| Metric | SPY | ROMO |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 178.08% | 59.43% |
| CAGR﹪ | 16.08% | 7.04% |
| Sharpe | 0.7 | 0.34 |
| Prob. Sharpe Ratio | 96.62% | 81.27% |
| Smart Sharpe | 0.61 | 0.29 |
| Sortino | 0.99 | 0.46 |
| Smart Sortino | 0.86 | 0.39 |
| Sortino/√2 | 0.7 | 0.33 |
| Smart Sortino/√2 | 0.6 | 0.28 |
| Omega | 1.18 | 1.11 |
| Max Drawdown | -33.72% | -28.66% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-20 |
| Max DD Period End | 2020-08-07 | 2021-04-14 |
| Longest DD Days | 708 | 882 |
| Volatility (ann.) | 19.87% | 14.38% |
| R^2 | 0.69 | 0.69 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.25 |
| Skew | -0.27 | -1.2 |
| Kurtosis | 13.71 | 17.02 |
| Ulcer Performance Index | 21.72 | 5.44 |
| Risk-Adjusted Return | 16.08% | 7.04% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.86% | 0.64% |
| Avg. Loss | -0.92% | -0.72% |
| Win/Loss Ratio | 0.93 | 0.89 |
| Profit Ratio | 0.77 | 0.79 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.24% | 0.56% |
| Expected Yearly | 13.64% | 6.0% |
| Kelly Criterion | 7.23% | 2.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.99% | -1.46% |
| Expected Shortfall (cVaR) | -3.26% | -2.51% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.11 |
| Gain/Pain (1M) | 1.09 | 0.59 |
| Payoff Ratio | 0.93 | 0.89 |
| Profit Factor | 1.18 | 1.11 |
| Common Sense Ratio | 1.14 | 1.08 |
| CPC Index | 0.61 | 0.53 |
| Tail Ratio | 0.97 | 0.97 |
| Outlier Win Ratio | 3.75 | 3.43 |
| Outlier Loss Ratio | 4.07 | 4.12 |
| 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.) | 16.08% | 7.04% |
| All-time (ann.) | 16.08% | 7.04% |
| Best Day | 10.5% | 7.35% |
| Worst Day | -10.94% | -9.12% |
| Best Month | 12.7% | 9.8% |
| Worst Month | -12.49% | -12.91% |
| Best Year | 28.73% | 21.41% |
| Worst Year | -18.18% | -18.88% |
| Avg. Drawdown | -1.83% | -2.08% |
| Avg. Drawdown Days | 16 | 29 |
| Recovery Factor | 3.44 | 1.88 |
| Ulcer Index | 0.08 | 0.11 |
| Serenity Index | 0.92 | 0.2 |
| Avg. Up Month | 4.29% | 2.91% |
| Avg. Down Month | -4.31% | -3.4% |
| Win Days | 55.21% | 54.09% |
| Win Month | 66.27% | 61.45% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.6 |
| Alpha | - | -0.02 |
| Correlation | - | 82.81% |
| Treynor Ratio | - | 99.17% |
| Year | SPY | ROMO | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 5.23 | 4.41 | 0.84 | - |
| 2020 | 18.33 | -3.48 | -0.19 | - |
| 2021 | 28.73 | 21.41 | 0.75 | - |
| 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 |
|---|---|---|---|
| 2020-02-20 | 2021-04-14 | -28.66 | 420 |
| 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 |
| 2021-09-03 | 2021-10-25 | -5.07 | 53 |
| 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 |
| 2021-05-10 | 2021-06-03 | -4.00 | 25 |