| Metric | SPY | RYMFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 14.39% | 9.23% |
| CAGR﹪ | 14.51% | 9.31% |
| Sharpe | 0.83 | 0.52 |
| Prob. Sharpe Ratio | 79.61% | 69.54% |
| Smart Sharpe | 0.82 | 0.52 |
| Sortino | 1.22 | 0.71 |
| Smart Sortino | 1.2 | 0.71 |
| Sortino/√2 | 0.86 | 0.5 |
| Smart Sortino/√2 | 0.85 | 0.5 |
| Omega | 1.2 | 1.15 |
| Max Drawdown | -8.88% | -7.87% |
| Max DD Date | 2026-03-30 | 2026-11-04 |
| Max DD Period Start | 2026-01-28 | 2026-09-25 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 106 |
| Volatility (ann.) | 12.86% | 11.34% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.63 | 1.18 |
| Skew | -0.02 | -0.48 |
| Kurtosis | 0.78 | 0.86 |
| Ulcer Performance Index | 6.68 | 4.06 |
| Risk-Adjusted Return | 14.51% | 9.5% |
| Risk-Return Ratio | 0.07 | 0.05 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.67% | 0.57% |
| Avg. Loss | -0.72% | -0.72% |
| Win/Loss Ratio | 0.93 | 0.79 |
| Profit Ratio | 1.02 | 0.66 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.68% |
| Expected Yearly | 6.95% | 4.51% |
| Kelly Criterion | 0.2% | -0.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.14% |
| Expected Shortfall (cVaR) | -1.66% | -1.52% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.2 | 0.15 |
| Gain/Pain (1M) | 1.83 | 0.86 |
| Payoff Ratio | 0.93 | 0.79 |
| Profit Factor | 1.2 | 1.15 |
| Common Sense Ratio | 1.19 | 1.07 |
| CPC Index | 0.58 | 0.5 |
| Tail Ratio | 0.99 | 0.93 |
| Outlier Win Ratio | 2.84 | 2.85 |
| Outlier Loss Ratio | 3.01 | 3.06 |
| MTD | 1.47% | -2.3% |
| 3M | 1.46% | 1.58% |
| 6M | 6.94% | -1.62% |
| YTD | 13.33% | 6.91% |
| 1Y | 14.39% | 9.23% |
| 3Y (ann.) | 14.51% | 9.31% |
| 5Y (ann.) | 14.51% | 9.31% |
| 10Y (ann.) | 14.51% | 9.31% |
| All-time (ann.) | 14.51% | 9.31% |
| Best Day | 2.91% | 1.98% |
| Worst Day | -2.58% | -2.62% |
| Best Month | 10.51% | 4.84% |
| Worst Month | -4.94% | -4.95% |
| Best Year | 13.33% | 6.91% |
| Worst Year | 0.94% | 2.17% |
| Avg. Drawdown | -1.74% | -1.88% |
| Avg. Drawdown Days | 14 | 16 |
| Recovery Factor | 1.61 | 1.2 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 0.55 |
| Avg. Up Month | 3.12% | 2.74% |
| Avg. Down Month | -2.29% | -2.41% |
| Win Days | 52.0% | 55.92% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.34 |
| Alpha | - | 0.05 |
| Correlation | - | 39.03% |
| Treynor Ratio | - | 26.82% |
| Year | SPY | RYMFX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 2.17 | 2.31 | + |
| 2026 | 13.33 | 6.91 | 0.52 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-25 | 2026-11-04 | -7.87 | 41 |
| 2026-01-30 | 2026-02-24 | -5.43 | 26 |
| 2026-05-14 | 2026-08-27 | -4.58 | 106 |
| 2025-11-13 | 2025-12-02 | -3.93 | 20 |
| 2026-03-03 | 2026-04-29 | -3.66 | 58 |
| 2026-01-16 | 2026-01-22 | -2.08 | 7 |
| 2026-01-07 | 2026-01-09 | -1.33 | 3 |
| 2025-12-12 | 2025-12-22 | -1.23 | 11 |
| 2026-09-11 | 2026-09-14 | -0.96 | 4 |
| 2025-12-29 | 2025-12-31 | -0.75 | 3 |