| Metric | SPY | RSBT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 17.87% | 15.95% |
| CAGR﹪ | 18.02% | 16.09% |
| Sharpe | 1.04 | 0.87 |
| Prob. Sharpe Ratio | 84.73% | 80.02% |
| Smart Sharpe | 1.01 | 0.79 |
| Sortino | 1.51 | 1.17 |
| Smart Sortino | 1.47 | 1.06 |
| Sortino/√2 | 1.07 | 0.83 |
| Smart Sortino/√2 | 1.04 | 0.75 |
| Omega | 1.25 | 1.23 |
| Max Drawdown | -8.88% | -6.1% |
| Max DD Date | 2026-03-30 | 2026-08-03 |
| Max DD Period Start | 2026-01-28 | 2026-06-03 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 112 |
| Volatility (ann.) | 12.99% | 13.63% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.03 | 2.64 |
| Skew | -0.15 | -1.05 |
| Kurtosis | 1.05 | 5.03 |
| Ulcer Performance Index | 8.3 | 5.33 |
| Risk-Adjusted Return | 18.02% | 16.59% |
| Risk-Return Ratio | 0.08 | 0.07 |
| Avg. Return | 0.07% | 0.06% |
| Avg. Win | 0.65% | 0.66% |
| Avg. Loss | -0.7% | -0.76% |
| Win/Loss Ratio | 0.93 | 0.87 |
| Profit Ratio | 0.94 | 0.69 |
| Expected Daily | 0.07% | 0.06% |
| Expected Monthly | 1.27% | 1.15% |
| Expected Yearly | 8.57% | 7.68% |
| Kelly Criterion | 3.66% | 5.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.35% |
| Expected Shortfall (cVaR) | -1.72% | -2.17% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.23 |
| Gain/Pain (1M) | 2.6 | 1.52 |
| Payoff Ratio | 0.93 | 0.87 |
| Profit Factor | 1.25 | 1.23 |
| Common Sense Ratio | 1.24 | 1.14 |
| CPC Index | 0.62 | 0.6 |
| Tail Ratio | 0.99 | 0.93 |
| Outlier Win Ratio | 2.88 | 3.43 |
| Outlier Loss Ratio | 3.19 | 3.21 |
| MTD | 1.08% | 1.81% |
| 3M | 3.82% | 1.38% |
| 6M | 19.85% | 4.49% |
| YTD | 14.3% | 8.51% |
| 1Y | 17.87% | 15.95% |
| 3Y (ann.) | 18.02% | 16.09% |
| 5Y (ann.) | 18.02% | 16.09% |
| 10Y (ann.) | 18.02% | 16.09% |
| All-time (ann.) | 18.02% | 16.09% |
| Best Day | 2.91% | 2.73% |
| Worst Day | -2.7% | -4.37% |
| Best Month | 10.51% | 6.13% |
| Worst Month | -4.94% | -4.56% |
| Best Year | 14.3% | 8.51% |
| Worst Year | 3.13% | 6.86% |
| Avg. Drawdown | -1.71% | -2.73% |
| Avg. Drawdown Days | 13 | 26 |
| Recovery Factor | 1.94 | 2.58 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.16 | 0.8 |
| Avg. Up Month | 2.99% | 2.48% |
| Avg. Down Month | -2.98% | -3.26% |
| Win Days | 53.6% | 55.79% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.49 |
| Alpha | - | 0.07 |
| Correlation | - | 46.57% |
| Treynor Ratio | - | 32.65% |
| Year | SPY | RSBT | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 6.86 | 2.19 | + |
| 2026 | 14.30 | 8.51 | 0.60 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-09-22 | -6.10 | 112 |
| 2026-03-02 | 2026-06-01 | -6.03 | 92 |
| 2026-01-30 | 2026-02-24 | -5.24 | 26 |
| 2025-10-21 | 2025-12-18 | -4.21 | 59 |
| 2025-10-09 | 2025-10-13 | -3.10 | 5 |
| 2025-12-29 | 2026-01-02 | -2.96 | 5 |
| 2026-01-15 | 2026-01-21 | -1.70 | 7 |
| 2026-01-07 | 2026-01-08 | -1.29 | 2 |
| 2025-09-24 | 2025-09-25 | -0.94 | 2 |
| 2025-10-17 | 2025-10-17 | -0.62 | 1 |