| Metric | SPY | RYMQX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 14.39% | 9.39% |
| CAGR﹪ | 14.51% | 9.47% |
| Sharpe | 0.83 | 1.24 |
| Prob. Sharpe Ratio | 79.61% | 89.07% |
| Smart Sharpe | 0.82 | 1.13 |
| Sortino | 1.22 | 1.87 |
| Smart Sortino | 1.2 | 1.7 |
| Sortino/√2 | 0.86 | 1.32 |
| Smart Sortino/√2 | 0.85 | 1.2 |
| Omega | 1.2 | 1.41 |
| 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.) | 12.86% | 4.43% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.63 | 4.26 |
| Skew | -0.02 | 0.06 |
| Kurtosis | 0.78 | 3.22 |
| Ulcer Performance Index | 6.68 | 14.5 |
| Risk-Adjusted Return | 14.51% | 9.97% |
| Risk-Return Ratio | 0.07 | 0.13 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.69% | 0.23% |
| Avg. Loss | -0.66% | -0.21% |
| Win/Loss Ratio | 1.04 | 1.08 |
| Profit Ratio | 1.02 | 0.67 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.69% |
| Expected Yearly | 6.95% | 4.59% |
| Kelly Criterion | 5.9% | 16.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.42% |
| Expected Shortfall (cVaR) | -1.66% | -0.73% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.41 |
| Gain/Pain (1M) | 1.83 | 5.99 |
| Payoff Ratio | 1.04 | 1.08 |
| Profit Factor | 1.2 | 1.41 |
| Common Sense Ratio | 1.19 | 1.87 |
| CPC Index | 0.65 | 0.87 |
| Tail Ratio | 0.99 | 1.32 |
| Outlier Win Ratio | 2.84 | 3.18 |
| Outlier Loss Ratio | 3.01 | 2.97 |
| MTD | 1.47% | -1.48% |
| 3M | 1.46% | 1.98% |
| 6M | 6.94% | 3.7% |
| YTD | 13.33% | 8.05% |
| 1Y | 14.39% | 9.39% |
| 3Y (ann.) | 14.51% | 9.47% |
| 5Y (ann.) | 14.51% | 9.47% |
| 10Y (ann.) | 14.51% | 9.47% |
| All-time (ann.) | 14.51% | 9.47% |
| Best Day | 2.91% | 1.36% |
| Worst Day | -2.58% | -1.17% |
| Best Month | 10.51% | 2.08% |
| Worst Month | -4.94% | -1.48% |
| Best Year | 13.33% | 8.05% |
| Worst Year | 0.94% | 1.24% |
| Avg. Drawdown | -1.74% | -0.57% |
| Avg. Drawdown Days | 14 | 11 |
| Recovery Factor | 1.61 | 4.08 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 2.26 |
| Avg. Up Month | 2.98% | 0.9% |
| Avg. Down Month | -4.94% | -0.04% |
| Win Days | 52.0% | 56.78% |
| Win Month | 61.54% | 84.62% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.09 |
| Alpha | - | 0.08 |
| Correlation | - | 24.83% |
| Treynor Ratio | - | 109.73% |
| Year | SPY | RYMQX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.24 | 1.32 | + |
| 2026 | 13.33 | 8.05 | 0.60 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-24 | 2026-05-07 | -2.22 | 73 |
| 2026-10-15 | 2026-11-04 | -1.71 | 21 |
| 2025-11-13 | 2025-11-26 | -1.56 | 14 |
| 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 | 2026-09-23 | -0.76 | 8 |
| 2026-09-29 | 2026-10-12 | -0.72 | 14 |
| 2026-06-04 | 2026-07-10 | -0.71 | 37 |
| 2026-08-18 | 2026-08-26 | -0.57 | 9 |