| Metric | SPY | RSBT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 18.6% | 4.77% |
| CAGR﹪ | 40.67% | 9.77% |
| Sharpe | 2.32 | 0.59 |
| Prob. Sharpe Ratio | 95.04% | 65.51% |
| Smart Sharpe | 2.3 | 0.5 |
| Sortino | 3.78 | 0.75 |
| Smart Sortino | 3.75 | 0.64 |
| Sortino/√2 | 2.67 | 0.53 |
| Smart Sortino/√2 | 2.65 | 0.45 |
| Omega | 1.54 | 1.19 |
| Max Drawdown | -4.49% | -6.1% |
| Max DD Date | 2026-06-10 | 2026-08-03 |
| Max DD Period Start | 2026-06-03 | 2026-06-03 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 112 |
| Volatility (ann.) | 13.55% | 10.65% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 9.05 | 1.6 |
| Skew | 0.1 | -2.12 |
| Kurtosis | 1.12 | 12.76 |
| Ulcer Performance Index | 11.86 | 1.49 |
| Risk-Adjusted Return | 40.67% | 10.07% |
| Risk-Return Ratio | 0.16 | 0.06 |
| Avg. Return | 0.15% | 0.04% |
| Avg. Win | 0.69% | 0.49% |
| Avg. Loss | -0.61% | -0.53% |
| Win/Loss Ratio | 1.13 | 0.92 |
| Profit Ratio | 1.12 | 0.81 |
| Expected Daily | 0.14% | 0.04% |
| Expected Monthly | 2.47% | 0.67% |
| Expected Yearly | 18.6% | 4.77% |
| Kelly Criterion | 13.37% | 1.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.06% |
| Expected Shortfall (cVaR) | -1.77% | -1.72% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.19 |
| Gain/Pain (1M) | 10.92 | 1.4 |
| Payoff Ratio | 1.13 | 0.92 |
| Profit Factor | 1.54 | 1.19 |
| Common Sense Ratio | 2.01 | 0.97 |
| CPC Index | 0.94 | 0.58 |
| Tail Ratio | 1.3 | 0.82 |
| Outlier Win Ratio | 3.21 | 3.22 |
| Outlier Loss Ratio | 3.16 | 3.21 |
| MTD | 1.08% | 1.81% |
| 3M | 3.82% | 1.38% |
| 6M | 18.6% | 4.77% |
| YTD | 18.6% | 4.77% |
| 1Y | 18.6% | 4.77% |
| 3Y (ann.) | 40.67% | 9.77% |
| 5Y (ann.) | 40.67% | 9.77% |
| 10Y (ann.) | 40.67% | 9.77% |
| All-time (ann.) | 40.67% | 9.77% |
| Best Day | 2.91% | 1.54% |
| Worst Day | -2.58% | -4.25% |
| Best Month | 10.51% | 2.08% |
| Worst Month | -1.03% | -1.96% |
| Best Year | 18.6% | 4.77% |
| Worst Year | 18.6% | 4.77% |
| Avg. Drawdown | -1.13% | -0.96% |
| Avg. Drawdown Days | 9 | 12 |
| Recovery Factor | 3.9 | 0.81 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 2.75 | 0.17 |
| Avg. Up Month | 4.88% | 1.72% |
| Avg. Down Month | -1.03% | -1.96% |
| Win Days | 53.97% | 52.89% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.29 |
| Alpha | - | -0.0 |
| Correlation | - | 36.41% |
| Treynor Ratio | - | 16.66% |
| Year | SPY | RSBT | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 4.77 | 0.26 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-09-22 | -6.10 | 112 |
| 2026-05-15 | 2026-05-29 | -1.81 | 15 |
| 2026-04-28 | 2026-05-05 | -0.98 | 8 |
| 2026-05-07 | 2026-05-07 | -0.62 | 1 |
| 2026-04-21 | 2026-04-24 | -0.47 | 4 |
| 2026-04-15 | 2026-04-15 | -0.42 | 1 |
| 2026-04-06 | 2026-04-06 | -0.31 | 1 |
| 2026-04-01 | 2026-04-01 | -0.21 | 1 |
| 2026-04-17 | 2026-04-17 | -0.21 | 1 |
| 2026-03-26 | 2026-03-27 | -0.16 | 2 |