| Metric | SPY | FEMNX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 17.87% | 2.29% |
| CAGR﹪ | 18.02% | 2.31% |
| Sharpe | 1.04 | -0.26 |
| Prob. Sharpe Ratio | 84.73% | 39.98% |
| Smart Sharpe | 1.01 | -0.25 |
| Sortino | 1.51 | -0.37 |
| Smart Sortino | 1.47 | -0.37 |
| Sortino/√2 | 1.07 | -0.26 |
| Smart Sortino/√2 | 1.04 | -0.26 |
| Omega | 1.25 | 1.07 |
| 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 | 2026-09-22 |
| Longest DD Days | 76 | 252 |
| Volatility (ann.) | 12.99% | 5.9% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.03 | 0.36 |
| Skew | -0.15 | 0.31 |
| Kurtosis | 1.05 | 0.94 |
| Ulcer Performance Index | 8.3 | 0.72 |
| Risk-Adjusted Return | 18.02% | 2.57% |
| Risk-Return Ratio | 0.08 | 0.03 |
| Avg. Return | 0.05% | 0.01% |
| Avg. Win | 0.61% | 0.36% |
| Avg. Loss | -0.66% | -0.33% |
| Win/Loss Ratio | 0.94 | 1.12 |
| Profit Ratio | 0.94 | 0.73 |
| Expected Daily | 0.07% | 0.01% |
| Expected Monthly | 1.27% | 0.17% |
| Expected Yearly | 8.57% | 1.14% |
| Kelly Criterion | 4.06% | 3.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.6% |
| Expected Shortfall (cVaR) | -1.72% | -0.76% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.07 |
| Gain/Pain (1M) | 2.6 | 0.28 |
| Payoff Ratio | 0.94 | 1.12 |
| Profit Factor | 1.25 | 1.07 |
| Common Sense Ratio | 1.24 | 1.24 |
| CPC Index | 0.63 | 0.59 |
| Tail Ratio | 0.99 | 1.16 |
| Outlier Win Ratio | 2.88 | 3.65 |
| Outlier Loss Ratio | 3.19 | 2.67 |
| MTD | 1.08% | -1.33% |
| 3M | 3.82% | -2.16% |
| 6M | 19.85% | 0.1% |
| YTD | 14.3% | -4.24% |
| 1Y | 17.87% | 2.29% |
| 3Y (ann.) | 18.02% | 2.31% |
| 5Y (ann.) | 18.02% | 2.31% |
| 10Y (ann.) | 18.02% | 2.31% |
| All-time (ann.) | 18.02% | 2.31% |
| Best Day | 2.91% | 1.36% |
| Worst Day | -2.7% | -1.14% |
| Best Month | 10.51% | 3.94% |
| Worst Month | -4.94% | -3.64% |
| Best Year | 14.3% | 6.81% |
| Worst Year | 3.13% | -4.24% |
| Avg. Drawdown | -1.71% | -0.85% |
| Avg. Drawdown Days | 13 | 22 |
| Recovery Factor | 1.94 | 0.38 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.16 | 0.05 |
| Avg. Up Month | 2.64% | 1.82% |
| Avg. Down Month | -2.9% | -2.33% |
| Win Days | 53.6% | 49.33% |
| Win Month | 76.92% | 46.15% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.07 |
| Alpha | - | 0.01 |
| Correlation | - | 16.03% |
| Treynor Ratio | - | 31.44% |
| Year | SPY | FEMNX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 6.81 | 2.18 | + |
| 2026 | 14.30 | -4.24 | -0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-14 | 2026-09-22 | -6.47 | 252 |
| 2025-10-17 | 2025-10-28 | -1.25 | 12 |
| 2025-11-18 | 2025-12-09 | -1.22 | 22 |
| 2025-11-04 | 2025-11-11 | -0.76 | 8 |
| 2025-09-26 | 2025-10-01 | -0.49 | 6 |
| 2025-10-10 | 2025-10-10 | -0.39 | 1 |
| 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 |
| 2025-09-24 | 2025-09-24 | -0.10 | 1 |