| Metric | SPY | RYMFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 204.97% | 45.59% |
| CAGR﹪ | 16.25% | 5.2% |
| Sharpe | 0.72 | 0.26 |
| Prob. Sharpe Ratio | 97.45% | 75.56% |
| Smart Sharpe | 0.63 | 0.25 |
| Sortino | 1.02 | 0.34 |
| Smart Sortino | 0.88 | 0.34 |
| Sortino/√2 | 0.72 | 0.24 |
| Smart Sortino/√2 | 0.62 | 0.24 |
| Omega | 1.18 | 1.09 |
| Max Drawdown | -33.72% | -17.52% |
| Max DD Date | 2020-03-23 | 2025-04-08 |
| Max DD Period Start | 2020-02-20 | 2024-03-28 |
| Max DD Period End | 2020-08-07 | 2026-01-09 |
| Longest DD Days | 708 | 653 |
| Volatility (ann.) | 19.45% | 10.96% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.3 |
| Skew | -0.29 | -0.58 |
| Kurtosis | 13.94 | 2.63 |
| Ulcer Performance Index | 25.91 | 7.61 |
| Risk-Adjusted Return | 16.25% | 5.36% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.77% | 0.52% |
| Avg. Loss | -0.83% | -0.61% |
| Win/Loss Ratio | 0.92 | 0.85 |
| Profit Ratio | 0.78 | 0.67 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.42% |
| Expected Yearly | 14.96% | 4.81% |
| Kelly Criterion | 6.56% | 1.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.11% |
| Expected Shortfall (cVaR) | -3.2% | -1.64% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.09 |
| Gain/Pain (1M) | 1.15 | 0.61 |
| Payoff Ratio | 0.92 | 0.85 |
| Profit Factor | 1.18 | 1.09 |
| Common Sense Ratio | 1.13 | 0.94 |
| CPC Index | 0.6 | 0.51 |
| Tail Ratio | 0.96 | 0.86 |
| Outlier Win Ratio | 3.69 | 3.3 |
| Outlier Loss Ratio | 4.12 | 3.62 |
| 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.) | 16.25% | 5.2% |
| All-time (ann.) | 16.25% | 5.2% |
| Best Day | 10.5% | 3.02% |
| Worst Day | -10.94% | -3.48% |
| Best Month | 12.7% | 7.84% |
| Worst Month | -12.49% | -5.12% |
| Best Year | 28.73% | 14.75% |
| Worst Year | -18.18% | 0.53% |
| Avg. Drawdown | -1.79% | -2.71% |
| Avg. Drawdown Days | 16 | 69 |
| Recovery Factor | 3.72 | 2.4 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 1.03 | 0.41 |
| Avg. Up Month | 4.22% | 1.95% |
| Avg. Down Month | -3.75% | -1.76% |
| Win Days | 55.15% | 54.44% |
| Win Month | 65.56% | 54.44% |
| Win Quarter | 77.42% | 61.29% |
| Win Year | 87.5% | 100.0% |
| Beta | - | 0.1 |
| Alpha | - | 0.04 |
| Correlation | - | 18.27% |
| Treynor Ratio | - | 442.95% |
| Year | SPY | RYMFX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 3.09 | 0.19 | - |
| 2020 | 18.33 | 2.05 | 0.11 | - |
| 2021 | 28.73 | 2.61 | 0.09 | - |
| 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 |
| 2019-09-04 | 2021-04-28 | -8.36 | 603 |
| 2026-09-25 | 2026-11-04 | -7.87 | 41 |
| 2021-06-08 | 2022-02-03 | -5.79 | 241 |
| 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 |