| Metric | SPY | RWSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 86.58% | 13.94% |
| CAGR﹪ | 13.36% | 2.66% |
| Sharpe | 0.59 | -0.03 |
| Prob. Sharpe Ratio | 90.85% | 47.0% |
| Smart Sharpe | 0.58 | -0.03 |
| Sortino | 0.86 | -0.05 |
| Smart Sortino | 0.83 | -0.04 |
| Sortino/√2 | 0.61 | -0.03 |
| Smart Sortino/√2 | 0.59 | -0.03 |
| Omega | 1.16 | 1.06 |
| 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 | 2026-09-22 |
| Longest DD Days | 708 | 666 |
| Volatility (ann.) | 17.2% | 12.26% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.55 | 0.11 |
| Skew | 0.32 | -1.32 |
| Kurtosis | 8.95 | 27.52 |
| Ulcer Performance Index | 10.24 | 1.29 |
| Risk-Adjusted Return | 13.36% | 2.89% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.03% | 0.01% |
| Avg. Win | 0.79% | 0.63% |
| Avg. Loss | -0.83% | -0.65% |
| Win/Loss Ratio | 0.95 | 0.96 |
| Profit Ratio | 0.83 | 0.66 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.21% |
| Expected Yearly | 10.95% | 2.2% |
| Kelly Criterion | 5.62% | 0.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.26% |
| Expected Shortfall (cVaR) | -2.58% | -1.93% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 15 |
| Gain/Pain Ratio | 0.16 | 0.06 |
| Gain/Pain (1M) | 0.87 | 0.2 |
| Payoff Ratio | 0.95 | 0.96 |
| Profit Factor | 1.16 | 1.06 |
| Common Sense Ratio | 1.17 | 1.05 |
| CPC Index | 0.59 | 0.52 |
| Tail Ratio | 1.01 | 1.0 |
| Outlier Win Ratio | 3.41 | 4.06 |
| Outlier Loss Ratio | 3.77 | 3.52 |
| MTD | 1.08% | -0.39% |
| 3M | 3.82% | 3.74% |
| 6M | 19.85% | 13.94% |
| YTD | 14.3% | 12.07% |
| 1Y | 17.78% | 13.19% |
| 3Y (ann.) | 24.86% | 5.95% |
| 5Y (ann.) | 13.06% | 2.5% |
| 10Y (ann.) | 13.36% | 2.66% |
| All-time (ann.) | 13.36% | 2.66% |
| 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% | 12.07% |
| Worst Year | -18.18% | -6.13% |
| Avg. Drawdown | -1.89% | -3.14% |
| Avg. Drawdown Days | 20 | 64 |
| Recovery Factor | 2.85 | 0.68 |
| Ulcer Index | 0.08 | 0.11 |
| Serenity Index | 0.47 | 0.05 |
| Avg. Up Month | 4.2% | 3.0% |
| Avg. Down Month | -3.83% | -3.63% |
| Win Days | 54.04% | 51.45% |
| Win Month | 63.93% | 55.74% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 50.0% |
| Beta | - | 0.42 |
| Alpha | - | -0.03 |
| Correlation | - | 59.08% |
| Treynor Ratio | - | 33.11% |
| Year | SPY | RWSIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 2.64 | 0.35 | - |
| 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 | 14.30 | 12.07 | 0.84 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-26 | 2026-09-22 | -24.90 | 666 |
| 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 |
| 2021-09-28 | 2021-10-13 | -2.03 | 16 |
| 2024-05-22 | 2024-05-30 | -1.77 | 9 |