| Metric | SPY | RYMQX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 74.99% | 6.98% |
| CAGR﹪ | 11.91% | 1.37% |
| Sharpe | 0.52 | -0.44 |
| Prob. Sharpe Ratio | 87.6% | 15.94% |
| Smart Sharpe | 0.5 | -0.44 |
| Sortino | 0.74 | -0.56 |
| Smart Sortino | 0.72 | -0.56 |
| Sortino/√2 | 0.53 | -0.4 |
| Smart Sortino/√2 | 0.51 | -0.4 |
| Omega | 1.14 | 1.05 |
| Max Drawdown | -24.5% | -13.98% |
| Max DD Date | 2022-10-12 | 2025-04-07 |
| Max DD Period Start | 2022-01-04 | 2024-04-04 |
| Max DD Period End | 2023-12-12 | 2026-09-02 |
| Longest DD Days | 708 | 882 |
| Volatility (ann.) | 17.19% | 5.36% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.1 |
| Skew | 0.33 | -1.13 |
| Kurtosis | 8.98 | 6.1 |
| Ulcer Performance Index | 8.86 | 1.32 |
| Risk-Adjusted Return | 11.91% | 1.44% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.83% | 0.27% |
| Avg. Loss | -0.88% | -0.3% |
| Win/Loss Ratio | 0.94 | 0.89 |
| Profit Ratio | 0.86 | 0.64 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.11% |
| Expected Yearly | 9.77% | 1.13% |
| Kelly Criterion | 3.93% | 0.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.55% |
| Expected Shortfall (cVaR) | -2.58% | -0.89% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.14 | 0.05 |
| Gain/Pain (1M) | 0.79 | 0.25 |
| Payoff Ratio | 0.94 | 0.89 |
| Profit Factor | 1.14 | 1.05 |
| Common Sense Ratio | 1.15 | 1.05 |
| CPC Index | 0.57 | 0.5 |
| Tail Ratio | 1.0 | 1.0 |
| Outlier Win Ratio | 3.4 | 3.3 |
| Outlier Loss Ratio | 3.8 | 3.74 |
| MTD | 1.47% | -1.48% |
| 3M | 1.46% | 1.98% |
| 6M | 6.94% | 3.7% |
| YTD | 13.33% | 8.05% |
| 1Y | 13.43% | 9.48% |
| 3Y (ann.) | 20.78% | 1.48% |
| 5Y (ann.) | 12.86% | 1.53% |
| 10Y (ann.) | 11.91% | 1.37% |
| All-time (ann.) | 11.91% | 1.37% |
| Best Day | 10.5% | 1.36% |
| Worst Day | -5.85% | -2.39% |
| Best Month | 10.51% | 2.58% |
| Worst Month | -9.24% | -3.56% |
| Best Year | 26.18% | 8.05% |
| Worst Year | -18.18% | -3.58% |
| Avg. Drawdown | -1.94% | -1.63% |
| Avg. Drawdown Days | 21 | 84 |
| Recovery Factor | 2.58 | 0.53 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.43 | 0.04 |
| Avg. Up Month | 3.98% | 0.97% |
| Avg. Down Month | -3.85% | -1.15% |
| Win Days | 53.48% | 53.39% |
| Win Month | 62.3% | 62.3% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.12 |
| Alpha | - | -0.0 |
| Correlation | - | 39.45% |
| Treynor Ratio | - | 56.79% |
| Year | SPY | RYMQX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.45 | 0.26 | - |
| 2022 | -18.18 | -3.47 | 0.19 | + |
| 2023 | 26.18 | 4.27 | 0.16 | - |
| 2024 | 24.89 | -3.58 | -0.14 | - |
| 2025 | 17.72 | 1.56 | 0.09 | - |
| 2026 | 13.33 | 8.05 | 0.60 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-04 | 2026-09-02 | -13.98 | 882 |
| 2022-04-21 | 2023-08-30 | -6.90 | 497 |
| 2023-09-15 | 2024-01-29 | -2.45 | 137 |
| 2021-11-17 | 2022-03-07 | -2.12 | 111 |
| 2026-10-15 | 2026-11-04 | -1.71 | 21 |
| 2022-03-15 | 2022-04-18 | -1.66 | 35 |
| 2024-02-16 | 2024-02-29 | -1.25 | 14 |
| 2026-09-16 | 2026-09-23 | -0.76 | 8 |
| 2026-09-29 | 2026-10-07 | -0.72 | 9 |
| 2024-03-04 | 2024-03-12 | -0.70 | 9 |