| Metric | SPY | RSBA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 34.96% | 4.34% |
| CAGR﹪ | 18.78% | 2.47% |
| Sharpe | 0.83 | -0.36 |
| Prob. Sharpe Ratio | 87.03% | 31.6% |
| Smart Sharpe | 0.74 | -0.34 |
| Sortino | 1.25 | -0.5 |
| Smart Sortino | 1.11 | -0.47 |
| Sortino/√2 | 0.88 | -0.35 |
| Smart Sortino/√2 | 0.79 | -0.33 |
| Omega | 1.24 | 1.08 |
| Max Drawdown | -18.76% | -4.82% |
| Max DD Date | 2025-04-08 | 2026-09-18 |
| Max DD Period Start | 2025-02-20 | 2026-02-17 |
| Max DD Period End | 2025-06-25 | 2026-09-22 |
| Longest DD Days | 126 | 218 |
| Volatility (ann.) | 17.08% | 5.13% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.0 | 0.51 |
| Skew | 1.27 | -0.17 |
| Kurtosis | 22.94 | 1.39 |
| Ulcer Performance Index | 8.96 | 3.11 |
| Risk-Adjusted Return | 18.78% | 2.49% |
| Risk-Return Ratio | 0.07 | 0.03 |
| Avg. Return | 0.08% | 0.01% |
| Avg. Win | 0.8% | 0.26% |
| Avg. Loss | -0.71% | -0.29% |
| Win/Loss Ratio | 1.13 | 0.9 |
| Profit Ratio | 0.83 | 0.91 |
| Expected Daily | 0.07% | 0.01% |
| Expected Monthly | 1.37% | 0.19% |
| Expected Yearly | 10.51% | 1.43% |
| Kelly Criterion | 15.12% | -2.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.7% | -0.52% |
| Expected Shortfall (cVaR) | -2.7% | -0.68% |
| Max Consecutive Wins | 9 | 6 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.24 | 0.08 |
| Gain/Pain (1M) | 2.42 | 0.59 |
| Payoff Ratio | 1.13 | 0.9 |
| Profit Factor | 1.24 | 1.08 |
| Common Sense Ratio | 1.23 | 1.1 |
| CPC Index | 0.77 | 0.5 |
| Tail Ratio | 1.0 | 1.02 |
| Outlier Win Ratio | 3.37 | 3.01 |
| Outlier Loss Ratio | 3.78 | 2.76 |
| MTD | 1.08% | -1.22% |
| 3M | 3.82% | -3.39% |
| 6M | 19.85% | -1.81% |
| YTD | 14.3% | -3.12% |
| 1Y | 17.78% | -2.08% |
| 3Y (ann.) | 18.78% | 2.47% |
| 5Y (ann.) | 18.78% | 2.47% |
| 10Y (ann.) | 18.78% | 2.47% |
| All-time (ann.) | 18.78% | 2.47% |
| Best Day | 10.5% | 0.98% |
| Worst Day | -5.85% | -1.68% |
| Best Month | 10.51% | 2.08% |
| Worst Month | -5.57% | -1.84% |
| Best Year | 17.72% | 7.73% |
| Worst Year | 0.3% | -3.12% |
| Avg. Drawdown | -1.85% | -0.86% |
| Avg. Drawdown Days | 14 | 28 |
| Recovery Factor | 1.73 | 0.93 |
| Ulcer Index | 0.04 | 0.01 |
| Serenity Index | 0.85 | 0.3 |
| Avg. Up Month | 3.7% | 0.74% |
| Avg. Down Month | -4.94% | -1.77% |
| Win Days | 54.9% | 51.28% |
| Win Month | 72.73% | 63.64% |
| Win Quarter | 75.0% | 62.5% |
| Win Year | 100.0% | 33.33% |
| Beta | - | 0.06 |
| Alpha | - | 0.02 |
| Correlation | - | 18.79% |
| Treynor Ratio | - | 76.87% |
| Year | SPY | RSBA | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 0.30 | -0.04 | -0.12 | - |
| 2025 | 17.72 | 7.73 | 0.44 | - |
| 2026 | 14.30 | -3.12 | -0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-17 | 2026-09-22 | -4.82 | 218 |
| 2025-04-04 | 2025-06-23 | -2.83 | 81 |
| 2024-12-23 | 2025-01-24 | -1.36 | 33 |
| 2025-07-01 | 2025-07-31 | -1.25 | 31 |
| 2025-11-28 | 2026-02-06 | -1.20 | 71 |
| 2025-02-06 | 2025-02-20 | -1.14 | 15 |
| 2025-10-23 | 2025-11-21 | -1.05 | 30 |
| 2025-09-12 | 2025-10-10 | -1.00 | 29 |
| 2025-08-05 | 2025-09-03 | -0.93 | 30 |
| 2025-03-04 | 2025-03-27 | -0.78 | 24 |