| Metric | SPY | SRRIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 14.39% | 25.66% |
| CAGR﹪ | 14.51% | 25.89% |
| Sharpe | 0.83 | 8.73 |
| Prob. Sharpe Ratio | 79.61% | 100.0% |
| Smart Sharpe | 0.82 | 8.57 |
| Sortino | 1.22 | 19.94 |
| Smart Sortino | 1.2 | 19.57 |
| Sortino/√2 | 0.86 | 14.1 |
| Smart Sortino/√2 | 0.85 | 13.84 |
| Omega | 1.2 | 11.96 |
| Max Drawdown | -8.88% | -0.71% |
| Max DD Date | 2026-03-30 | 2026-08-14 |
| Max DD Period Start | 2026-01-28 | 2026-08-14 |
| Max DD Period End | 2026-04-13 | 2026-08-21 |
| Longest DD Days | 76 | 12 |
| Volatility (ann.) | 12.86% | 2.22% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 1.63 | 36.54 |
| Skew | -0.02 | 2.15 |
| Kurtosis | 0.78 | 24.91 |
| Ulcer Performance Index | 6.68 | 282.98 |
| Risk-Adjusted Return | 14.51% | 26.15% |
| Risk-Return Ratio | 0.07 | 0.65 |
| Avg. Return | 0.06% | 0.09% |
| Avg. Win | 0.66% | 0.12% |
| Avg. Loss | -0.63% | -0.21% |
| Win/Loss Ratio | 1.05 | 0.55 |
| Profit Ratio | 1.02 | 0.02 |
| Expected Daily | 0.05% | 0.09% |
| Expected Monthly | 1.04% | 1.77% |
| Expected Yearly | 6.95% | 12.1% |
| Kelly Criterion | 6.12% | 88.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.14% |
| Expected Shortfall (cVaR) | -1.66% | -0.36% |
| Max Consecutive Wins | 7 | 111 |
| Max Consecutive Losses | 4 | 2 |
| Gain/Pain Ratio | 0.2 | 10.96 |
| Gain/Pain (1M) | 1.83 | - |
| Payoff Ratio | 1.05 | 0.55 |
| Profit Factor | 1.2 | 11.96 |
| Common Sense Ratio | 1.19 | - |
| CPC Index | 0.65 | 6.29 |
| Tail Ratio | 0.99 | - |
| Outlier Win Ratio | 2.84 | 4.19 |
| Outlier Loss Ratio | 3.01 | 1.12 |
| MTD | 1.47% | 0.21% |
| 3M | 1.46% | 7.31% |
| 6M | 6.94% | 11.7% |
| YTD | 13.33% | 19.41% |
| 1Y | 14.39% | 25.66% |
| 3Y (ann.) | 14.51% | 25.89% |
| 5Y (ann.) | 14.51% | 25.89% |
| 10Y (ann.) | 14.51% | 25.89% |
| All-time (ann.) | 14.51% | 25.89% |
| Best Day | 2.91% | 1.11% |
| Worst Day | -2.58% | -0.71% |
| Best Month | 10.51% | 2.61% |
| Worst Month | -4.94% | 0.21% |
| Best Year | 13.33% | 19.41% |
| Worst Year | 0.94% | 5.23% |
| Avg. Drawdown | -1.74% | -0.26% |
| Avg. Drawdown Days | 14 | 4 |
| Recovery Factor | 1.61 | 32.29 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.94 | 101.19 |
| Avg. Up Month | 2.8% | 1.73% |
| Avg. Down Month | - | - |
| Win Days | 52.0% | 95.93% |
| Win Month | 61.54% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.23 |
| Correlation | - | 12.35% |
| Treynor Ratio | - | 1202.0% |
| Year | SPY | SRRIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 5.23 | 5.58 | + |
| 2026 | 13.33 | 19.41 | 1.46 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-14 | 2026-08-21 | -0.71 | 8 |
| 2026-10-07 | 2026-10-09 | -0.47 | 3 |
| 2026-07-10 | 2026-07-21 | -0.46 | 12 |
| 2026-09-30 | 2026-10-02 | -0.17 | 3 |
| 2025-11-28 | 2025-11-28 | -0.11 | 1 |
| 2025-11-13 | 2025-11-13 | -0.09 | 1 |
| 2026-07-29 | 2026-07-29 | -0.05 | 1 |
| 2026-05-12 | 2026-05-12 | -0.02 | 1 |