| Metric | SPY | RWSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 18.6% | 12.28% |
| CAGR﹪ | 40.67% | 26.06% |
| Sharpe | 2.32 | 1.72 |
| Prob. Sharpe Ratio | 95.04% | 89.19% |
| Smart Sharpe | 2.3 | 1.55 |
| Sortino | 3.78 | 2.8 |
| Smart Sortino | 3.75 | 2.52 |
| Sortino/√2 | 2.67 | 1.98 |
| Smart Sortino/√2 | 2.65 | 1.78 |
| Omega | 1.54 | 1.4 |
| Max Drawdown | -4.49% | -3.79% |
| Max DD Date | 2026-06-10 | 2026-06-10 |
| Max DD Period Start | 2026-06-03 | 2026-06-01 |
| Max DD Period End | 2026-07-31 | 2026-07-31 |
| Longest DD Days | 59 | 61 |
| Volatility (ann.) | 13.55% | 11.77% |
| R^2 | 0.78 | 0.78 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 9.05 | 6.88 |
| Skew | 0.1 | 0.36 |
| Kurtosis | 1.12 | 1.09 |
| Ulcer Performance Index | 11.86 | 8.81 |
| Risk-Adjusted Return | 40.67% | 28.03% |
| Risk-Return Ratio | 0.16 | 0.13 |
| Avg. Return | 0.15% | 0.1% |
| Avg. Win | 0.85% | 0.72% |
| Avg. Loss | -0.63% | -0.58% |
| Win/Loss Ratio | 1.35 | 1.25 |
| Profit Ratio | 1.12 | 0.9 |
| Expected Daily | 0.14% | 0.09% |
| Expected Monthly | 2.47% | 1.67% |
| Expected Yearly | 18.6% | 12.28% |
| Kelly Criterion | 19.87% | 13.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.13% |
| Expected Shortfall (cVaR) | -1.77% | -1.46% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.4 |
| Gain/Pain (1M) | 10.92 | 4.09 |
| Payoff Ratio | 1.35 | 1.25 |
| Profit Factor | 1.54 | 1.4 |
| Common Sense Ratio | 2.01 | 1.5 |
| CPC Index | 1.12 | 0.91 |
| Tail Ratio | 1.3 | 1.07 |
| Outlier Win Ratio | 3.21 | 3.8 |
| Outlier Loss Ratio | 3.16 | 2.62 |
| MTD | 1.08% | -0.39% |
| 3M | 3.82% | 3.74% |
| 6M | 18.6% | 12.28% |
| YTD | 18.6% | 12.28% |
| 1Y | 18.6% | 12.28% |
| 3Y (ann.) | 40.67% | 26.06% |
| 5Y (ann.) | 40.67% | 26.06% |
| 10Y (ann.) | 40.67% | 26.06% |
| All-time (ann.) | 40.67% | 26.06% |
| Best Day | 2.91% | 2.55% |
| Worst Day | -2.58% | -2.02% |
| Best Month | 10.51% | 6.6% |
| Worst Month | -1.03% | -2.58% |
| Best Year | 18.6% | 12.28% |
| Worst Year | 18.6% | 12.28% |
| Avg. Drawdown | -1.13% | -1.27% |
| Avg. Drawdown Days | 9 | 11 |
| Recovery Factor | 3.9 | 3.15 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 2.06 |
| Avg. Up Month | 4.62% | 3.55% |
| Avg. Down Month | -1.03% | -2.58% |
| Win Days | 53.97% | 52.14% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.77 |
| Alpha | - | -0.03 |
| Correlation | - | 88.07% |
| Treynor Ratio | - | 16.04% |
| Year | SPY | RWSIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 12.28 | 0.66 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-01 | 2026-07-31 | -3.79 | 61 |
| 2026-09-04 | 2026-09-22 | -2.29 | 19 |
| 2026-03-26 | 2026-03-30 | -2.26 | 5 |
| 2026-04-20 | 2026-05-04 | -1.94 | 15 |
| 2026-05-11 | 2026-05-21 | -1.74 | 11 |
| 2026-08-26 | 2026-09-02 | -1.17 | 8 |
| 2026-08-14 | 2026-08-24 | -1.12 | 11 |
| 2026-05-07 | 2026-05-07 | -0.87 | 1 |
| 2026-03-24 | 2026-03-24 | -0.38 | 1 |
| 2026-04-02 | 2026-04-02 | -0.37 | 1 |