| Metric | SPY | SRRIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 17.87% | 28.92% |
| CAGR﹪ | 18.02% | 29.19% |
| Sharpe | 1.04 | 7.92 |
| Prob. Sharpe Ratio | 84.73% | 100.0% |
| Smart Sharpe | 1.01 | 6.74 |
| Sortino | 1.51 | 19.42 |
| Smart Sortino | 1.47 | 16.52 |
| Sortino/√2 | 1.07 | 13.73 |
| Smart Sortino/√2 | 1.04 | 11.68 |
| Omega | 1.25 | 12.0 |
| 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.) | 12.99% | 2.75% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 2.03 | 41.2 |
| Skew | -0.15 | 3.21 |
| Kurtosis | 1.05 | 29.28 |
| Ulcer Performance Index | 8.3 | 295.61 |
| Risk-Adjusted Return | 18.02% | 29.48% |
| Risk-Return Ratio | 0.08 | 0.59 |
| Avg. Return | 0.08% | 0.1% |
| Avg. Win | 0.65% | 0.13% |
| Avg. Loss | -0.89% | -0.22% |
| Win/Loss Ratio | 0.73 | 0.61 |
| Profit Ratio | 0.94 | 0.02 |
| Expected Daily | 0.07% | 0.1% |
| Expected Monthly | 1.27% | 1.97% |
| Expected Yearly | 8.57% | 13.54% |
| Kelly Criterion | -9.64% | 90.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.18% |
| Expected Shortfall (cVaR) | -1.72% | -0.51% |
| Max Consecutive Wins | 7 | 111 |
| Max Consecutive Losses | 4 | 1 |
| Gain/Pain Ratio | 0.25 | 11.0 |
| Gain/Pain (1M) | 2.6 | - |
| Payoff Ratio | 0.73 | 0.61 |
| Profit Factor | 1.25 | 12.0 |
| Common Sense Ratio | 1.24 | 477.41 |
| CPC Index | 0.49 | 7.08 |
| Tail Ratio | 0.99 | 39.78 |
| Outlier Win Ratio | 2.88 | 6.86 |
| Outlier Loss Ratio | 3.19 | 1.5 |
| MTD | 1.08% | 2.03% |
| 3M | 3.82% | 6.16% |
| 6M | 19.85% | 10.84% |
| YTD | 14.3% | 16.13% |
| 1Y | 17.87% | 28.92% |
| 3Y (ann.) | 18.02% | 29.19% |
| 5Y (ann.) | 18.02% | 29.19% |
| 10Y (ann.) | 18.02% | 29.19% |
| All-time (ann.) | 18.02% | 29.19% |
| Best Day | 2.91% | 1.54% |
| Worst Day | -2.7% | -0.71% |
| Best Month | 10.51% | 4.72% |
| Worst Month | -4.94% | 0.27% |
| Best Year | 14.3% | 16.13% |
| Worst Year | 3.13% | 11.02% |
| Avg. Drawdown | -1.71% | -0.29% |
| Avg. Drawdown Days | 13 | 4 |
| Recovery Factor | 1.94 | 35.93 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.16 | 119.05 |
| Avg. Up Month | 2.41% | 2.11% |
| Avg. Down Month | - | - |
| Win Days | 53.6% | 96.34% |
| Win Month | 76.92% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.25 |
| Correlation | - | 9.05% |
| Treynor Ratio | - | 1511.14% |
| Year | SPY | SRRIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 11.02 | 3.53 | + |
| 2026 | 14.30 | 16.13 | 1.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-14 | 2026-08-21 | -0.71 | 8 |
| 2025-10-27 | 2025-10-29 | -0.55 | 3 |
| 2026-07-10 | 2026-07-21 | -0.46 | 12 |
| 2025-09-29 | 2025-10-01 | -0.31 | 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 |