| Metric | SPY | RSBA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 14.39% | -0.27% |
| CAGR﹪ | 14.51% | -0.27% |
| Sharpe | 0.83 | -0.75 |
| Prob. Sharpe Ratio | 79.61% | 22.69% |
| Smart Sharpe | 0.82 | -0.66 |
| Sortino | 1.22 | -1.03 |
| Smart Sortino | 1.2 | -0.9 |
| Sortino/√2 | 0.86 | -0.73 |
| Smart Sortino/√2 | 0.85 | -0.64 |
| Omega | 1.2 | 1.0 |
| Max Drawdown | -8.88% | -6.2% |
| Max DD Date | 2026-03-30 | 2026-09-30 |
| Max DD Period Start | 2026-01-28 | 2026-02-17 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 261 |
| Volatility (ann.) | 12.86% | 5.05% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 1.63 | -0.04 |
| Skew | -0.02 | -0.01 |
| Kurtosis | 0.78 | 0.44 |
| Ulcer Performance Index | 6.68 | -0.11 |
| Risk-Adjusted Return | 14.51% | -0.27% |
| Risk-Return Ratio | 0.07 | -0.0 |
| Avg. Return | 0.07% | -0.0% |
| Avg. Win | 0.74% | 0.26% |
| Avg. Loss | -0.61% | -0.32% |
| Win/Loss Ratio | 1.2 | 0.81 |
| Profit Ratio | 1.02 | 0.9 |
| Expected Daily | 0.05% | -0.0% |
| Expected Monthly | 1.04% | -0.02% |
| Expected Yearly | 6.95% | -0.14% |
| Kelly Criterion | 12.14% | -11.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.52% |
| Expected Shortfall (cVaR) | -1.66% | -0.68% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | -0.0 |
| Gain/Pain (1M) | 1.83 | -0.02 |
| Payoff Ratio | 1.2 | 0.81 |
| Profit Factor | 1.2 | 1.0 |
| Common Sense Ratio | 1.19 | 0.94 |
| CPC Index | 0.75 | 0.4 |
| Tail Ratio | 0.99 | 0.95 |
| Outlier Win Ratio | 2.84 | 3.06 |
| Outlier Loss Ratio | 3.01 | 2.76 |
| MTD | 1.47% | 1.0% |
| 3M | 1.46% | -0.12% |
| 6M | 6.94% | -0.8% |
| YTD | 13.33% | -0.94% |
| 1Y | 14.39% | -0.27% |
| 3Y (ann.) | 14.51% | -0.27% |
| 5Y (ann.) | 14.51% | -0.27% |
| 10Y (ann.) | 14.51% | -0.27% |
| All-time (ann.) | 14.51% | -0.27% |
| Best Day | 2.91% | 1.07% |
| Worst Day | -2.58% | -1.02% |
| Best Month | 10.51% | 3.18% |
| Worst Month | -4.94% | -3.08% |
| Best Year | 13.33% | 0.67% |
| Worst Year | 0.94% | -0.94% |
| Avg. Drawdown | -1.74% | -2.03% |
| Avg. Drawdown Days | 14 | 86 |
| Recovery Factor | 1.61 | 0.02 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | -0.0 |
| Avg. Up Month | 3.91% | 0.6% |
| Avg. Down Month | -2.63% | -2.42% |
| Win Days | 52.0% | 50.41% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.16 |
| Alpha | - | -0.02 |
| Correlation | - | 40.1% |
| Treynor Ratio | - | -1.71% |
| Year | SPY | RSBA | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.67 | 0.72 | - |
| 2026 | 13.33 | -0.94 | -0.07 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-17 | 2026-11-04 | -6.20 | 261 |
| 2025-11-28 | 2026-02-06 | -1.20 | 71 |
| 2025-11-12 | 2025-11-20 | -0.51 | 9 |
| 2026-02-11 | 2026-02-11 | -0.24 | 1 |