| Metric | SPY | RSSY |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 50.06% | 30.35% |
| CAGR﹪ | 18.22% | 11.55% |
| Sharpe | 0.84 | 0.46 |
| Prob. Sharpe Ratio | 90.98% | 76.25% |
| Smart Sharpe | 0.77 | 0.44 |
| Sortino | 1.24 | 0.65 |
| Smart Sortino | 1.14 | 0.62 |
| Sortino/√2 | 0.88 | 0.46 |
| Smart Sortino/√2 | 0.8 | 0.44 |
| Omega | 1.24 | 1.15 |
| 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.) | 16.04% | 17.34% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.97 | 0.39 |
| Skew | 1.0 | 0.16 |
| Kurtosis | 21.51 | 15.6 |
| Ulcer Performance Index | 14.33 | 3.43 |
| Risk-Adjusted Return | 18.22% | 11.67% |
| Risk-Return Ratio | 0.07 | 0.05 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.76% | 0.83% |
| Avg. Loss | -0.82% | -0.87% |
| Win/Loss Ratio | 0.93 | 0.95 |
| Profit Ratio | 0.76 | 0.82 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.32% | 0.86% |
| Expected Yearly | 14.49% | 9.24% |
| Kelly Criterion | 8.77% | 4.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.59% | -1.75% |
| Expected Shortfall (cVaR) | -2.39% | -2.83% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.24 | 0.15 |
| Gain/Pain (1M) | 2.46 | 0.77 |
| Payoff Ratio | 0.93 | 0.95 |
| Profit Factor | 1.24 | 1.15 |
| Common Sense Ratio | 1.21 | 1.18 |
| CPC Index | 0.64 | 0.58 |
| Tail Ratio | 0.98 | 1.03 |
| Outlier Win Ratio | 3.45 | 3.6 |
| Outlier Loss Ratio | 3.87 | 4.32 |
| MTD | 1.47% | -2.78% |
| 3M | 1.46% | 2.39% |
| 6M | 6.94% | 2.6% |
| YTD | 13.33% | 33.65% |
| 1Y | 13.43% | 27.96% |
| 3Y (ann.) | 18.22% | 11.55% |
| 5Y (ann.) | 18.22% | 11.55% |
| 10Y (ann.) | 18.22% | 11.55% |
| All-time (ann.) | 18.22% | 11.55% |
| 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% | 33.65% |
| Worst Year | 12.48% | -3.52% |
| Avg. Drawdown | -1.76% | -2.16% |
| Avg. Drawdown Days | 13 | 30 |
| Recovery Factor | 2.33 | 1.02 |
| Ulcer Index | 0.03 | 0.09 |
| Serenity Index | 1.26 | 0.18 |
| Avg. Up Month | 3.74% | 3.72% |
| Avg. Down Month | -2.2% | -5.43% |
| Win Days | 56.14% | 53.64% |
| Win Month | 67.74% | 64.52% |
| Win Quarter | 81.82% | 54.55% |
| Win Year | 100.0% | 66.67% |
| Beta | - | 0.8 |
| Alpha | - | -0.02 |
| Correlation | - | 74.38% |
| Treynor Ratio | - | 37.75% |
| Year | SPY | RSSY | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 12.48 | 1.10 | 0.09 | - |
| 2025 | 17.72 | -3.52 | -0.20 | - |
| 2026 | 13.33 | 33.65 | 2.52 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-02 | 2026-02-27 | -29.57 | 606 |
| 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 |
| 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 |