| Metric | SPY | RYMFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 207.58% | 56.17% |
| CAGR﹪ | 16.68% | 6.31% |
| Sharpe | 0.74 | 0.35 |
| Prob. Sharpe Ratio | 97.6% | 82.66% |
| Smart Sharpe | 0.64 | 0.35 |
| Sortino | 1.04 | 0.47 |
| Smart Sortino | 0.9 | 0.47 |
| Sortino/√2 | 0.74 | 0.34 |
| Smart Sortino/√2 | 0.64 | 0.34 |
| Omega | 1.19 | 1.11 |
| 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.) | 19.56% | 10.95% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.36 |
| Skew | -0.29 | -0.59 |
| Kurtosis | 13.84 | 2.7 |
| Ulcer Performance Index | 26.03 | 9.33 |
| Risk-Adjusted Return | 16.68% | 6.51% |
| Risk-Return Ratio | 0.06 | 0.04 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.77% | 0.53% |
| Avg. Loss | -0.84% | -0.61% |
| Win/Loss Ratio | 0.92 | 0.86 |
| Profit Ratio | 0.77 | 0.67 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.28% | 0.51% |
| Expected Yearly | 15.08% | 5.73% |
| Kelly Criterion | 6.76% | 2.08% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.11% |
| Expected Shortfall (cVaR) | -3.2% | -1.64% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.19 | 0.11 |
| Gain/Pain (1M) | 1.17 | 0.8 |
| Payoff Ratio | 0.92 | 0.86 |
| Profit Factor | 1.19 | 1.11 |
| Common Sense Ratio | 1.14 | 0.98 |
| CPC Index | 0.6 | 0.52 |
| Tail Ratio | 0.96 | 0.88 |
| Outlier Win Ratio | 3.69 | 3.29 |
| Outlier Loss Ratio | 4.1 | 3.69 |
| MTD | 1.08% | 3.5% |
| 3M | 3.82% | 6.46% |
| 6M | 19.85% | 8.39% |
| YTD | 14.3% | 14.67% |
| 1Y | 17.78% | 19.61% |
| 3Y (ann.) | 24.86% | 6.43% |
| 5Y (ann.) | 13.06% | 7.61% |
| 10Y (ann.) | 16.68% | 6.31% |
| All-time (ann.) | 16.68% | 6.31% |
| 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 | -1.78% | -2.56% |
| Avg. Drawdown Days | 16 | 70 |
| Recovery Factor | 3.75 | 2.79 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 1.03 | 0.47 |
| Avg. Up Month | 4.13% | 1.99% |
| Avg. Down Month | -3.93% | -1.56% |
| Win Days | 55.26% | 54.63% |
| Win Month | 67.05% | 55.68% |
| Win Quarter | 76.67% | 63.33% |
| Win Year | 87.5% | 100.0% |
| Beta | - | 0.1 |
| Alpha | - | 0.05 |
| Correlation | - | 18.15% |
| Treynor Ratio | - | 552.74% |
| 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 | 14.30 | 14.67 | 1.03 | + |
| 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 |
| 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 |
| 2022-04-20 | 2022-05-04 | -2.85 | 15 |