| Metric | SPY | RYMFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 74.99% | 35.17% |
| CAGR﹪ | 11.91% | 6.25% |
| Sharpe | 0.52 | 0.24 |
| Prob. Sharpe Ratio | 87.6% | 70.53% |
| Smart Sharpe | 0.5 | 0.24 |
| Sortino | 0.74 | 0.33 |
| Smart Sortino | 0.72 | 0.33 |
| Sortino/√2 | 0.53 | 0.23 |
| Smart Sortino/√2 | 0.51 | 0.23 |
| Omega | 1.14 | 1.1 |
| Max Drawdown | -24.5% | -17.52% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2024-03-28 |
| Max DD Period End | 2023-12-12 | 2026-01-09 |
| Longest DD Days | 708 | 653 |
| Volatility (ann.) | 17.19% | 12.03% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.36 |
| Skew | 0.33 | -0.55 |
| Kurtosis | 8.98 | 2.06 |
| Ulcer Performance Index | 8.86 | 5.2 |
| Risk-Adjusted Return | 11.91% | 6.38% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.77% | 0.58% |
| Avg. Loss | -0.8% | -0.67% |
| Win/Loss Ratio | 0.97 | 0.88 |
| Profit Ratio | 0.86 | 0.7 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.5% |
| Expected Yearly | 9.77% | 5.15% |
| Kelly Criterion | 5.31% | 2.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.22% |
| Expected Shortfall (cVaR) | -2.58% | -1.72% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | 0.1 |
| Gain/Pain (1M) | 0.79 | 0.67 |
| Payoff Ratio | 0.97 | 0.88 |
| Profit Factor | 1.14 | 1.1 |
| Common Sense Ratio | 1.15 | 0.97 |
| CPC Index | 0.59 | 0.52 |
| Tail Ratio | 1.0 | 0.88 |
| Outlier Win Ratio | 3.4 | 3.28 |
| Outlier Loss Ratio | 3.8 | 3.48 |
| MTD | 1.47% | -2.3% |
| 3M | 1.46% | 1.58% |
| 6M | 6.94% | -1.62% |
| YTD | 13.33% | 6.91% |
| 1Y | 13.43% | 8.81% |
| 3Y (ann.) | 20.78% | 4.54% |
| 5Y (ann.) | 12.86% | 6.44% |
| 10Y (ann.) | 11.91% | 6.25% |
| All-time (ann.) | 11.91% | 6.25% |
| Best Day | 10.5% | 3.02% |
| Worst Day | -5.85% | -3.48% |
| Best Month | 10.51% | 7.84% |
| Worst Month | -9.24% | -5.12% |
| Best Year | 26.18% | 14.75% |
| Worst Year | -18.18% | 0.22% |
| Avg. Drawdown | -1.94% | -2.92% |
| Avg. Drawdown Days | 21 | 59 |
| Recovery Factor | 2.58 | 1.93 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 0.43 | 0.29 |
| Avg. Up Month | 3.65% | 2.11% |
| Avg. Down Month | -3.04% | -2.11% |
| Win Days | 53.48% | 54.28% |
| Win Month | 62.3% | 57.38% |
| Win Quarter | 71.43% | 61.9% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.16 |
| Alpha | - | 0.05 |
| Correlation | - | 23.21% |
| Treynor Ratio | - | 216.42% |
| Year | SPY | RYMFX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.22 | 0.13 | - |
| 2022 | -18.18 | 14.75 | -0.81 | + |
| 2023 | 26.18 | 3.66 | 0.14 | - |
| 2024 | 24.89 | 0.53 | 0.02 | - |
| 2025 | 17.72 | 5.50 | 0.31 | - |
| 2026 | 13.33 | 6.91 | 0.52 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-03-28 | 2026-01-09 | -17.52 | 653 |
| 2022-06-15 | 2024-02-07 | -13.21 | 603 |
| 2026-09-25 | 2026-11-04 | -7.87 | 41 |
| 2026-01-30 | 2026-02-24 | -5.43 | 26 |
| 2022-05-09 | 2022-06-03 | -4.81 | 26 |
| 2026-05-14 | 2026-08-27 | -4.58 | 106 |
| 2022-03-09 | 2022-03-21 | -3.77 | 13 |
| 2026-03-03 | 2026-04-29 | -3.66 | 58 |
| 2021-11-29 | 2022-01-14 | -3.64 | 47 |
| 2022-04-20 | 2022-05-04 | -2.85 | 15 |