| Metric | SPY | RSBA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 33.81% | 6.68% |
| CAGR﹪ | 16.9% | 3.53% |
| Sharpe | 0.76 | -0.13 |
| Prob. Sharpe Ratio | 85.53% | 42.69% |
| Smart Sharpe | 0.68 | -0.13 |
| Sortino | 1.13 | -0.19 |
| Smart Sortino | 1.02 | -0.18 |
| Sortino/√2 | 0.8 | -0.13 |
| Smart Sortino/√2 | 0.72 | -0.13 |
| Omega | 1.22 | 1.12 |
| Max Drawdown | -18.76% | -6.2% |
| Max DD Date | 2025-04-08 | 2026-09-30 |
| Max DD Period Start | 2025-02-20 | 2026-02-17 |
| Max DD Period End | 2025-06-25 | 2026-11-04 |
| Longest DD Days | 126 | 261 |
| Volatility (ann.) | 16.76% | 5.21% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.9 | 0.57 |
| Skew | 1.26 | -0.14 |
| Kurtosis | 23.2 | 1.43 |
| Ulcer Performance Index | 8.91 | 3.6 |
| Risk-Adjusted Return | 16.9% | 3.57% |
| Risk-Return Ratio | 0.06 | 0.04 |
| Avg. Return | 0.07% | 0.01% |
| Avg. Win | 0.79% | 0.26% |
| Avg. Loss | -0.7% | -0.3% |
| Win/Loss Ratio | 1.13 | 0.89 |
| Profit Ratio | 0.85 | 0.9 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.22% | 0.27% |
| Expected Yearly | 10.2% | 2.18% |
| Kelly Criterion | 14.23% | -2.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.67% | -0.53% |
| Expected Shortfall (cVaR) | -2.59% | -0.71% |
| Max Consecutive Wins | 9 | 6 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.22 | 0.12 |
| Gain/Pain (1M) | 2.18 | 0.71 |
| Payoff Ratio | 1.13 | 0.89 |
| Profit Factor | 1.22 | 1.12 |
| Common Sense Ratio | 1.21 | 1.19 |
| CPC Index | 0.75 | 0.52 |
| Tail Ratio | 1.0 | 1.06 |
| Outlier Win Ratio | 3.21 | 3.06 |
| Outlier Loss Ratio | 3.79 | 2.76 |
| MTD | 1.47% | 1.0% |
| 3M | 1.46% | -0.12% |
| 6M | 6.94% | -0.8% |
| YTD | 13.33% | -0.94% |
| 1Y | 13.43% | -0.56% |
| 3Y (ann.) | 16.9% | 3.53% |
| 5Y (ann.) | 16.9% | 3.53% |
| 10Y (ann.) | 16.9% | 3.53% |
| All-time (ann.) | 16.9% | 3.53% |
| Best Day | 10.5% | 1.07% |
| Worst Day | -5.85% | -1.68% |
| Best Month | 10.51% | 3.18% |
| Worst Month | -5.57% | -3.08% |
| Best Year | 17.72% | 7.73% |
| Worst Year | 0.3% | -0.94% |
| Avg. Drawdown | -1.89% | -0.93% |
| Avg. Drawdown Days | 14 | 30 |
| Recovery Factor | 1.69 | 1.08 |
| Ulcer Index | 0.04 | 0.02 |
| Serenity Index | 0.85 | 0.24 |
| Avg. Up Month | 3.47% | 0.77% |
| Avg. Down Month | -2.63% | -2.42% |
| Win Days | 54.47% | 51.84% |
| Win Month | 66.67% | 66.67% |
| Win Quarter | 77.78% | 66.67% |
| Win Year | 100.0% | 33.33% |
| Beta | - | 0.06 |
| Alpha | - | 0.03 |
| Correlation | - | 17.94% |
| Treynor Ratio | - | 119.8% |
| Year | SPY | RSBA | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 0.30 | -0.04 | -0.12 | - |
| 2025 | 17.72 | 7.73 | 0.44 | - |
| 2026 | 13.33 | -0.94 | -0.07 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-17 | 2026-11-04 | -6.20 | 261 |
| 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 |