| Metric | SPY | RSBT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 97.45% | 2.38% |
| CAGR﹪ | 20.81% | 0.66% |
| Sharpe | 1.02 | -0.23 |
| Prob. Sharpe Ratio | 97.59% | 32.76% |
| Smart Sharpe | 0.97 | -0.22 |
| Sortino | 1.51 | -0.31 |
| Smart Sortino | 1.43 | -0.29 |
| Sortino/√2 | 1.07 | -0.22 |
| Smart Sortino/√2 | 1.01 | -0.21 |
| Omega | 1.28 | 1.02 |
| Max Drawdown | -18.76% | -23.6% |
| Max DD Date | 2025-04-08 | 2025-05-14 |
| Max DD Period Start | 2025-02-20 | 2023-02-14 |
| Max DD Period End | 2025-06-25 | 2026-02-25 |
| Longest DD Days | 126 | 1108 |
| Volatility (ann.) | 14.9% | 13.53% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 1.11 | 0.03 |
| Skew | 0.82 | -0.69 |
| Kurtosis | 19.49 | 4.24 |
| Ulcer Performance Index | 29.24 | 0.18 |
| Risk-Adjusted Return | 20.81% | 0.67% |
| Risk-Return Ratio | 0.08 | 0.01 |
| Avg. Return | 0.08% | 0.01% |
| Avg. Win | 0.67% | 0.66% |
| Avg. Loss | -0.71% | -0.78% |
| Win/Loss Ratio | 0.94 | 0.85 |
| Profit Ratio | 0.77 | 0.81 |
| Expected Daily | 0.08% | 0.0% |
| Expected Monthly | 1.56% | 0.05% |
| Expected Yearly | 18.54% | 0.59% |
| Kelly Criterion | 9.8% | -4.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.46% | -1.4% |
| Expected Shortfall (cVaR) | -2.11% | -2.07% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.28 | 0.02 |
| Gain/Pain (1M) | 2.21 | 0.1 |
| Payoff Ratio | 0.94 | 0.85 |
| Profit Factor | 1.28 | 1.02 |
| Common Sense Ratio | 1.27 | 0.86 |
| CPC Index | 0.68 | 0.45 |
| Tail Ratio | 0.99 | 0.85 |
| Outlier Win Ratio | 3.2 | 3.0 |
| Outlier Loss Ratio | 3.47 | 3.42 |
| MTD | 1.08% | 1.81% |
| 3M | 3.82% | 1.38% |
| 6M | 19.85% | 4.49% |
| YTD | 14.3% | 8.51% |
| 1Y | 17.78% | 17.87% |
| 3Y (ann.) | 24.86% | 5.57% |
| 5Y (ann.) | 20.81% | 0.66% |
| 10Y (ann.) | 20.81% | 0.66% |
| All-time (ann.) | 20.81% | 0.66% |
| Best Day | 10.5% | 4.6% |
| Worst Day | -5.85% | -5.12% |
| Best Month | 10.51% | 6.5% |
| Worst Month | -5.57% | -8.77% |
| Best Year | 24.89% | 10.31% |
| Worst Year | 14.3% | -11.91% |
| Avg. Drawdown | -1.67% | -9.25% |
| Avg. Drawdown Days | 12 | 328 |
| Recovery Factor | 3.84 | 0.24 |
| Ulcer Index | 0.03 | 0.13 |
| Serenity Index | 2.18 | 0.02 |
| Avg. Up Month | 3.73% | 2.52% |
| Avg. Down Month | -2.7% | -3.01% |
| Win Days | 56.29% | 51.8% |
| Win Month | 70.45% | 52.27% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.34 |
| Alpha | - | -0.05 |
| Correlation | - | 37.87% |
| Treynor Ratio | - | 6.93% |
| Year | SPY | RSBT | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 17.51 | -11.91 | -0.68 | - |
| 2024 | 24.89 | -2.90 | -0.12 | - |
| 2025 | 17.72 | 10.31 | 0.58 | - |
| 2026 | 14.30 | 8.51 | 0.60 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-02-14 | 2026-02-25 | -23.60 | 1108 |
| 2026-06-03 | 2026-09-22 | -6.10 | 112 |
| 2026-03-02 | 2026-06-01 | -6.03 | 92 |
| 2023-02-09 | 2023-02-10 | -1.27 | 2 |