| Metric | SPY | RSSY |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 32.38% |
| CAGR﹪ | 18.02% | 32.68% |
| Sharpe | 1.04 | 1.86 |
| Prob. Sharpe Ratio | 84.73% | 96.61% |
| Smart Sharpe | 1.01 | 1.7 |
| Sortino | 1.51 | 2.84 |
| Smart Sortino | 1.47 | 2.59 |
| Sortino/√2 | 1.07 | 2.01 |
| Smart Sortino/√2 | 1.04 | 1.83 |
| Omega | 1.25 | 1.44 |
| 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.) | 12.99% | 13.53% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 2.03 | 4.44 |
| Skew | -0.15 | -0.22 |
| Kurtosis | 1.05 | 1.69 |
| Ulcer Performance Index | 8.3 | 14.21 |
| Risk-Adjusted Return | 18.02% | 32.68% |
| Risk-Return Ratio | 0.08 | 0.14 |
| Avg. Return | 0.07% | 0.12% |
| Avg. Win | 0.72% | 0.79% |
| Avg. Loss | -0.71% | -0.68% |
| Win/Loss Ratio | 1.02 | 1.17 |
| Profit Ratio | 0.94 | 0.86 |
| Expected Daily | 0.07% | 0.11% |
| Expected Monthly | 1.27% | 2.18% |
| Expected Yearly | 8.57% | 15.06% |
| Kelly Criterion | 8.12% | 18.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.29% |
| Expected Shortfall (cVaR) | -1.72% | -1.83% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.44 |
| Gain/Pain (1M) | 2.6 | 3.8 |
| Payoff Ratio | 1.02 | 1.17 |
| Profit Factor | 1.25 | 1.44 |
| Common Sense Ratio | 1.24 | 1.88 |
| CPC Index | 0.68 | 0.94 |
| Tail Ratio | 0.99 | 1.31 |
| Outlier Win Ratio | 2.88 | 3.26 |
| Outlier Loss Ratio | 3.19 | 3.19 |
| MTD | 1.08% | 2.03% |
| 3M | 3.82% | 4.13% |
| 6M | 19.85% | 15.7% |
| YTD | 14.3% | 37.21% |
| 1Y | 17.87% | 32.38% |
| 3Y (ann.) | 18.02% | 32.68% |
| 5Y (ann.) | 18.02% | 32.68% |
| 10Y (ann.) | 18.02% | 32.68% |
| All-time (ann.) | 18.02% | 32.68% |
| Best Day | 2.91% | 2.57% |
| Worst Day | -2.7% | -3.72% |
| Best Month | 10.51% | 12.17% |
| Worst Month | -4.94% | -4.35% |
| Best Year | 14.3% | 37.21% |
| Worst Year | 3.13% | -3.52% |
| Avg. Drawdown | -1.71% | -1.29% |
| Avg. Drawdown Days | 13 | 11 |
| Recovery Factor | 1.94 | 3.94 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 2.0 |
| Avg. Up Month | 3.37% | 3.65% |
| Avg. Down Month | - | - |
| Win Days | 53.6% | 56.05% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.63 |
| Alpha | - | 0.18 |
| Correlation | - | 60.07% |
| Treynor Ratio | - | 51.75% |
| Year | SPY | RSSY | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -3.52 | -1.13 | - |
| 2026 | 14.30 | 37.21 | 2.60 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-11-12 | 2026-02-13 | -7.36 | 94 |
| 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 |
| 2025-09-24 | 2025-10-16 | -2.69 | 23 |
| 2025-10-28 | 2025-11-10 | -2.49 | 14 |
| 2026-05-11 | 2026-05-29 | -2.05 | 19 |
| 2026-08-14 | 2026-09-01 | -1.88 | 19 |
| 2025-10-22 | 2025-10-24 | -0.96 | 3 |
| 2026-04-10 | 2026-04-10 | -0.94 | 1 |