| Metric | SPY | RSBT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 95.77% | -0.79% |
| CAGR﹪ | 19.78% | -0.21% |
| Sharpe | 0.98 | -0.3 |
| Prob. Sharpe Ratio | 97.24% | 28.19% |
| Smart Sharpe | 0.93 | -0.28 |
| Sortino | 1.44 | -0.39 |
| Smart Sortino | 1.37 | -0.37 |
| Sortino/√2 | 1.02 | -0.28 |
| Smart Sortino/√2 | 0.97 | -0.26 |
| Omega | 1.27 | 1.01 |
| 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.) | 14.8% | 13.4% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 1.05 | -0.01 |
| Skew | 0.81 | -0.68 |
| Kurtosis | 19.42 | 4.29 |
| Ulcer Performance Index | 29.12 | -0.06 |
| Risk-Adjusted Return | 19.78% | -0.22% |
| Risk-Return Ratio | 0.08 | 0.0 |
| Avg. Return | 0.08% | 0.0% |
| Avg. Win | 0.66% | 0.65% |
| Avg. Loss | -0.71% | -0.77% |
| Win/Loss Ratio | 0.93 | 0.84 |
| Profit Ratio | 0.78 | 0.8 |
| Expected Daily | 0.07% | -0.0% |
| Expected Monthly | 1.47% | -0.02% |
| Expected Yearly | 18.29% | -0.2% |
| Kelly Criterion | 8.9% | -5.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.46% | -1.39% |
| Expected Shortfall (cVaR) | -2.1% | -2.07% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.27 | 0.01 |
| Gain/Pain (1M) | 2.11 | 0.04 |
| Payoff Ratio | 0.93 | 0.84 |
| Profit Factor | 1.27 | 1.01 |
| Common Sense Ratio | 1.26 | 0.86 |
| CPC Index | 0.66 | 0.44 |
| Tail Ratio | 1.0 | 0.85 |
| Outlier Win Ratio | 3.21 | 3.04 |
| Outlier Loss Ratio | 3.46 | 3.4 |
| MTD | 1.47% | -2.09% |
| 3M | 1.46% | 1.19% |
| 6M | 6.94% | -1.45% |
| YTD | 13.33% | 5.15% |
| 1Y | 13.43% | 7.11% |
| 3Y (ann.) | 20.78% | 4.95% |
| 5Y (ann.) | 19.78% | -0.21% |
| 10Y (ann.) | 19.78% | -0.21% |
| All-time (ann.) | 19.78% | -0.21% |
| 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 | 13.33% | -11.91% |
| Avg. Drawdown | -1.69% | -9.25% |
| Avg. Drawdown Days | 13 | 339 |
| Recovery Factor | 3.8 | 0.11 |
| Ulcer Index | 0.03 | 0.13 |
| Serenity Index | 2.18 | 0.01 |
| Avg. Up Month | 3.87% | 2.56% |
| Avg. Down Month | -2.54% | -2.85% |
| Win Days | 56.03% | 51.9% |
| Win Month | 67.39% | 50.0% |
| Win Quarter | 81.25% | 56.25% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.34 |
| Alpha | - | -0.06 |
| Correlation | - | 37.5% |
| Treynor Ratio | - | -2.33% |
| 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 | 13.33 | 5.15 | 0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-02-14 | 2026-02-25 | -23.60 | 1108 |
| 2026-06-03 | 2026-11-04 | -6.10 | 155 |
| 2026-03-02 | 2026-06-01 | -6.03 | 92 |
| 2023-02-09 | 2023-02-10 | -1.27 | 2 |