| Metric | SPY | SRRIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 6.48% | 11.38% |
| CAGR﹪ | 13.27% | 23.85% |
| Sharpe | 0.78 | 7.3 |
| Prob. Sharpe Ratio | 70.87% | 100.0% |
| Smart Sharpe | 0.75 | 7.22 |
| Sortino | 1.14 | 13.3 |
| Smart Sortino | 1.09 | 13.14 |
| Sortino/√2 | 0.8 | 9.4 |
| Smart Sortino/√2 | 0.77 | 9.29 |
| Omega | 1.19 | 6.72 |
| 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.) | 12.4% | 2.44% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 2.95 | 33.66 |
| Skew | -0.15 | 0.78 |
| Kurtosis | 0.59 | 19.62 |
| Ulcer Performance Index | 3.89 | 89.74 |
| Risk-Adjusted Return | 13.27% | 24.59% |
| Risk-Return Ratio | 0.07 | 0.55 |
| Avg. Return | 0.07% | 0.09% |
| Avg. Win | 0.66% | 0.12% |
| Avg. Loss | -0.46% | -0.24% |
| Win/Loss Ratio | 1.44 | 0.51 |
| Profit Ratio | 1.15 | 0.03 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 0.9% | 1.55% |
| Expected Yearly | 6.48% | 11.38% |
| Kelly Criterion | 16.05% | 80.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.17% |
| Expected Shortfall (cVaR) | -1.63% | -0.36% |
| Max Consecutive Wins | 4 | 29 |
| Max Consecutive Losses | 4 | 2 |
| Gain/Pain Ratio | 0.19 | 5.72 |
| Gain/Pain (1M) | 3.26 | - |
| Payoff Ratio | 1.44 | 0.51 |
| Profit Factor | 1.19 | 6.72 |
| Common Sense Ratio | 1.47 | 104.57 |
| CPC Index | 0.87 | 3.22 |
| Tail Ratio | 1.23 | 15.56 |
| Outlier Win Ratio | 2.66 | 3.87 |
| Outlier Loss Ratio | 3.07 | 1.74 |
| MTD | 1.47% | 0.21% |
| 3M | 1.46% | 7.31% |
| 6M | 6.48% | 11.38% |
| YTD | 6.48% | 11.38% |
| 1Y | 6.48% | 11.38% |
| 3Y (ann.) | 13.27% | 23.85% |
| 5Y (ann.) | 13.27% | 23.85% |
| 10Y (ann.) | 13.27% | 23.85% |
| All-time (ann.) | 13.27% | 23.85% |
| Best Day | 1.8% | 1.08% |
| Worst Day | -2.58% | -0.71% |
| Best Month | 4.52% | 2.49% |
| Worst Month | -1.03% | 0.21% |
| Best Year | 6.48% | 11.38% |
| Worst Year | 6.48% | 11.38% |
| Avg. Drawdown | -1.57% | -0.31% |
| Avg. Drawdown Days | 17 | 5 |
| Recovery Factor | 1.48 | 15.24 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.91 | 34.7 |
| Avg. Up Month | 2.18% | 1.15% |
| Avg. Down Month | - | - |
| Win Days | 50.39% | 93.5% |
| Win Month | 57.14% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.21 |
| Correlation | - | 10.53% |
| Treynor Ratio | - | 549.49% |
| Year | SPY | SRRIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 11.38 | 1.76 | + |
| 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 |
| 2026-07-29 | 2026-07-29 | -0.05 | 1 |
| 2026-05-12 | 2026-05-12 | -0.02 | 1 |