| Metric | SPY | ROMO |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 175.72% | 55.18% |
| CAGR﹪ | 15.64% | 6.5% |
| Sharpe | 0.69 | 0.31 |
| Prob. Sharpe Ratio | 96.42% | 79.03% |
| Smart Sharpe | 0.59 | 0.26 |
| Sortino | 0.97 | 0.41 |
| Smart Sortino | 0.84 | 0.35 |
| Sortino/√2 | 0.69 | 0.29 |
| Smart Sortino/√2 | 0.59 | 0.25 |
| Omega | 1.17 | 1.1 |
| 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.) | 19.75% | 14.33% |
| R^2 | 0.69 | 0.69 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.46 | 0.23 |
| Skew | -0.27 | -1.19 |
| Kurtosis | 13.82 | 16.94 |
| Ulcer Performance Index | 21.62 | 5.09 |
| Risk-Adjusted Return | 15.64% | 6.5% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.85% | 0.64% |
| Avg. Loss | -0.91% | -0.72% |
| Win/Loss Ratio | 0.94 | 0.89 |
| Profit Ratio | 0.78 | 0.79 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.2% | 0.52% |
| Expected Yearly | 13.52% | 5.65% |
| Kelly Criterion | 7.08% | 2.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.98% | -1.46% |
| Expected Shortfall (cVaR) | -3.26% | -2.48% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.17 | 0.1 |
| Gain/Pain (1M) | 1.07 | 0.54 |
| Payoff Ratio | 0.94 | 0.89 |
| Profit Factor | 1.17 | 1.1 |
| Common Sense Ratio | 1.14 | 1.07 |
| CPC Index | 0.6 | 0.53 |
| Tail Ratio | 0.97 | 0.97 |
| Outlier Win Ratio | 3.73 | 3.42 |
| Outlier Loss Ratio | 4.09 | 4.1 |
| 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.) | 15.64% | 6.5% |
| All-time (ann.) | 15.64% | 6.5% |
| 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 | -1.84% | -2.11% |
| Avg. Drawdown Days | 16 | 29 |
| Recovery Factor | 3.41 | 1.79 |
| Ulcer Index | 0.08 | 0.11 |
| Serenity Index | 0.92 | 0.19 |
| Avg. Up Month | 4.3% | 2.93% |
| Avg. Down Month | -4.03% | -3.29% |
| Win Days | 55.09% | 53.99% |
| Win Month | 64.71% | 60.0% |
| Win Quarter | 75.86% | 72.41% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.6 |
| Alpha | - | -0.03 |
| Correlation | - | 82.89% |
| Treynor Ratio | - | 91.75% |
| 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 | 13.33 | 6.75 | 0.51 | - |
| 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 |
| 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 |