| Metric | SPY | RSST |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 22.49% |
| CAGR﹪ | 14.51% | 22.69% |
| Sharpe | 0.83 | 0.9 |
| Prob. Sharpe Ratio | 79.61% | 80.74% |
| Smart Sharpe | 0.82 | 0.89 |
| Sortino | 1.22 | 1.2 |
| Smart Sortino | 1.2 | 1.19 |
| Sortino/√2 | 0.86 | 0.85 |
| Smart Sortino/√2 | 0.85 | 0.84 |
| Omega | 1.2 | 1.2 |
| Max Drawdown | -8.88% | -11.71% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-01-30 |
| Max DD Period End | 2026-04-13 | 2026-04-16 |
| Longest DD Days | 76 | 107 |
| Volatility (ann.) | 12.86% | 21.28% |
| R^2 | 0.67 | 0.67 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 1.63 | 1.94 |
| Skew | -0.02 | -0.9 |
| Kurtosis | 0.78 | 2.83 |
| Ulcer Performance Index | 6.68 | 5.29 |
| Risk-Adjusted Return | 14.51% | 22.69% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.06% | 0.09% |
| Avg. Win | 0.7% | 1.04% |
| Avg. Loss | -0.71% | -1.21% |
| Win/Loss Ratio | 0.98 | 0.86 |
| Profit Ratio | 1.02 | 0.55 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 1.04% | 1.57% |
| Expected Yearly | 6.95% | 10.68% |
| Kelly Criterion | 3.17% | 11.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.11% |
| Expected Shortfall (cVaR) | -1.66% | -3.25% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.2 |
| Gain/Pain (1M) | 1.83 | 1.37 |
| Payoff Ratio | 0.98 | 0.86 |
| Profit Factor | 1.2 | 1.2 |
| Common Sense Ratio | 1.19 | 1.06 |
| CPC Index | 0.61 | 0.61 |
| Tail Ratio | 0.99 | 0.88 |
| Outlier Win Ratio | 2.84 | 3.01 |
| Outlier Loss Ratio | 3.01 | 3.2 |
| MTD | 1.47% | -0.8% |
| 3M | 1.46% | 2.8% |
| 6M | 6.94% | 5.36% |
| YTD | 13.33% | 18.59% |
| 1Y | 14.39% | 22.49% |
| 3Y (ann.) | 14.51% | 22.69% |
| 5Y (ann.) | 14.51% | 22.69% |
| 10Y (ann.) | 14.51% | 22.69% |
| All-time (ann.) | 14.51% | 22.69% |
| Best Day | 2.91% | 4.17% |
| Worst Day | -2.58% | -6.56% |
| Best Month | 10.51% | 12.62% |
| Worst Month | -4.94% | -7.88% |
| Best Year | 13.33% | 18.59% |
| Worst Year | 0.94% | 3.29% |
| Avg. Drawdown | -1.74% | -3.62% |
| Avg. Drawdown Days | 14 | 18 |
| Recovery Factor | 1.61 | 1.93 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.94 | 0.79 |
| Avg. Up Month | 3.48% | 5.15% |
| Avg. Down Month | -2.29% | -5.28% |
| Win Days | 52.0% | 59.27% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.35 |
| Alpha | - | 0.03 |
| Correlation | - | 81.75% |
| Treynor Ratio | - | 16.63% |
| Year | SPY | RSST | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 3.29 | 3.51 | + |
| 2026 | 13.33 | 18.59 | 1.39 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-30 | 2026-04-16 | -11.71 | 77 |
| 2026-06-03 | 2026-09-17 | -9.61 | 107 |
| 2025-11-13 | 2025-12-10 | -8.90 | 28 |
| 2026-10-13 | 2026-11-04 | -8.73 | 23 |
| 2026-01-13 | 2026-01-23 | -4.15 | 11 |
| 2025-12-12 | 2025-12-19 | -3.87 | 8 |
| 2025-12-29 | 2026-01-05 | -3.35 | 8 |
| 2026-05-15 | 2026-05-29 | -2.59 | 15 |
| 2026-09-25 | 2026-10-02 | -1.95 | 8 |
| 2025-11-06 | 2025-11-07 | -1.75 | 2 |