| Metric | SPY | SRRIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 73.0% |
| Cumulative Return | 207.58% | 183.52% |
| CAGR﹪ | 16.68% | 15.39% |
| Sharpe | 0.74 | 1.97 |
| Prob. Sharpe Ratio | 97.6% | 100.0% |
| Smart Sharpe | 0.64 | 1.58 |
| Sortino | 1.04 | 2.56 |
| Smart Sortino | 0.9 | 2.05 |
| Sortino/√2 | 0.74 | 1.81 |
| Smart Sortino/√2 | 0.64 | 1.45 |
| Omega | 1.19 | 2.16 |
| Max Drawdown | -33.72% | -13.89% |
| Max DD Date | 2020-03-23 | 2022-10-03 |
| Max DD Period Start | 2020-02-20 | 2022-09-19 |
| Max DD Period End | 2020-08-07 | 2023-04-03 |
| Longest DD Days | 708 | 1052 |
| Volatility (ann.) | 19.56% | 5.93% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.49 | 1.11 |
| Skew | -0.29 | -3.82 |
| Kurtosis | 13.84 | 68.56 |
| Ulcer Performance Index | 26.03 | 40.67 |
| Risk-Adjusted Return | 16.68% | 21.08% |
| Risk-Return Ratio | 0.06 | 0.15 |
| Avg. Return | 0.1% | 0.08% |
| Avg. Win | 0.76% | 0.18% |
| Avg. Loss | -0.93% | -0.4% |
| Win/Loss Ratio | 0.81 | 0.46 |
| Profit Ratio | 0.77 | 0.07 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.28% | 1.19% |
| Expected Yearly | 15.08% | 13.91% |
| Kelly Criterion | 0.34% | 34.96% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.56% |
| Expected Shortfall (cVaR) | -3.2% | -1.47% |
| Max Consecutive Wins | 11 | 111 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | 0.19 | 1.16 |
| Gain/Pain (1M) | 1.17 | 2.5 |
| Payoff Ratio | 0.81 | 0.46 |
| Profit Factor | 1.19 | 2.16 |
| Common Sense Ratio | 1.14 | 4.77 |
| CPC Index | 0.53 | 0.8 |
| Tail Ratio | 0.96 | 2.2 |
| Outlier Win Ratio | 3.69 | 7.97 |
| Outlier Loss Ratio | 4.1 | 2.98 |
| MTD | 1.08% | 2.03% |
| 3M | 3.82% | 6.16% |
| 6M | 19.85% | 10.84% |
| YTD | 14.3% | 16.13% |
| 1Y | 17.78% | 29.46% |
| 3Y (ann.) | 24.86% | 29.33% |
| 5Y (ann.) | 13.06% | 25.75% |
| 10Y (ann.) | 16.68% | 15.39% |
| All-time (ann.) | 16.68% | 15.39% |
| Best Day | 10.5% | 3.78% |
| Worst Day | -10.94% | -5.58% |
| Best Month | 12.7% | 5.39% |
| Worst Month | -12.49% | -12.16% |
| Best Year | 28.73% | 44.73% |
| Worst Year | -18.18% | -6.47% |
| Avg. Drawdown | -1.78% | -1.13% |
| Avg. Drawdown Days | 16 | 35 |
| Recovery Factor | 3.75 | 7.6 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.03 | 0.86 |
| Avg. Up Month | 3.85% | 2.25% |
| Avg. Down Month | -3.5% | -2.75% |
| Win Days | 55.26% | 79.4% |
| Win Month | 67.05% | 78.41% |
| Win Quarter | 76.67% | 73.33% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.14 |
| Correlation | - | 2.65% |
| Treynor Ratio | - | 22886.23% |
| Year | SPY | SRRIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -4.30 | -0.26 | - |
| 2020 | 18.33 | 3.90 | 0.21 | - |
| 2021 | 28.73 | -6.47 | -0.23 | - |
| 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 | 14.30 | 16.13 | 1.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-19 | 2023-04-03 | -13.89 | 197 |
| 2019-10-09 | 2022-08-25 | -10.94 | 1052 |
| 2024-09-18 | 2024-11-11 | -7.81 | 55 |
| 2025-01-08 | 2025-04-09 | -4.68 | 92 |
| 2019-08-29 | 2019-09-12 | -3.62 | 15 |
| 2024-03-26 | 2024-04-19 | -1.15 | 25 |
| 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 |