| Metric | SPY | RWSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 17.87% | 12.78% |
| CAGR﹪ | 18.02% | 12.88% |
| Sharpe | 1.04 | 0.79 |
| Prob. Sharpe Ratio | 84.73% | 78.46% |
| Smart Sharpe | 1.01 | 0.75 |
| Sortino | 1.51 | 1.15 |
| Smart Sortino | 1.47 | 1.1 |
| Sortino/√2 | 1.07 | 0.82 |
| Smart Sortino/√2 | 1.04 | 0.77 |
| Omega | 1.25 | 1.21 |
| Max Drawdown | -8.88% | -8.37% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-04-16 |
| Longest DD Days | 76 | 89 |
| Volatility (ann.) | 12.99% | 11.07% |
| R^2 | 0.7 | 0.7 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.03 | 1.54 |
| Skew | -0.15 | 0.0 |
| Kurtosis | 1.05 | 1.03 |
| Ulcer Performance Index | 8.3 | 5.44 |
| Risk-Adjusted Return | 18.02% | 13.56% |
| Risk-Return Ratio | 0.08 | 0.07 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.73% | 0.61% |
| Avg. Loss | -0.7% | -0.62% |
| Win/Loss Ratio | 1.04 | 0.99 |
| Profit Ratio | 0.94 | 0.65 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.27% | 0.93% |
| Expected Yearly | 8.57% | 6.2% |
| Kelly Criterion | 8.98% | 9.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.1% |
| Expected Shortfall (cVaR) | -1.72% | -1.45% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.21 |
| Gain/Pain (1M) | 2.6 | 1.23 |
| Payoff Ratio | 1.04 | 0.99 |
| Profit Factor | 1.25 | 1.21 |
| Common Sense Ratio | 1.24 | 1.15 |
| CPC Index | 0.7 | 0.66 |
| Tail Ratio | 0.99 | 0.95 |
| Outlier Win Ratio | 2.88 | 3.68 |
| Outlier Loss Ratio | 3.19 | 3.03 |
| MTD | 1.08% | -0.39% |
| 3M | 3.82% | 3.74% |
| 6M | 19.85% | 13.94% |
| YTD | 14.3% | 12.07% |
| 1Y | 17.87% | 12.78% |
| 3Y (ann.) | 18.02% | 12.88% |
| 5Y (ann.) | 18.02% | 12.88% |
| 10Y (ann.) | 18.02% | 12.88% |
| All-time (ann.) | 18.02% | 12.88% |
| Best Day | 2.91% | 2.55% |
| Worst Day | -2.7% | -2.02% |
| Best Month | 10.51% | 6.6% |
| Worst Month | -4.94% | -6.19% |
| Best Year | 14.3% | 12.07% |
| Worst Year | 3.13% | 0.63% |
| Avg. Drawdown | -1.71% | -1.68% |
| Avg. Drawdown Days | 13 | 16 |
| Recovery Factor | 1.94 | 1.51 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 0.6 |
| Avg. Up Month | 2.58% | 2.51% |
| Avg. Down Month | -2.98% | -4.39% |
| Win Days | 53.6% | 55.27% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.71 |
| Alpha | - | 0.0 |
| Correlation | - | 83.38% |
| Treynor Ratio | - | 17.98% |
| Year | SPY | RWSIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 0.63 | 0.20 | - |
| 2026 | 14.30 | 12.07 | 0.84 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-16 | -8.37 | 50 |
| 2025-10-06 | 2026-01-02 | -5.11 | 89 |
| 2026-06-01 | 2026-07-31 | -3.79 | 61 |
| 2026-08-26 | 2026-09-22 | -2.29 | 28 |
| 2026-04-20 | 2026-05-04 | -1.94 | 15 |
| 2026-05-11 | 2026-05-21 | -1.74 | 11 |
| 2026-01-20 | 2026-01-21 | -1.17 | 2 |
| 2025-09-24 | 2025-09-29 | -1.16 | 6 |
| 2026-08-14 | 2026-08-24 | -1.12 | 11 |
| 2026-02-05 | 2026-02-05 | -1.08 | 1 |