| Metric | SPY | FEMNX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 14.39% | -0.63% |
| CAGR﹪ | 14.51% | -0.63% |
| Sharpe | 0.83 | -0.73 |
| Prob. Sharpe Ratio | 79.61% | 23.35% |
| Smart Sharpe | 0.82 | -0.71 |
| Sortino | 1.22 | -1.02 |
| Smart Sortino | 1.2 | -0.99 |
| Sortino/√2 | 0.86 | -0.72 |
| Smart Sortino/√2 | 0.85 | -0.7 |
| Omega | 1.2 | 0.99 |
| Max Drawdown | -8.88% | -6.47% |
| Max DD Date | 2026-03-30 | 2026-04-06 |
| Max DD Period Start | 2026-01-28 | 2026-01-14 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 295 |
| Volatility (ann.) | 12.86% | 5.65% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 1.63 | -0.1 |
| Skew | -0.02 | 0.17 |
| Kurtosis | 0.78 | 0.79 |
| Ulcer Performance Index | 6.68 | -0.17 |
| Risk-Adjusted Return | 14.51% | -0.71% |
| Risk-Return Ratio | 0.07 | -0.01 |
| Avg. Return | 0.04% | -0.0% |
| Avg. Win | 0.62% | 0.35% |
| Avg. Loss | -0.63% | -0.32% |
| Win/Loss Ratio | 0.98 | 1.07 |
| Profit Ratio | 1.02 | 0.67 |
| Expected Daily | 0.05% | -0.0% |
| Expected Monthly | 1.04% | -0.05% |
| Expected Yearly | 6.95% | -0.32% |
| Kelly Criterion | 3.19% | 2.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.59% |
| Expected Shortfall (cVaR) | -1.66% | -0.76% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | -0.01 |
| Gain/Pain (1M) | 1.83 | -0.06 |
| Payoff Ratio | 0.98 | 1.07 |
| Profit Factor | 1.2 | 0.99 |
| Common Sense Ratio | 1.19 | 0.99 |
| CPC Index | 0.61 | 0.52 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.84 | 3.25 |
| Outlier Loss Ratio | 3.01 | 2.61 |
| MTD | 1.47% | 0.87% |
| 3M | 1.46% | -1.78% |
| 6M | 6.94% | -0.0% |
| YTD | 13.33% | -3.59% |
| 1Y | 14.39% | -0.63% |
| 3Y (ann.) | 14.51% | -0.63% |
| 5Y (ann.) | 14.51% | -0.63% |
| 10Y (ann.) | 14.51% | -0.63% |
| All-time (ann.) | 14.51% | -0.63% |
| Best Day | 2.91% | 1.36% |
| Worst Day | -2.58% | -1.14% |
| Best Month | 10.51% | 2.97% |
| Worst Month | -4.94% | -3.64% |
| Best Year | 13.33% | 3.07% |
| Worst Year | 0.94% | -3.59% |
| Avg. Drawdown | -1.74% | -1.14% |
| Avg. Drawdown Days | 14 | 42 |
| Recovery Factor | 1.61 | 0.07 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.94 | -0.01 |
| Avg. Up Month | 2.59% | 1.19% |
| Avg. Down Month | -1.76% | -1.54% |
| Win Days | 52.0% | 49.33% |
| Win Month | 61.54% | 46.15% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.07 |
| Alpha | - | -0.02 |
| Correlation | - | 16.86% |
| Treynor Ratio | - | -8.5% |
| Year | SPY | FEMNX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 3.07 | 3.28 | + |
| 2026 | 13.33 | -3.59 | -0.27 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-14 | 2026-11-04 | -6.47 | 295 |
| 2025-11-18 | 2025-12-09 | -1.22 | 22 |
| 2025-11-06 | 2025-11-11 | -0.47 | 6 |
| 2025-11-13 | 2025-11-14 | -0.38 | 2 |
| 2025-12-12 | 2025-12-15 | -0.24 | 4 |
| 2025-12-24 | 2025-12-24 | -0.18 | 1 |
| 2025-12-22 | 2025-12-22 | -0.09 | 1 |
| 2026-01-09 | 2026-01-09 | -0.09 | 1 |