| Metric | SPY | RSST |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 78.82% | 70.93% |
| CAGR﹪ | 20.26% | 18.55% |
| Sharpe | 0.99 | 0.64 |
| Prob. Sharpe Ratio | 96.32% | 87.1% |
| Smart Sharpe | 0.93 | 0.61 |
| Sortino | 1.46 | 0.88 |
| Smart Sortino | 1.37 | 0.83 |
| Sortino/√2 | 1.03 | 0.62 |
| Smart Sortino/√2 | 0.97 | 0.59 |
| Omega | 1.27 | 1.16 |
| Max Drawdown | -18.76% | -30.8% |
| Max DD Date | 2025-04-08 | 2025-04-08 |
| Max DD Period Start | 2025-02-20 | 2024-07-11 |
| Max DD Period End | 2025-06-25 | 2025-09-19 |
| Longest DD Days | 126 | 436 |
| Volatility (ann.) | 15.14% | 23.59% |
| R^2 | 0.71 | 0.71 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 1.08 | 0.6 |
| Skew | 0.9 | -0.48 |
| Kurtosis | 20.93 | 7.04 |
| Ulcer Performance Index | 23.92 | 8.92 |
| Risk-Adjusted Return | 20.26% | 18.74% |
| Risk-Return Ratio | 0.08 | 0.05 |
| Avg. Return | 0.08% | 0.08% |
| Avg. Win | 0.72% | 1.15% |
| Avg. Loss | -0.77% | -1.32% |
| Win/Loss Ratio | 0.93 | 0.87 |
| Profit Ratio | 0.77 | 0.7 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.5% | 1.38% |
| Expected Yearly | 15.64% | 14.34% |
| Kelly Criterion | 9.55% | 4.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.49% | -2.37% |
| Expected Shortfall (cVaR) | -2.17% | -3.6% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.27 | 0.16 |
| Gain/Pain (1M) | 2.22 | 1.23 |
| Payoff Ratio | 0.93 | 0.87 |
| Profit Factor | 1.27 | 1.16 |
| Common Sense Ratio | 1.23 | 0.99 |
| CPC Index | 0.67 | 0.56 |
| Tail Ratio | 0.96 | 0.85 |
| Outlier Win Ratio | 3.22 | 2.79 |
| Outlier Loss Ratio | 3.66 | 3.57 |
| MTD | 1.47% | -0.8% |
| 3M | 1.46% | 2.8% |
| 6M | 6.94% | 5.36% |
| YTD | 13.33% | 18.59% |
| 1Y | 13.43% | 20.73% |
| 3Y (ann.) | 20.78% | 21.08% |
| 5Y (ann.) | 20.26% | 18.55% |
| 10Y (ann.) | 20.26% | 18.55% |
| All-time (ann.) | 20.26% | 18.55% |
| Best Day | 10.5% | 10.93% |
| Worst Day | -5.85% | -9.7% |
| Best Month | 10.51% | 12.62% |
| Worst Month | -5.57% | -7.88% |
| Best Year | 24.89% | 19.91% |
| Worst Year | 7.33% | 1.56% |
| Avg. Drawdown | -1.65% | -3.69% |
| Avg. Drawdown Days | 12 | 23 |
| Recovery Factor | 3.29 | 2.03 |
| Ulcer Index | 0.03 | 0.08 |
| Serenity Index | 1.85 | 0.62 |
| Avg. Up Month | 3.9% | 4.74% |
| Avg. Down Month | -2.54% | -4.42% |
| Win Days | 56.3% | 55.8% |
| Win Month | 66.67% | 61.54% |
| Win Quarter | 78.57% | 57.14% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.31 |
| Alpha | - | -0.06 |
| Correlation | - | 84.13% |
| Treynor Ratio | - | 54.12% |
| Year | SPY | RSST | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 7.33 | 1.56 | 0.21 | - |
| 2024 | 24.89 | 18.37 | 0.74 | - |
| 2025 | 17.72 | 19.91 | 1.12 | + |
| 2026 | 13.33 | 18.59 | 1.39 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-11 | 2025-09-19 | -30.80 | 436 |
| 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 |
| 2023-09-15 | 2023-12-15 | -8.34 | 92 |
| 2024-04-12 | 2024-05-14 | -6.67 | 33 |
| 2025-10-09 | 2025-10-17 | -6.54 | 9 |
| 2023-12-28 | 2024-01-26 | -6.53 | 30 |
| 2024-05-21 | 2024-06-28 | -5.47 | 39 |