Athena RCR · model results
Measured against the market.
Athena RCR model results since January 2017, beside the SPY ETF over the same days. Figures as of 2 Oct 2026.
Model results, not client account results. They show what the Athena RCR model portfolio returned over the period, and they are not a guarantee or a forecast of what any investor will earn.
Period: 30 Dec 2016 to 2 Oct 2026. Benchmark: SPY (SPDR S&P 500 ETF). How the figures are calculated
Cumulative return since 2017
+831.8%
SPY +300.8%
Annualized return
+25.7%
SPY +15.3%
Annualized volatility
20.6%
SPY 18.1%
Largest drawdown
−18.8%
SPY −33.7%
Both lines start at 100 on the first day of the selected period. Athena RCR is the model portfolio, not a client account. SPY is the SPDR S&P 500 ETF series supplied with the model data. On the log scale, equal vertical distances are equal percentage changes.
| Since 2017 | Athena RCR | SPY |
|---|---|---|
| Total return | +831.76% | +300.82% |
| Annualized return | +25.71% | +15.29% |
| Annualized volatility | 20.59% | 18.12% |
| Largest drawdown | −18.77% | −33.72% |
| Drawdown, peak to trough | 18 Feb 2025 – 9 Apr 2025 | 19 Feb 2020 – 23 Mar 2020 |
| Correlation of daily returns | 0.157 | |
| 5 years | Athena RCR | SPY |
|---|---|---|
| Total return | +286.94% | +89.50% |
| Annualized return | +31.06% | +13.63% |
| Annualized volatility | 20.09% | 17.16% |
| Largest drawdown | −18.77% | −24.50% |
| Drawdown, peak to trough | 18 Feb 2025 – 9 Apr 2025 | 3 Jan 2022 – 12 Oct 2022 |
| Correlation of daily returns | 0.257 | |
| 3 years | Athena RCR | SPY |
|---|---|---|
| Total return | +154.42% | +86.76% |
| Annualized return | +36.51% | +23.14% |
| Annualized volatility | 21.46% | 15.29% |
| Largest drawdown | −18.77% | −18.76% |
| Drawdown, peak to trough | 18 Feb 2025 – 9 Apr 2025 | 19 Feb 2025 – 8 Apr 2025 |
| Correlation of daily returns | 0.290 | |
| 1 year | Athena RCR | SPY |
|---|---|---|
| Total return | +45.91% | +16.25% |
| Annualized return | +45.95% | +16.26% |
| Annualized volatility | 24.46% | 13.01% |
| Largest drawdown | −11.43% | −8.88% |
| Drawdown, peak to trough | 29 Jan 2026 – 31 Mar 2026 | 27 Jan 2026 – 30 Mar 2026 |
| Correlation of daily returns | 0.569 | |
| 2026 year to date | Athena RCR | SPY |
|---|---|---|
| Total return | +39.07% | +13.75% |
| Annualized return | — | — |
| Annualized volatility | 25.21% | 13.12% |
| Largest drawdown | −11.43% | −8.88% |
| Drawdown, peak to trough | 29 Jan 2026 – 31 Mar 2026 | 27 Jan 2026 – 30 Mar 2026 |
| Correlation of daily returns | 0.530 | |
Year by year
Calendar years.
The model finished ahead of SPY in 9 of 10 calendar years, counting 2026 to date. Its best year was 2023 and its weakest 2022.
| Year | Athena RCR | SPY | Difference | Correlation | Days |
|---|---|---|---|---|---|
| 2017 | +11.29% | +21.71% | −10.41 pp | 0.565 | 251 |
| 2018 | +0.26% | −4.57% | +4.83 pp | 0.172 | 251 |
| 2019 | +32.24% | +31.22% | +1.02 pp | 0.585 | 252 |
| 2020 | +48.42% | +18.33% | +30.09 pp | −0.204 | 253 |
| 2021 | +30.92% | +28.73% | +2.19 pp | 0.672 | 252 |
| 2022 | −5.94% | −18.18% | +12.23 pp | −0.024 | 251 |
| 2023 | +48.45% | +26.18% | +22.27 pp | 0.550 | 250 |
| 2024 | +39.02% | +24.89% | +14.13 pp | 0.635 | 252 |
| 2025 | +20.38% | +17.72% | +2.66 pp | −0.077 | 250 |
| 2026 to date | +39.07% | +13.75% | +25.33 pp | 0.530 | 189 |
| 2017–2026 | +831.76% | +300.82% | +530.94 pp | 0.157 | 2,451 |
Month by month
Monthly returns of the model.
72 of 118 months were positive. Each figure is the return from the last close of the month before.
| % | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2017 | 3.0 | 4.9 | 3.1 | 1.3 | −6.8 | −1.0 | 4.5 | −0.7 | 3.0 | 2.2 | 0.6 | −2.8 | 11.3 |
| 2018 | 8.8 | −7.8 | −6.7 | −1.8 | 1.8 | −2.9 | 0.9 | 6.0 | 10.1 | −7.8 | −2.7 | 4.5 | 0.3 |
| 2019 | 0.1 | 2.1 | 5.4 | 2.2 | −5.7 | 10.8 | 0.1 | 0.4 | −0.7 | 2.3 | 4.9 | 7.4 | 32.2 |
| 2020 | 13.3 | 1.4 | 1.5 | −3.5 | 1.8 | 2.4 | 8.8 | 12.9 | −4.1 | −3.0 | 6.9 | 3.4 | 48.4 |
| 2021 | 1.9 | −0.7 | 1.0 | 2.4 | 1.3 | −1.0 | 5.6 | 4.6 | −5.5 | 12.9 | −2.8 | 9.0 | 30.9 |
| 2022 | −0.4 | 3.1 | 4.3 | −1.9 | −2.0 | 0.9 | 3.3 | −2.5 | 0.3 | −5.8 | −0.6 | −4.3 | −5.9 |
| 2023 | −2.6 | −0.8 | 5.5 | −0.4 | 22.6 | 6.7 | 4.3 | 3.3 | −5.5 | 0.3 | 5.9 | 3.5 | 48.5 |
| 2024 | 2.1 | 10.3 | 3.3 | −6.2 | 5.4 | 5.7 | 3.5 | −4.7 | −1.3 | −4.7 | 21.1 | 1.5 | 39.0 |
| 2025 | 8.2 | −4.9 | −2.5 | −3.3 | −0.6 | 6.1 | −0.5 | −1.4 | 10.2 | 13.5 | −4.0 | −0.2 | 20.4 |
| 2026 | 15.9 | −1.9 | −7.3 | 4.2 | 16.6 | 8.2 | −3.0 | −0.3 | 2.5 | 1.3 | 39.1 |
2026 to date
Return for the risk taken.
Figures for 2026 up to 2 Oct 2026, over 189 trading days, as published in the model's Daily Closing Report.
- Return
- +39.07%
- SPY +13.75% over the same days.
- Annualized volatility
- 25.21%
- How widely daily returns vary, expressed per year.
- Sharpe ratio
- 1.678
- Return per unit of volatility. SPY: 1.003.
- Sortino ratio
- 1.882
- Return per unit of downside volatility.
- Calmar ratio
- 3.419
- Return divided by the largest drawdown of the period.
- Omega ratio
- 1.357
- Probability-weighted gains divided by probability-weighted losses.
- Largest drawdown
- −11.43%
- Recovery: 30 days.
- Correlation with SPY
- 0.530
- Daily returns; 1 would mean the model moves exactly with the ETF.
Model statistics, 2026 to date
- Trades closed
- 159
- Winning trades
- 57.2%
- Positive days
- 99 of 189
- Average positive day
- +1.24%
- Average negative day
- −0.97%
- Profit factor
- 1.406
Client accounts
Live results are reported privately.
Everything on this page comes from the model portfolio. Results of client accounts are not published here: each client receives a daily closing report for their own account.
An account can differ from the model. The closing report shows the account beside the model and explains the difference, including the effect of any restriction in the client's mandate.
Method
How the figures are calculated.
- Source
- Athena RCR model net asset value, one observation per trading day, taken from RCR's production system. SPY daily values come with the same dataset. Data release 2026-10-02.1, cut-off 2 Oct 2026.
- Period
- Results are reported from January 2017, the first full calendar year in the model's history. Everything is measured from the close of 30 Dec 2016.
- Calendar returns
- Year and month returns run from the last close of the previous period to the last close of the period.
- Annualized return
- Compound annual growth rate over the calendar days of the period. Periods shorter than one year are not annualized.
- Volatility
- Standard deviation of daily returns, multiplied by the square root of 252.
- Drawdown
- Decline from the highest previous close, measured on daily closes within the period.
- Correlation
- Correlation between the daily returns of the model and of SPY.
- Year-to-date ratios
- Sharpe, Sortino, Calmar and Omega ratios and the model statistics are shown exactly as published in the model's Daily Closing Report of 2 Oct 2026. They are not recalculated here.
- Reconciliation
- Each time this site is built, the calendar-year returns, the cumulative return and the trading-day counts derived from the daily series are compared with the Daily Closing Report. The build stops if they differ. Release 2026-10-02.1: 47 checks passed.
Ask for the full record.
A partner can walk you through the model, the data behind these figures and the daily closing report.