| Metric | SPY | SRRIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 18.6% | 10.71% |
| CAGR﹪ | 40.67% | 22.57% |
| Sharpe | 2.32 | 7.41 |
| Prob. Sharpe Ratio | 95.04% | 99.99% |
| Smart Sharpe | 2.3 | 7.1 |
| Sortino | 3.78 | 13.52 |
| Smart Sortino | 3.75 | 12.95 |
| Sortino/√2 | 2.67 | 9.56 |
| Smart Sortino/√2 | 2.65 | 9.16 |
| Omega | 1.54 | 9.17 |
| Max Drawdown | -4.49% | -0.71% |
| Max DD Date | 2026-06-10 | 2026-08-14 |
| Max DD Period Start | 2026-06-03 | 2026-08-14 |
| Max DD Period End | 2026-07-31 | 2026-08-21 |
| Longest DD Days | 59 | 12 |
| Volatility (ann.) | 13.55% | 2.27% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 9.05 | 31.86 |
| Skew | 0.1 | 1.16 |
| Kurtosis | 1.12 | 26.79 |
| Ulcer Performance Index | 11.86 | 92.23 |
| Risk-Adjusted Return | 40.67% | 23.27% |
| Risk-Return Ratio | 0.16 | 0.57 |
| Avg. Return | 0.16% | 0.08% |
| Avg. Win | 0.74% | 0.1% |
| Avg. Loss | -0.63% | -0.26% |
| Win/Loss Ratio | 1.18 | 0.41 |
| Profit Ratio | 1.12 | 0.02 |
| Expected Daily | 0.14% | 0.08% |
| Expected Monthly | 2.47% | 1.46% |
| Expected Yearly | 18.6% | 10.71% |
| Kelly Criterion | 15.06% | 85.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.15% |
| Expected Shortfall (cVaR) | -1.77% | -0.58% |
| Max Consecutive Wins | 7 | 34 |
| Max Consecutive Losses | 4 | 1 |
| Gain/Pain Ratio | 0.54 | 8.17 |
| Gain/Pain (1M) | 10.92 | - |
| Payoff Ratio | 1.18 | 0.41 |
| Profit Factor | 1.54 | 9.17 |
| Common Sense Ratio | 2.01 | - |
| CPC Index | 0.98 | 3.57 |
| Tail Ratio | 1.3 | - |
| Outlier Win Ratio | 3.21 | 3.86 |
| Outlier Loss Ratio | 3.16 | 1.42 |
| MTD | 1.08% | 2.03% |
| 3M | 3.82% | 6.16% |
| 6M | 18.6% | 10.71% |
| YTD | 18.6% | 10.71% |
| 1Y | 18.6% | 10.71% |
| 3Y (ann.) | 40.67% | 22.57% |
| 5Y (ann.) | 40.67% | 22.57% |
| 10Y (ann.) | 40.67% | 22.57% |
| All-time (ann.) | 40.67% | 22.57% |
| Best Day | 2.91% | 1.08% |
| Worst Day | -2.58% | -0.71% |
| Best Month | 10.51% | 2.49% |
| Worst Month | -1.03% | 0.28% |
| Best Year | 18.6% | 10.71% |
| Worst Year | 18.6% | 10.71% |
| Avg. Drawdown | -1.13% | -0.31% |
| Avg. Drawdown Days | 9 | 6 |
| Recovery Factor | 3.9 | 14.39 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.75 | 33.2 |
| Avg. Up Month | 3.91% | 1.67% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 95.9% |
| Win Month | 71.43% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.2 |
| Correlation | - | 7.51% |
| Treynor Ratio | - | 852.3% |
| Year | SPY | SRRIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 10.71 | 0.58 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-14 | 2026-08-21 | -0.71 | 8 |
| 2026-07-10 | 2026-07-21 | -0.46 | 12 |
| 2026-07-29 | 2026-07-29 | -0.05 | 1 |
| 2026-05-12 | 2026-05-12 | -0.02 | 1 |