| Metric | SPY | RWSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 74.99% | 11.02% |
| CAGR﹪ | 11.91% | 2.12% |
| Sharpe | 0.52 | -0.08 |
| Prob. Sharpe Ratio | 87.6% | 42.76% |
| Smart Sharpe | 0.5 | -0.08 |
| Sortino | 0.74 | -0.11 |
| Smart Sortino | 0.72 | -0.11 |
| Sortino/√2 | 0.53 | -0.08 |
| Smart Sortino/√2 | 0.51 | -0.08 |
| Omega | 1.14 | 1.05 |
| Max Drawdown | -24.5% | -24.9% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2024-11-26 |
| Max DD Period End | 2023-12-12 | 2026-11-04 |
| Longest DD Days | 708 | 709 |
| Volatility (ann.) | 17.19% | 12.26% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.09 |
| Skew | 0.33 | -1.32 |
| Kurtosis | 8.98 | 27.53 |
| Ulcer Performance Index | 8.86 | 1.01 |
| Risk-Adjusted Return | 11.91% | 2.31% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.02% | 0.01% |
| Avg. Win | 0.79% | 0.63% |
| Avg. Loss | -0.83% | -0.65% |
| Win/Loss Ratio | 0.95 | 0.97 |
| Profit Ratio | 0.86 | 0.66 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.17% |
| Expected Yearly | 9.77% | 1.76% |
| Kelly Criterion | 4.67% | 0.96% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.26% |
| Expected Shortfall (cVaR) | -2.58% | -1.95% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 15 |
| Gain/Pain Ratio | 0.14 | 0.05 |
| Gain/Pain (1M) | 0.79 | 0.16 |
| Payoff Ratio | 0.95 | 0.97 |
| Profit Factor | 1.14 | 1.05 |
| Common Sense Ratio | 1.15 | 1.03 |
| CPC Index | 0.58 | 0.52 |
| Tail Ratio | 1.0 | 0.99 |
| Outlier Win Ratio | 3.4 | 4.07 |
| Outlier Loss Ratio | 3.8 | 3.51 |
| MTD | 1.47% | 0.4% |
| 3M | 1.46% | 1.32% |
| 6M | 6.94% | 4.48% |
| YTD | 13.33% | 11.94% |
| 1Y | 13.43% | 14.25% |
| 3Y (ann.) | 20.78% | 4.28% |
| 5Y (ann.) | 12.86% | 2.91% |
| 10Y (ann.) | 11.91% | 2.12% |
| All-time (ann.) | 11.91% | 2.12% |
| Best Day | 10.5% | 6.96% |
| Worst Day | -5.85% | -9.81% |
| Best Month | 10.51% | 8.39% |
| Worst Month | -9.24% | -14.6% |
| Best Year | 26.18% | 11.94% |
| Worst Year | -18.18% | -6.13% |
| Avg. Drawdown | -1.94% | -3.55% |
| Avg. Drawdown Days | 21 | 76 |
| Recovery Factor | 2.58 | 0.57 |
| Ulcer Index | 0.08 | 0.11 |
| Serenity Index | 0.43 | 0.05 |
| Avg. Up Month | 4.03% | 2.94% |
| Avg. Down Month | -3.79% | -3.77% |
| Win Days | 53.48% | 51.36% |
| Win Month | 62.3% | 57.38% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 50.0% |
| Beta | - | 0.42 |
| Alpha | - | -0.02 |
| Correlation | - | 58.9% |
| Treynor Ratio | - | 26.23% |
| Year | SPY | RWSIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.12 | 0.07 | - |
| 2022 | -18.18 | -6.13 | 0.34 | + |
| 2023 | 26.18 | 8.89 | 0.34 | - |
| 2024 | 24.89 | -0.64 | -0.03 | - |
| 2025 | 17.72 | -2.45 | -0.14 | - |
| 2026 | 13.33 | 11.94 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-26 | 2026-11-04 | -24.90 | 709 |
| 2022-01-05 | 2023-01-25 | -12.81 | 386 |
| 2023-02-03 | 2024-03-06 | -11.79 | 398 |
| 2024-07-17 | 2024-09-18 | -7.01 | 64 |
| 2024-04-01 | 2024-05-13 | -4.85 | 43 |
| 2021-11-09 | 2021-12-23 | -4.83 | 45 |
| 2024-11-12 | 2024-11-22 | -3.25 | 11 |
| 2024-10-17 | 2024-11-05 | -2.70 | 20 |
| 2024-05-22 | 2024-05-30 | -1.77 | 9 |
| 2024-10-01 | 2024-10-11 | -1.32 | 11 |