcer Performance Index | 11.86 | 8.06 |
| Risk-Adjusted Return | 40.67% | 24.4% |
| Risk-Return Ratio | 0.16 | 0.1 |
| Avg. Return | 0.14% | 0.09% |
| Avg. Win | 0.82% | 0.85% |
| Avg. Loss | -0.61% | -0.67% |
| Win/Loss Ratio | 1.35 | 1.27 |
| Profit Ratio | 1.12 | 1.39 |
| Expected Daily | 0.14% | 0.09% |
| Expected Monthly | 2.47% | 1.57% |
| Expected Yearly | 18.6% | 11.53% |
| Kelly Criterion | 19.88% | 9.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.4% |
| Expected Shortfall (cVaR) | -1.77% | -1.74% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.3 |
| Gain/Pain (1M) | 10.92 | 27.89 |
| Payoff Ratio | 1.35 | 1.27 |
| Profit Factor | 1.54 | 1.3 |
| Common Sense Ratio | 2.01 | 1.68 |
| CPC Index | 1.12 | 0.81 |
| Tail Ratio | 1.3 | 1.29 |
| Outlier Win Ratio | 3.21 | 3.42 |
| Outlier Loss Ratio | 3.16 | 2.93 |
| MTD | 1.08% | 0.29% |
| 3M | 3.82% | 3.01% |
| 6M | 18.6% | 11.53% |
| YTD | 18.6% | 11.53% |
| 1Y | 18.6% | 11.53% |
| 3Y (ann.) | 40.67% | 24.4% |
| 5Y (ann.) | 40.67% | 24.4% |
| 10Y (ann.) | 40.67% | 24.4% |
| All-time (ann.) | 40.67% | 24.4% |
| Best Day | 2.91% | 3.29% |
| Worst Day | -2.58% | -2.49% |
| Best Month | 10.51% | 4.56% |
| Worst Month | -1.03% | -0.51% |
| Best Year | 18.6% | 11.53% |
| Worst Year | 18.6% | 11.53% |
| Avg. Drawdown | -1.13% | -1.49% |
| Avg. Drawdown Days | 9 | 11 |
| Recovery Factor | 3.9 | 2.89 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 2.44 |
| Avg. Up Month | 3.91% | 2.16% |
| Avg. Down Month | -1.03% | -0.51% |
| Win Days | 53.97% | 49.21% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.96 |
| Alpha | - | -0.11 |
| Correlation | - | 90.48% |
| Treynor Ratio | - | 11.96% |
| Year | SPY | ROMO | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 11.53 | 0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-07-02 | -3.96 | 30 |
| 2026-04-20 | 2026-05-05 | -3.39 | 16 |
| 2026-08-14 | 2026-09-22 | -3.08 | 40 |
| 2026-07-07 | 2026-07-31 | -2.67 | 25 |
| 2026-03-26 | 2026-03-30 | -2.54 | 5 |
| 2026-05-07 | 2026-05-22 | -2.17 | 16 |
| 2026-03-24 | 2026-03-24 | -0.74 | 1 |
| 2026-04-02 | 2026-04-07 | -0.57 | 6 |
| 2026-08-10 | 2026-08-12 | -0.46 | 3 |
| 2026-04-15 | 2026-04-16 | -0.40 | 2 |