| Metric | SPY | RYMQX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 18.6% | 6.33% |
| CAGR﹪ | 40.67% | 13.06% |
| Sharpe | 2.32 | 2.59 |
| Prob. Sharpe Ratio | 95.04% | 97.47% |
| Smart Sharpe | 2.3 | 2.57 |
| Sortino | 3.78 | 4.78 |
| Smart Sortino | 3.75 | 4.75 |
| Sortino/√2 | 2.67 | 3.38 |
| Smart Sortino/√2 | 2.65 | 3.36 |
| Omega | 1.54 | 1.83 |
| Max Drawdown | -4.49% | -0.76% |
| Max DD Date | 2026-06-10 | 2026-09-22 |
| Max DD Period Start | 2026-06-03 | 2026-09-16 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 37 |
| Volatility (ann.) | 13.55% | 3.36% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 9.05 | 17.22 |
| Skew | 0.1 | 0.8 |
| Kurtosis | 1.12 | 1.5 |
| Ulcer Performance Index | 11.86 | 22.99 |
| Risk-Adjusted Return | 40.67% | 14.04% |
| Risk-Return Ratio | 0.16 | 0.23 |
| Avg. Return | 0.15% | 0.05% |
| Avg. Win | 0.79% | 0.19% |
| Avg. Loss | -0.57% | -0.14% |
| Win/Loss Ratio | 1.4 | 1.3 |
| Profit Ratio | 1.12 | 0.74 |
| Expected Daily | 0.14% | 0.05% |
| Expected Monthly | 2.47% | 0.88% |
| Expected Yearly | 18.6% | 6.33% |
| Kelly Criterion | 21.02% | 26.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.3% |
| Expected Shortfall (cVaR) | -1.77% | -0.34% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.83 |
| Gain/Pain (1M) | 10.92 | - |
| Payoff Ratio | 1.4 | 1.3 |
| Profit Factor | 1.54 | 1.83 |
| Common Sense Ratio | 2.01 | 2.93 |
| CPC Index | 1.16 | 1.39 |
| Tail Ratio | 1.3 | 1.6 |
| Outlier Win Ratio | 3.21 | 3.29 |
| Outlier Loss Ratio | 3.16 | 1.89 |
| MTD | 1.08% | 1.59% |
| 3M | 3.82% | 3.97% |
| 6M | 18.6% | 6.33% |
| YTD | 18.6% | 6.33% |
| 1Y | 18.6% | 6.33% |
| 3Y (ann.) | 40.67% | 13.06% |
| 5Y (ann.) | 40.67% | 13.06% |
| 10Y (ann.) | 40.67% | 13.06% |
| All-time (ann.) | 40.67% | 13.06% |
| Best Day | 2.91% | 0.93% |
| Worst Day | -2.58% | -0.34% |
| Best Month | 10.51% | 1.59% |
| Worst Month | -1.03% | 0.33% |
| Best Year | 18.6% | 6.33% |
| Worst Year | 18.6% | 6.33% |
| Avg. Drawdown | -1.13% | -0.33% |
| Avg. Drawdown Days | 9 | 7 |
| Recovery Factor | 3.9 | 8.13 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.75 | 7.26 |
| Avg. Up Month | 3.91% | 0.94% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 58.12% |
| Win Month | 71.43% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.04 |
| Alpha | - | 0.11 |
| Correlation | - | 16.12% |
| Treynor Ratio | - | 158.31% |
| Year | SPY | RYMQX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 6.33 | 0.34 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-16 | 2026-09-22 | -0.76 | 7 |
| 2026-04-07 | 2026-04-24 | -0.72 | 18 |
| 2026-06-04 | 2026-07-10 | -0.71 | 37 |
| 2026-08-18 | 2026-08-26 | -0.57 | 9 |
| 2026-05-20 | 2026-05-29 | -0.46 | 10 |
| 2026-04-28 | 2026-04-29 | -0.42 | 2 |
| 2026-07-14 | 2026-07-17 | -0.33 | 4 |
| 2026-07-29 | 2026-08-03 | -0.29 | 6 |
| 2026-08-05 | 2026-08-07 | -0.25 | 3 |
| 2026-09-04 | 2026-09-08 | -0.24 | 5 |