| Metric | SPY | RSSY |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 18.6% | 17.66% |
| CAGR﹪ | 40.67% | 38.45% |
| Sharpe | 2.32 | 2.61 |
| Prob. Sharpe Ratio | 95.04% | 97.04% |
| Smart Sharpe | 2.3 | 2.3 |
| Sortino | 3.78 | 4.45 |
| Smart Sortino | 3.75 | 3.92 |
| Sortino/√2 | 2.67 | 3.15 |
| Smart Sortino/√2 | 2.65 | 2.77 |
| Omega | 1.54 | 1.63 |
| Max Drawdown | -4.49% | -4.08% |
| Max DD Date | 2026-06-10 | 2026-06-26 |
| Max DD Period Start | 2026-06-03 | 2026-06-05 |
| Max DD Period End | 2026-07-31 | 2026-07-14 |
| Longest DD Days | 59 | 40 |
| Volatility (ann.) | 13.55% | 11.31% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 9.05 | 9.42 |
| Skew | 0.1 | 0.28 |
| Kurtosis | 1.12 | 0.73 |
| Ulcer Performance Index | 11.86 | 13.44 |
| Risk-Adjusted Return | 40.67% | 38.84% |
| Risk-Return Ratio | 0.16 | 0.18 |
| Avg. Return | 0.14% | 0.13% |
| Avg. Win | 0.81% | 0.7% |
| Avg. Loss | -0.65% | -0.54% |
| Win/Loss Ratio | 1.25 | 1.3 |
| Profit Ratio | 1.12 | 0.98 |
| Expected Daily | 0.14% | 0.13% |
| Expected Monthly | 2.47% | 2.35% |
| Expected Yearly | 18.6% | 17.66% |
| Kelly Criterion | 17.18% | 21.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.04% |
| Expected Shortfall (cVaR) | -1.77% | -1.35% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.63 |
| Gain/Pain (1M) | 10.92 | 5.53 |
| Payoff Ratio | 1.25 | 1.3 |
| Profit Factor | 1.54 | 1.63 |
| Common Sense Ratio | 2.01 | 2.13 |
| CPC Index | 1.04 | 1.18 |
| Tail Ratio | 1.3 | 1.31 |
| Outlier Win Ratio | 3.21 | 2.94 |
| Outlier Loss Ratio | 3.16 | 2.8 |
| MTD | 1.08% | 2.03% |
| 3M | 3.82% | 4.13% |
| 6M | 18.6% | 17.66% |
| YTD | 18.6% | 17.66% |
| 1Y | 18.6% | 17.66% |
| 3Y (ann.) | 40.67% | 38.45% |
| 5Y (ann.) | 40.67% | 38.45% |
| 10Y (ann.) | 40.67% | 38.45% |
| All-time (ann.) | 40.67% | 38.45% |
| Best Day | 2.91% | 2.57% |
| Worst Day | -2.58% | -1.89% |
| Best Month | 10.51% | 12.17% |
| Worst Month | -1.03% | -2.37% |
| Best Year | 18.6% | 17.66% |
| Worst Year | 18.6% | 17.66% |
| Avg. Drawdown | -1.13% | -1.13% |
| Avg. Drawdown Days | 9 | 9 |
| Recovery Factor | 3.9 | 4.06 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 2.96 |
| Avg. Up Month | 4.88% | 4.84% |
| Avg. Down Month | -0.77% | -0.66% |
| Win Days | 53.97% | 55.65% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.53 |
| Alpha | - | 0.15 |
| Correlation | - | 63.01% |
| Treynor Ratio | - | 33.57% |
| Year | SPY | RSSY | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 17.66 | 0.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-05 | 2026-07-14 | -4.08 | 40 |
| 2026-07-16 | 2026-08-10 | -3.58 | 26 |
| 2026-03-25 | 2026-04-01 | -2.21 | 8 |
| 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 |
| 2026-09-11 | 2026-09-18 | -0.86 | 8 |
| 2026-09-04 | 2026-09-09 | -0.36 | 6 |
| 2026-04-23 | 2026-04-23 | -0.21 | 1 |
| 2026-08-12 | 2026-08-12 | -0.17 | 1 |