| Metric | SPY | RSBA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 17.87% | -2.19% |
| CAGR﹪ | 18.02% | -2.21% |
| Sharpe | 1.04 | -1.3 |
| Prob. Sharpe Ratio | 84.73% | 9.8% |
| Smart Sharpe | 1.01 | -1.12 |
| Sortino | 1.51 | -1.71 |
| Smart Sortino | 1.47 | -1.47 |
| Sortino/√2 | 1.07 | -1.21 |
| Smart Sortino/√2 | 1.04 | -1.04 |
| Omega | 1.25 | 0.93 |
| Max Drawdown | -8.88% | -4.82% |
| Max DD Date | 2026-03-30 | 2026-09-18 |
| Max DD Period Start | 2026-01-28 | 2026-02-17 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 218 |
| Volatility (ann.) | 12.99% | 4.69% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 2.03 | -0.46 |
| Skew | -0.15 | -0.08 |
| Kurtosis | 1.05 | 0.03 |
| Ulcer Performance Index | 8.3 | -1.33 |
| Risk-Adjusted Return | 18.02% | -2.25% |
| Risk-Return Ratio | 0.08 | -0.03 |
| Avg. Return | 0.07% | -0.01% |
| Avg. Win | 0.75% | 0.24% |
| Avg. Loss | -0.61% | -0.3% |
| Win/Loss Ratio | 1.22 | 0.81 |
| Profit Ratio | 0.94 | 0.87 |
| Expected Daily | 0.07% | -0.01% |
| Expected Monthly | 1.27% | -0.17% |
| Expected Yearly | 8.57% | -1.1% |
| Kelly Criterion | 15.63% | -12.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.49% |
| Expected Shortfall (cVaR) | -1.72% | -0.63% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | -0.07 |
| Gain/Pain (1M) | 2.6 | -0.32 |
| Payoff Ratio | 1.22 | 0.81 |
| Profit Factor | 1.25 | 0.93 |
| Common Sense Ratio | 1.24 | 0.85 |
| CPC Index | 0.82 | 0.37 |
| Tail Ratio | 0.99 | 0.92 |
| Outlier Win Ratio | 2.88 | 3.11 |
| Outlier Loss Ratio | 3.19 | 2.84 |
| MTD | 1.08% | -1.22% |
| 3M | 3.82% | -3.39% |
| 6M | 19.85% | -1.81% |
| YTD | 14.3% | -3.12% |
| 1Y | 17.87% | -2.19% |
| 3Y (ann.) | 18.02% | -2.21% |
| 5Y (ann.) | 18.02% | -2.21% |
| 10Y (ann.) | 18.02% | -2.21% |
| All-time (ann.) | 18.02% | -2.21% |
| Best Day | 2.91% | 0.79% |
| Worst Day | -2.7% | -0.85% |
| Best Month | 10.51% | 1.12% |
| Worst Month | -4.94% | -1.84% |
| Best Year | 14.3% | 0.96% |
| Worst Year | 3.13% | -3.12% |
| Avg. Drawdown | -1.71% | -1.05% |
| Avg. Drawdown Days | 13 | 42 |
| Recovery Factor | 1.94 | 0.44 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | -0.1 |
| Avg. Up Month | 3.96% | 0.47% |
| Avg. Down Month | -4.94% | -1.77% |
| Win Days | 53.6% | 49.8% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.14 |
| Alpha | - | -0.05 |
| Correlation | - | 40.13% |
| Treynor Ratio | - | -15.11% |
| Year | SPY | RSBA | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 0.96 | 0.31 | - |
| 2026 | 14.30 | -3.12 | -0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-17 | 2026-09-22 | -4.82 | 218 |
| 2025-11-28 | 2026-02-06 | -1.20 | 71 |
| 2025-10-23 | 2025-11-21 | -1.05 | 30 |
| 2025-10-03 | 2025-10-09 | -0.40 | 7 |
| 2025-09-24 | 2025-09-30 | -0.29 | 7 |
| 2025-10-17 | 2025-10-21 | -0.28 | 5 |
| 2026-02-11 | 2026-02-11 | -0.24 | 1 |
| 2025-10-15 | 2025-10-15 | -0.09 | 1 |