| Metric | SPY | RWSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 204.97% | 78.16% |
| CAGR﹪ | 16.25% | 8.11% |
| Sharpe | 0.72 | 0.45 |
| Prob. Sharpe Ratio | 97.45% | 88.72% |
| Smart Sharpe | 0.63 | 0.45 |
| Sortino | 1.02 | 0.63 |
| Smart Sortino | 0.88 | 0.62 |
| Sortino/√2 | 0.72 | 0.44 |
| Smart Sortino/√2 | 0.62 | 0.44 |
| Omega | 1.18 | 1.14 |
| Max Drawdown | -33.72% | -24.9% |
| Max DD Date | 2020-03-23 | 2025-04-08 |
| Max DD Period Start | 2020-02-20 | 2024-11-26 |
| Max DD Period End | 2020-08-07 | 2026-11-04 |
| Longest DD Days | 708 | 709 |
| Volatility (ann.) | 19.45% | 12.7% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.33 |
| Skew | -0.29 | -0.85 |
| Kurtosis | 13.94 | 17.42 |
| Ulcer Performance Index | 25.91 | 8.56 |
| Risk-Adjusted Return | 16.25% | 8.72% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.81% | 0.65% |
| Avg. Loss | -0.86% | -0.68% |
| Win/Loss Ratio | 0.95 | 0.95 |
| Profit Ratio | 0.78 | 0.67 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.64% |
| Expected Yearly | 14.96% | 7.49% |
| Kelly Criterion | 7.73% | 4.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.28% |
| Expected Shortfall (cVaR) | -3.2% | -1.98% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 7 | 15 |
| Gain/Pain Ratio | 0.18 | 0.14 |
| Gain/Pain (1M) | 1.15 | 0.63 |
| Payoff Ratio | 0.95 | 0.95 |
| Profit Factor | 1.18 | 1.14 |
| Common Sense Ratio | 1.13 | 1.15 |
| CPC Index | 0.62 | 0.58 |
| Tail Ratio | 0.96 | 1.02 |
| Outlier Win Ratio | 3.69 | 3.85 |
| Outlier Loss Ratio | 4.12 | 3.62 |
| 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.) | 16.25% | 8.11% |
| All-time (ann.) | 16.25% | 8.11% |
| Best Day | 10.5% | 6.96% |
| Worst Day | -10.94% | -9.81% |
| Best Month | 12.7% | 13.05% |
| Worst Month | -12.49% | -14.6% |
| Best Year | 28.73% | 22.44% |
| Worst Year | -18.18% | -6.13% |
| Avg. Drawdown | -1.79% | -2.31% |
| Avg. Drawdown Days | 16 | 33 |
| Recovery Factor | 3.72 | 2.56 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 1.03 | 0.28 |
| Avg. Up Month | 4.19% | 3.02% |
| Avg. Down Month | -3.63% | -3.48% |
| Win Days | 55.15% | 53.18% |
| Win Month | 65.56% | 63.33% |
| Win Quarter | 77.42% | 74.19% |
| Win Year | 87.5% | 62.5% |
| Beta | - | 0.37 |
| Alpha | - | 0.02 |
| Correlation | - | 57.28% |
| Treynor Ratio | - | 208.85% |
| Year | SPY | RWSIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 10.85 | 0.66 | - |
| 2020 | 18.33 | 22.44 | 1.22 | + |
| 2021 | 28.73 | 18.37 | 0.64 | - |
| 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 |
| 2020-02-13 | 2020-06-01 | -13.10 | 110 |
| 2022-01-05 | 2023-01-25 | -12.81 | 386 |
| 2023-02-03 | 2024-03-06 | -11.79 | 398 |
| 2020-06-09 | 2020-09-01 | -9.15 | 85 |
| 2020-09-03 | 2020-10-09 | -7.04 | 37 |
| 2024-07-17 | 2024-09-18 | -7.01 | 64 |
| 2020-10-13 | 2020-11-04 | -5.73 | 23 |
| 2024-04-01 | 2024-05-13 | -4.85 | 43 |
| 2021-11-09 | 2021-12-23 | -4.83 | 45 |