| Metric | SPY | RYMQX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 204.97% | 25.07% |
| CAGR﹪ | 16.25% | 3.07% |
| Sharpe | 0.72 | 0.05 |
| Prob. Sharpe Ratio | 97.45% | 55.88% |
| Smart Sharpe | 0.63 | 0.05 |
| Sortino | 1.02 | 0.07 |
| Smart Sortino | 0.88 | 0.07 |
| Sortino/√2 | 0.72 | 0.05 |
| Smart Sortino/√2 | 0.62 | 0.05 |
| Omega | 1.18 | 1.11 |
| Max Drawdown | -33.72% | -13.98% |
| Max DD Date | 2020-03-23 | 2025-04-07 |
| Max DD Period Start | 2020-02-20 | 2024-04-04 |
| Max DD Period End | 2020-08-07 | 2026-09-02 |
| Longest DD Days | 708 | 882 |
| Volatility (ann.) | 19.45% | 5.73% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.22 |
| Skew | -0.29 | -0.96 |
| Kurtosis | 13.94 | 7.21 |
| Ulcer Performance Index | 25.91 | 5.41 |
| Risk-Adjusted Return | 16.25% | 3.23% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.01% |
| Avg. Win | 0.86% | 0.28% |
| Avg. Loss | -0.99% | -0.31% |
| Win/Loss Ratio | 0.87 | 0.9 |
| Profit Ratio | 0.78 | 0.63 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.25% | 0.25% |
| Expected Yearly | 14.96% | 2.84% |
| Kelly Criterion | 3.79% | 3.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.58% |
| Expected Shortfall (cVaR) | -3.2% | -1.0% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.11 |
| Gain/Pain (1M) | 1.15 | 0.62 |
| Payoff Ratio | 0.87 | 0.9 |
| Profit Factor | 1.18 | 1.11 |
| Common Sense Ratio | 1.13 | 1.12 |
| CPC Index | 0.57 | 0.54 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.69 | 3.58 |
| Outlier Loss Ratio | 4.12 | 4.23 |
| 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.) | 16.25% | 3.07% |
| All-time (ann.) | 16.25% | 3.07% |
| Best Day | 10.5% | 1.9% |
| Worst Day | -10.94% | -2.67% |
| Best Month | 12.7% | 2.79% |
| Worst Month | -12.49% | -3.56% |
| Best Year | 28.73% | 8.05% |
| Worst Year | -18.18% | -3.58% |
| Avg. Drawdown | -1.79% | -1.13% |
| Avg. Drawdown Days | 16 | 52 |
| Recovery Factor | 3.72 | 1.69 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.03 | 0.18 |
| Avg. Up Month | 4.26% | 1.11% |
| Avg. Down Month | -3.7% | -1.01% |
| Win Days | 55.15% | 54.24% |
| Win Month | 65.56% | 61.11% |
| Win Quarter | 77.42% | 58.06% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.13 |
| Alpha | - | 0.01 |
| Correlation | - | 43.94% |
| Treynor Ratio | - | 193.61% |
| Year | SPY | RYMQX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.04 | 0.12 | - |
| 2020 | 18.33 | 7.39 | 0.40 | - |
| 2021 | 28.73 | 7.17 | 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 | 13.33 | 8.05 | 0.60 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-04 | 2026-09-02 | -13.98 | 882 |
| 2021-06-01 | 2023-09-13 | -7.95 | 835 |
| 2020-02-24 | 2020-03-27 | -6.14 | 33 |
| 2020-04-23 | 2021-01-06 | -3.27 | 259 |
| 2023-09-15 | 2023-11-24 | -2.45 | 71 |
| 2023-11-28 | 2024-01-29 | -2.26 | 63 |
| 2019-09-04 | 2020-02-04 | -2.10 | 154 |
| 2021-02-25 | 2021-03-04 | -1.79 | 8 |
| 2026-10-15 | 2026-11-04 | -1.71 | 21 |
| 2021-01-27 | 2021-02-04 | -1.26 | 9 |