| Metric | SPY | RSSY |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 51.34% | 33.83% |
| CAGR﹪ | 19.73% | 13.5% |
| Sharpe | 0.91 | 0.55 |
| Prob. Sharpe Ratio | 91.99% | 79.65% |
| Smart Sharpe | 0.83 | 0.52 |
| Sortino | 1.34 | 0.78 |
| Smart Sortino | 1.22 | 0.74 |
| Sortino/√2 | 0.95 | 0.55 |
| Smart Sortino/√2 | 0.86 | 0.52 |
| Omega | 1.25 | 1.17 |
| Max Drawdown | -18.76% | -29.57% |
| Max DD Date | 2025-04-08 | 2025-04-08 |
| Max DD Period Start | 2025-02-20 | 2024-07-02 |
| Max DD Period End | 2025-06-25 | 2026-02-27 |
| Longest DD Days | 126 | 606 |
| Volatility (ann.) | 16.26% | 17.63% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.05 | 0.46 |
| Skew | 1.01 | 0.16 |
| Kurtosis | 21.43 | 15.31 |
| Ulcer Performance Index | 14.4 | 3.73 |
| Risk-Adjusted Return | 19.73% | 13.64% |
| Risk-Return Ratio | 0.07 | 0.05 |
| Avg. Return | 0.08% | 0.06% |
| Avg. Win | 0.77% | 0.84% |
| Avg. Loss | -0.82% | -0.89% |
| Win/Loss Ratio | 0.93 | 0.95 |
| Profit Ratio | 0.74 | 0.81 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.44% | 1.01% |
| Expected Yearly | 14.81% | 10.2% |
| Kelly Criterion | 10.05% | 5.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.61% | -1.77% |
| Expected Shortfall (cVaR) | -2.45% | -2.89% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.25 | 0.17 |
| Gain/Pain (1M) | 2.68 | 0.9 |
| Payoff Ratio | 0.93 | 0.95 |
| Profit Factor | 1.25 | 1.17 |
| Common Sense Ratio | 1.24 | 1.19 |
| CPC Index | 0.66 | 0.6 |
| Tail Ratio | 0.99 | 1.02 |
| Outlier Win Ratio | 3.52 | 3.55 |
| Outlier Loss Ratio | 3.86 | 4.27 |
| MTD | 1.08% | 2.03% |
| 3M | 3.82% | 4.13% |
| 6M | 19.85% | 15.7% |
| YTD | 14.3% | 37.21% |
| 1Y | 17.78% | 33.6% |
| 3Y (ann.) | 19.73% | 13.5% |
| 5Y (ann.) | 19.73% | 13.5% |
| 10Y (ann.) | 19.73% | 13.5% |
| All-time (ann.) | 19.73% | 13.5% |
| Best Day | 10.5% | 9.8% |
| Worst Day | -5.85% | -7.38% |
| Best Month | 10.51% | 12.17% |
| Worst Month | -5.57% | -10.28% |
| Best Year | 17.72% | 37.21% |
| Worst Year | 12.48% | -3.52% |
| Avg. Drawdown | -1.72% | -2.16% |
| Avg. Drawdown Days | 13 | 32 |
| Recovery Factor | 2.37 | 1.11 |
| Ulcer Index | 0.04 | 0.09 |
| Serenity Index | 1.28 | 0.19 |
| Avg. Up Month | 3.57% | 3.62% |
| Avg. Down Month | -2.2% | -5.43% |
| Win Days | 56.55% | 54.01% |
| Win Month | 72.41% | 65.52% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 66.67% |
| Beta | - | 0.82 |
| Alpha | - | -0.02 |
| Correlation | - | 75.4% |
| Treynor Ratio | - | 41.39% |
| Year | SPY | RSSY | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 12.48 | 1.10 | 0.09 | - |
| 2025 | 17.72 | -3.52 | -0.20 | - |
| 2026 | 14.30 | 37.21 | 2.60 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-02 | 2026-02-27 | -29.57 | 606 |
| 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 |
| 2024-05-30 | 2024-06-06 | -1.25 | 8 |
| 2024-06-24 | 2024-06-25 | -0.98 | 2 |
| 2026-04-10 | 2026-04-10 | -0.94 | 1 |
| 2026-09-11 | 2026-09-18 | -0.86 | 8 |