| Metric | SPY | RYMQX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 17.87% | 10.28% |
| CAGR﹪ | 18.02% | 10.36% |
| Sharpe | 1.04 | 1.37 |
| Prob. Sharpe Ratio | 84.73% | 91.54% |
| Smart Sharpe | 1.01 | 1.21 |
| Sortino | 1.51 | 2.12 |
| Smart Sortino | 1.47 | 1.87 |
| Sortino/√2 | 1.07 | 1.5 |
| Smart Sortino/√2 | 1.04 | 1.32 |
| Omega | 1.25 | 1.47 |
| Max Drawdown | -8.88% | -2.22% |
| Max DD Date | 2026-03-30 | 2026-03-13 |
| Max DD Period Start | 2026-01-28 | 2026-02-24 |
| Max DD Period End | 2026-04-13 | 2026-05-07 |
| Longest DD Days | 76 | 73 |
| Volatility (ann.) | 12.99% | 4.36% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.03 | 4.66 |
| Skew | -0.15 | 0.18 |
| Kurtosis | 1.05 | 3.14 |
| Ulcer Performance Index | 8.3 | 15.44 |
| Risk-Adjusted Return | 18.02% | 11.02% |
| Risk-Return Ratio | 0.08 | 0.14 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.68% | 0.23% |
| Avg. Loss | -0.68% | -0.21% |
| Win/Loss Ratio | 1.0 | 1.08 |
| Profit Ratio | 0.94 | 0.7 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.27% | 0.76% |
| Expected Yearly | 8.57% | 5.01% |
| Kelly Criterion | 7.19% | 16.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.41% |
| Expected Shortfall (cVaR) | -1.72% | -0.69% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.47 |
| Gain/Pain (1M) | 2.6 | 18.02 |
| Payoff Ratio | 1.0 | 1.08 |
| Profit Factor | 1.25 | 1.47 |
| Common Sense Ratio | 1.24 | 2.01 |
| CPC Index | 0.67 | 0.9 |
| Tail Ratio | 0.99 | 1.37 |
| Outlier Win Ratio | 2.88 | 3.19 |
| Outlier Loss Ratio | 3.19 | 3.1 |
| MTD | 1.08% | 1.59% |
| 3M | 3.82% | 3.97% |
| 6M | 19.85% | 6.06% |
| YTD | 14.3% | 8.8% |
| 1Y | 17.87% | 10.28% |
| 3Y (ann.) | 18.02% | 10.36% |
| 5Y (ann.) | 18.02% | 10.36% |
| 10Y (ann.) | 18.02% | 10.36% |
| All-time (ann.) | 18.02% | 10.36% |
| Best Day | 2.91% | 1.36% |
| Worst Day | -2.7% | -1.17% |
| Best Month | 10.51% | 1.97% |
| Worst Month | -4.94% | -0.52% |
| Best Year | 14.3% | 8.8% |
| Worst Year | 3.13% | 1.36% |
| Avg. Drawdown | -1.71% | -0.51% |
| Avg. Drawdown Days | 13 | 12 |
| Recovery Factor | 1.94 | 4.45 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 2.34 |
| Avg. Up Month | 2.42% | 0.95% |
| Avg. Down Month | -4.94% | -0.04% |
| Win Days | 53.6% | 56.41% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.12 |
| Alpha | - | 0.08 |
| Correlation | - | 36.08% |
| Treynor Ratio | - | 84.92% |
| Year | SPY | RYMQX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.36 | 0.44 | - |
| 2026 | 14.30 | 8.80 | 0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-24 | 2026-05-07 | -2.22 | 73 |
| 2025-10-02 | 2025-11-26 | -1.68 | 56 |
| 2026-01-07 | 2026-01-22 | -1.08 | 16 |
| 2026-01-30 | 2026-02-10 | -0.94 | 12 |
| 2025-12-29 | 2026-01-05 | -0.78 | 8 |
| 2026-09-16 | 2026-09-22 | -0.76 | 7 |
| 2026-06-04 | 2026-07-10 | -0.71 | 37 |
| 2026-08-18 | 2026-08-26 | -0.57 | 9 |
| 2025-12-01 | 2025-12-09 | -0.52 | 9 |
| 2026-05-20 | 2026-05-29 | -0.46 | 10 |