| Metric | SPY | RYMQX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 86.58% | 5.2% |
| CAGR﹪ | 13.36% | 1.03% |
| Sharpe | 0.59 | -0.49 |
| Prob. Sharpe Ratio | 90.85% | 13.49% |
| Smart Sharpe | 0.58 | -0.48 |
| Sortino | 0.86 | -0.62 |
| Smart Sortino | 0.83 | -0.62 |
| Sortino/√2 | 0.61 | -0.44 |
| Smart Sortino/√2 | 0.59 | -0.44 |
| Omega | 1.16 | 1.04 |
| 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.) | 17.2% | 5.4% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.55 | 0.07 |
| Skew | 0.32 | -1.1 |
| Kurtosis | 8.95 | 5.87 |
| Ulcer Performance Index | 10.24 | 0.94 |
| Risk-Adjusted Return | 13.36% | 1.08% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.07% | 0.0% |
| Avg. Win | 0.83% | 0.27% |
| Avg. Loss | -0.89% | -0.3% |
| Win/Loss Ratio | 0.93 | 0.88 |
| Profit Ratio | 0.83 | 0.64 |
| Expected Daily | 0.05% | 0.0% |
| Expected Monthly | 1.03% | 0.08% |
| Expected Yearly | 10.95% | 0.85% |
| Kelly Criterion | 4.74% | 0.38% |
| 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 | 0.16 | 0.04 |
| Gain/Pain (1M) | 0.87 | 0.19 |
| Payoff Ratio | 0.93 | 0.88 |
| Profit Factor | 1.16 | 1.04 |
| Common Sense Ratio | 1.17 | 1.01 |
| CPC Index | 0.58 | 0.49 |
| Tail Ratio | 1.01 | 0.97 |
| Outlier Win Ratio | 3.41 | 3.3 |
| Outlier Loss Ratio | 3.77 | 3.69 |
| MTD | 1.08% | 1.59% |
| 3M | 3.82% | 3.97% |
| 6M | 19.85% | 6.06% |
| YTD | 14.3% | 8.8% |
| 1Y | 17.78% | 10.23% |
| 3Y (ann.) | 24.86% | 1.97% |
| 5Y (ann.) | 13.06% | 1.3% |
| 10Y (ann.) | 13.36% | 1.03% |
| All-time (ann.) | 13.36% | 1.03% |
| 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% | 8.8% |
| Worst Year | -18.18% | -3.58% |
| Avg. Drawdown | -1.89% | -2.34% |
| Avg. Drawdown Days | 20 | 137 |
| Recovery Factor | 2.85 | 0.41 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 0.47 | 0.03 |
| Avg. Up Month | 3.88% | 0.99% |
| Avg. Down Month | -3.68% | -1.12% |
| Win Days | 54.04% | 53.27% |
| Win Month | 63.93% | 60.66% |
| Win Quarter | 66.67% | 47.62% |
| Win Year | 83.33% | 50.0% |
| Beta | - | 0.13 |
| Alpha | - | -0.01 |
| Correlation | - | 40.53% |
| Treynor Ratio | - | 40.89% |
| Year | SPY | RYMQX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -1.89 | -0.25 | - |
| 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 | 14.30 | 8.80 | 0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-04 | 2026-09-02 | -13.98 | 882 |
| 2021-09-28 | 2023-09-13 | -7.82 | 716 |
| 2023-09-15 | 2023-11-24 | -2.45 | 71 |
| 2023-11-28 | 2024-01-29 | -2.26 | 63 |
| 2024-02-16 | 2024-02-29 | -1.25 | 14 |
| 2026-09-16 | 2026-09-22 | -0.76 | 7 |
| 2024-03-04 | 2024-03-12 | -0.70 | 9 |
| 2024-02-02 | 2024-02-08 | -0.33 | 7 |
| 2024-02-13 | 2024-02-13 | -0.29 | 1 |
| 2026-09-04 | 2026-09-08 | -0.24 | 5 |