| Metric | SPY | RSST |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 36.94% |
| CAGR﹪ | 18.02% | 37.28% |
| Sharpe | 1.04 | 1.35 |
| Prob. Sharpe Ratio | 84.73% | 90.2% |
| Smart Sharpe | 1.01 | 1.24 |
| Sortino | 1.51 | 1.85 |
| Smart Sortino | 1.47 | 1.7 |
| Sortino/√2 | 1.07 | 1.31 |
| Smart Sortino/√2 | 1.04 | 1.2 |
| Omega | 1.25 | 1.3 |
| 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.) | 12.99% | 22.42% |
| R^2 | 0.7 | 0.7 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 2.03 | 3.18 |
| Skew | -0.15 | -0.86 |
| Kurtosis | 1.05 | 2.92 |
| Ulcer Performance Index | 8.3 | 9.03 |
| Risk-Adjusted Return | 18.02% | 37.28% |
| Risk-Return Ratio | 0.08 | 0.1 |
| Avg. Return | 0.07% | 0.14% |
| Avg. Win | 0.69% | 1.11% |
| Avg. Loss | -0.72% | -1.26% |
| Win/Loss Ratio | 0.95 | 0.88 |
| Profit Ratio | 0.94 | 0.56 |
| Expected Daily | 0.07% | 0.13% |
| Expected Monthly | 1.27% | 2.45% |
| Expected Yearly | 8.57% | 17.02% |
| Kelly Criterion | 4.77% | 14.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.19% |
| Expected Shortfall (cVaR) | -1.72% | -3.49% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.3 |
| Gain/Pain (1M) | 2.6 | 3.0 |
| Payoff Ratio | 0.95 | 0.88 |
| Profit Factor | 1.25 | 1.3 |
| Common Sense Ratio | 1.24 | 1.26 |
| CPC Index | 0.64 | 0.69 |
| Tail Ratio | 0.99 | 0.97 |
| Outlier Win Ratio | 2.88 | 3.15 |
| Outlier Loss Ratio | 3.19 | 3.68 |
| MTD | 1.08% | 4.1% |
| 3M | 3.82% | 7.11% |
| 6M | 19.85% | 25.62% |
| YTD | 14.3% | 24.62% |
| 1Y | 17.87% | 36.94% |
| 3Y (ann.) | 18.02% | 37.28% |
| 5Y (ann.) | 18.02% | 37.28% |
| 10Y (ann.) | 18.02% | 37.28% |
| All-time (ann.) | 18.02% | 37.28% |
| Best Day | 2.91% | 4.25% |
| Worst Day | -2.7% | -6.56% |
| Best Month | 10.51% | 12.62% |
| Worst Month | -4.94% | -7.88% |
| Best Year | 14.3% | 24.62% |
| Worst Year | 3.13% | 9.88% |
| Avg. Drawdown | -1.71% | -3.34% |
| Avg. Drawdown Days | 13 | 15 |
| Recovery Factor | 1.94 | 2.9 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.16 | 1.31 |
| Avg. Up Month | 2.68% | 4.59% |
| Avg. Down Month | -2.98% | -5.72% |
| Win Days | 53.6% | 60.08% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.44 |
| Alpha | - | 0.09 |
| Correlation | - | 83.64% |
| Treynor Ratio | - | 25.59% |
| Year | SPY | RSST | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 9.88 | 3.16 | + |
| 2026 | 14.30 | 24.62 | 1.72 | + |
| 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 |
| 2025-10-09 | 2025-10-17 | -6.54 | 9 |
| 2026-01-13 | 2026-01-23 | -4.15 | 11 |
| 2025-10-30 | 2025-11-10 | -3.98 | 12 |
| 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 |
| 2025-10-21 | 2025-10-23 | -2.37 | 3 |