| Metric | SPY | SRRIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 74.99% | 210.93% |
| CAGR﹪ | 11.91% | 25.63% |
| Sharpe | 0.52 | 3.07 |
| Prob. Sharpe Ratio | 87.6% | 100.0% |
| Smart Sharpe | 0.5 | 2.33 |
| Sortino | 0.74 | 4.11 |
| Smart Sortino | 0.72 | 3.12 |
| Sortino/√2 | 0.53 | 2.9 |
| Smart Sortino/√2 | 0.51 | 2.21 |
| Omega | 1.14 | 3.26 |
| Max Drawdown | -24.5% | -13.89% |
| Max DD Date | 2022-10-12 | 2022-10-03 |
| Max DD Period Start | 2022-01-04 | 2022-09-19 |
| Max DD Period End | 2023-12-12 | 2023-04-03 |
| Longest DD Days | 708 | 197 |
| Volatility (ann.) | 17.19% | 6.25% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.49 | 1.84 |
| Skew | 0.33 | -4.09 |
| Kurtosis | 8.98 | 74.84 |
| Ulcer Performance Index | 8.86 | 82.14 |
| Risk-Adjusted Return | 11.91% | 31.25% |
| Risk-Return Ratio | 0.05 | 0.23 |
| Avg. Return | 0.09% | 0.11% |
| Avg. Win | 0.74% | 0.19% |
| Avg. Loss | -0.96% | -0.48% |
| Win/Loss Ratio | 0.77 | 0.39 |
| Profit Ratio | 0.86 | 0.04 |
| Expected Daily | 0.04% | 0.09% |
| Expected Monthly | 0.92% | 1.88% |
| Expected Yearly | 9.77% | 20.81% |
| Kelly Criterion | -6.7% | 57.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.56% |
| Expected Shortfall (cVaR) | -2.58% | -1.61% |
| Max Consecutive Wins | 10 | 111 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.14 | 2.26 |
| Gain/Pain (1M) | 0.79 | 6.06 |
| Payoff Ratio | 0.77 | 0.39 |
| Profit Factor | 1.14 | 3.26 |
| Common Sense Ratio | 1.15 | 14.72 |
| CPC Index | 0.47 | 1.12 |
| Tail Ratio | 1.0 | 4.51 |
| Outlier Win Ratio | 3.4 | 7.7 |
| Outlier Loss Ratio | 3.8 | 2.13 |
| MTD | 1.47% | 0.21% |
| 3M | 1.46% | 7.31% |
| 6M | 6.94% | 11.7% |
| YTD | 13.33% | 19.41% |
| 1Y | 13.43% | 25.89% |
| 3Y (ann.) | 20.78% | 28.48% |
| 5Y (ann.) | 12.86% | 25.7% |
| 10Y (ann.) | 11.91% | 25.63% |
| All-time (ann.) | 11.91% | 25.63% |
| Best Day | 10.5% | 3.78% |
| Worst Day | -5.85% | -5.58% |
| Best Month | 10.51% | 4.97% |
| Worst Month | -9.24% | -12.16% |
| Best Year | 26.18% | 44.73% |
| Worst Year | -18.18% | -0.81% |
| Avg. Drawdown | -1.94% | -0.77% |
| Avg. Drawdown Days | 21 | 12 |
| Recovery Factor | 2.58 | 8.24 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.43 | 1.98 |
| Avg. Up Month | 3.78% | 2.57% |
| Avg. Down Month | -4.29% | -3.74% |
| Win Days | 53.48% | 87.98% |
| Win Month | 62.3% | 88.52% |
| Win Quarter | 71.43% | 85.71% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.02 |
| Alpha | - | 0.23 |
| Correlation | - | 4.8% |
| Treynor Ratio | - | 12096.98% |
| Year | SPY | SRRIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.81 | -0.47 | - |
| 2022 | -18.18 | 5.10 | -0.28 | + |
| 2023 | 26.18 | 44.73 | 1.71 | + |
| 2024 | 24.89 | 33.14 | 1.33 | + |
| 2025 | 17.72 | 29.63 | 1.67 | + |
| 2026 | 13.33 | 19.41 | 1.46 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-19 | 2023-04-03 | -13.89 | 197 |
| 2024-09-18 | 2024-11-11 | -7.81 | 55 |
| 2025-01-08 | 2025-04-09 | -4.68 | 92 |
| 2021-12-13 | 2022-02-18 | -2.68 | 68 |
| 2022-03-07 | 2022-05-04 | -1.28 | 59 |
| 2024-03-26 | 2024-04-18 | -1.15 | 24 |
| 2023-12-08 | 2023-12-21 | -1.00 | 14 |
| 2023-08-28 | 2023-08-30 | -0.95 | 3 |
| 2026-08-14 | 2026-08-21 | -0.71 | 8 |
| 2023-04-11 | 2023-04-20 | -0.65 | 10 |