| Metric | SPY | RSBT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 14.39% | 7.96% |
| CAGR﹪ | 14.51% | 8.02% |
| Sharpe | 0.83 | 0.38 |
| Prob. Sharpe Ratio | 79.61% | 64.44% |
| Smart Sharpe | 0.82 | 0.35 |
| Sortino | 1.22 | 0.49 |
| Smart Sortino | 1.2 | 0.46 |
| Sortino/√2 | 0.86 | 0.35 |
| Smart Sortino/√2 | 0.85 | 0.32 |
| Omega | 1.2 | 1.13 |
| 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 | 2026-11-04 |
| Longest DD Days | 76 | 155 |
| Volatility (ann.) | 12.86% | 12.95% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.63 | 1.31 |
| Skew | -0.02 | -1.24 |
| Kurtosis | 0.78 | 6.05 |
| Ulcer Performance Index | 6.68 | 2.59 |
| Risk-Adjusted Return | 14.51% | 8.27% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.64% | 0.6% |
| Avg. Loss | -0.69% | -0.74% |
| Win/Loss Ratio | 0.92 | 0.81 |
| Profit Ratio | 1.02 | 0.65 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.59% |
| Expected Yearly | 6.95% | 3.9% |
| Kelly Criterion | -0.02% | 0.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.31% |
| Expected Shortfall (cVaR) | -1.66% | -2.12% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.13 |
| Gain/Pain (1M) | 1.83 | 0.7 |
| Payoff Ratio | 0.92 | 0.81 |
| Profit Factor | 1.2 | 1.13 |
| Common Sense Ratio | 1.19 | 1.04 |
| CPC Index | 0.58 | 0.5 |
| Tail Ratio | 0.99 | 0.93 |
| Outlier Win Ratio | 2.84 | 3.13 |
| Outlier Loss Ratio | 3.01 | 3.3 |
| MTD | 1.47% | -2.09% |
| 3M | 1.46% | 1.19% |
| 6M | 6.94% | -1.45% |
| YTD | 13.33% | 5.15% |
| 1Y | 14.39% | 7.96% |
| 3Y (ann.) | 14.51% | 8.02% |
| 5Y (ann.) | 14.51% | 8.02% |
| 10Y (ann.) | 14.51% | 8.02% |
| All-time (ann.) | 14.51% | 8.02% |
| Best Day | 2.91% | 2.73% |
| Worst Day | -2.58% | -4.37% |
| Best Month | 10.51% | 6.13% |
| Worst Month | -4.94% | -4.56% |
| Best Year | 13.33% | 5.15% |
| Worst Year | 0.94% | 2.67% |
| Avg. Drawdown | -1.74% | -3.49% |
| Avg. Drawdown Days | 14 | 41 |
| Recovery Factor | 1.61 | 1.39 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.94 | 0.4 |
| Avg. Up Month | 4.0% | 2.5% |
| Avg. Down Month | -2.29% | -2.56% |
| Win Days | 52.0% | 55.37% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.42 |
| Alpha | - | 0.03 |
| Correlation | - | 41.81% |
| Treynor Ratio | - | 18.9% |
| Year | SPY | RSBT | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 2.67 | 2.85 | + |
| 2026 | 13.33 | 5.15 | 0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-11-04 | -6.10 | 155 |
| 2026-03-02 | 2026-06-01 | -6.03 | 92 |
| 2026-01-30 | 2026-02-24 | -5.24 | 26 |
| 2025-11-13 | 2025-12-18 | -4.17 | 36 |
| 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 |
| 2025-11-06 | 2025-11-07 | -0.42 | 2 |