| Metric | SPY | RSSY |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 14.39% | 29.17% |
| CAGR﹪ | 14.51% | 29.44% |
| Sharpe | 0.83 | 1.73 |
| Prob. Sharpe Ratio | 79.61% | 95.42% |
| Smart Sharpe | 0.82 | 1.64 |
| Sortino | 1.22 | 2.59 |
| Smart Sortino | 1.2 | 2.45 |
| Sortino/√2 | 0.86 | 1.83 |
| Smart Sortino/√2 | 0.85 | 1.73 |
| Omega | 1.2 | 1.4 |
| Max Drawdown | -8.88% | -7.36% |
| Max DD Date | 2026-03-30 | 2026-01-20 |
| Max DD Period Start | 2026-01-28 | 2025-11-12 |
| Max DD Period End | 2026-04-13 | 2026-02-13 |
| Longest DD Days | 76 | 94 |
| Volatility (ann.) | 12.86% | 13.32% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 1.63 | 4.0 |
| Skew | -0.02 | -0.3 |
| Kurtosis | 0.78 | 1.95 |
| Ulcer Performance Index | 6.68 | 12.51 |
| Risk-Adjusted Return | 14.51% | 29.74% |
| Risk-Return Ratio | 0.07 | 0.13 |
| Avg. Return | 0.06% | 0.11% |
| Avg. Win | 0.71% | 0.77% |
| Avg. Loss | -0.71% | -0.66% |
| Win/Loss Ratio | 1.0 | 1.17 |
| Profit Ratio | 1.02 | 0.81 |
| Expected Daily | 0.05% | 0.1% |
| Expected Monthly | 1.04% | 1.99% |
| Expected Yearly | 6.95% | 13.65% |
| Kelly Criterion | 3.78% | 18.99% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.27% |
| Expected Shortfall (cVaR) | -1.66% | -1.86% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.4 |
| Gain/Pain (1M) | 1.83 | 2.79 |
| Payoff Ratio | 1.0 | 1.17 |
| Profit Factor | 1.2 | 1.4 |
| Common Sense Ratio | 1.19 | 1.75 |
| CPC Index | 0.62 | 0.93 |
| Tail Ratio | 0.99 | 1.25 |
| Outlier Win Ratio | 2.84 | 3.41 |
| Outlier Loss Ratio | 3.01 | 3.35 |
| MTD | 1.47% | -2.78% |
| 3M | 1.46% | 2.39% |
| 6M | 6.94% | 2.6% |
| YTD | 13.33% | 33.65% |
| 1Y | 14.39% | 29.17% |
| 3Y (ann.) | 14.51% | 29.44% |
| 5Y (ann.) | 14.51% | 29.44% |
| 10Y (ann.) | 14.51% | 29.44% |
| All-time (ann.) | 14.51% | 29.44% |
| Best Day | 2.91% | 2.57% |
| Worst Day | -2.58% | -3.72% |
| Best Month | 10.51% | 12.17% |
| Worst Month | -4.94% | -4.35% |
| Best Year | 13.33% | 33.65% |
| Worst Year | 0.94% | -3.35% |
| Avg. Drawdown | -1.74% | -1.33% |
| Avg. Drawdown Days | 14 | 11 |
| Recovery Factor | 1.61 | 3.6 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 1.79 |
| Avg. Up Month | 4.16% | 4.55% |
| Avg. Down Month | - | - |
| Win Days | 52.0% | 56.28% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.57 |
| Alpha | - | 0.18 |
| Correlation | - | 55.09% |
| Treynor Ratio | - | 51.12% |
| Year | SPY | RSSY | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -3.35 | -3.57 | - |
| 2026 | 13.33 | 33.65 | 2.52 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-11-12 | 2026-02-13 | -7.36 | 94 |
| 2026-10-14 | 2026-11-04 | -5.17 | 22 |
| 2026-06-05 | 2026-07-14 | -4.08 | 40 |
| 2026-07-16 | 2026-08-10 | -3.58 | 26 |
| 2026-03-20 | 2026-04-07 | -3.46 | 19 |
| 2026-05-11 | 2026-05-29 | -2.05 | 19 |
| 2026-08-14 | 2026-09-01 | -1.88 | 19 |
| 2026-04-10 | 2026-04-10 | -0.94 | 1 |
| 2026-09-24 | 2026-09-30 | -0.87 | 7 |
| 2026-09-11 | 2026-09-18 | -0.86 | 8 |