| Metric | SPY | FEMNX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 43.33% | 4.83% |
| CAGR﹪ | 16.68% | 2.04% |
| Sharpe | 0.75 | -0.42 |
| Prob. Sharpe Ratio | 87.97% | 26.13% |
| Smart Sharpe | 0.69 | -0.4 |
| Sortino | 1.11 | -0.58 |
| Smart Sortino | 1.01 | -0.56 |
| Sortino/√2 | 0.78 | -0.41 |
| Smart Sortino/√2 | 0.72 | -0.39 |
| Omega | 1.21 | 1.07 |
| Max Drawdown | -18.76% | -6.47% |
| Max DD Date | 2025-04-08 | 2026-04-06 |
| Max DD Period Start | 2025-02-20 | 2026-01-14 |
| Max DD Period End | 2025-06-25 | 2026-11-04 |
| Longest DD Days | 126 | 428 |
| Volatility (ann.) | 16.29% | 5.46% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.89 | 0.32 |
| Skew | 1.01 | 0.05 |
| Kurtosis | 20.98 | 1.06 |
| Ulcer Performance Index | 12.17 | 1.33 |
| Risk-Adjusted Return | 16.68% | 2.32% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.72% | 0.32% |
| Avg. Loss | -0.77% | -0.34% |
| Win/Loss Ratio | 0.93 | 0.94 |
| Profit Ratio | 0.77 | 0.57 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.25% | 0.16% |
| Expected Yearly | 12.75% | 1.58% |
| Kelly Criterion | 8.11% | 0.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.62% | -0.56% |
| Expected Shortfall (cVaR) | -2.42% | -0.73% |
| Max Consecutive Wins | 9 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.21 | 0.07 |
| Gain/Pain (1M) | 2.2 | 0.36 |
| Payoff Ratio | 0.93 | 0.94 |
| Profit Factor | 1.21 | 1.07 |
| Common Sense Ratio | 1.2 | 1.05 |
| CPC Index | 0.63 | 0.52 |
| Tail Ratio | 0.99 | 0.98 |
| Outlier Win Ratio | 3.45 | 3.82 |
| Outlier Loss Ratio | 3.83 | 2.82 |
| MTD | 1.47% | 0.87% |
| 3M | 1.46% | -1.78% |
| 6M | 6.94% | -0.0% |
| YTD | 13.33% | -3.59% |
| 1Y | 13.43% | -0.91% |
| 3Y (ann.) | 16.68% | 2.04% |
| 5Y (ann.) | 16.68% | 2.04% |
| 10Y (ann.) | 16.68% | 2.04% |
| All-time (ann.) | 16.68% | 2.04% |
| Best Day | 10.5% | 1.36% |
| Worst Day | -5.85% | -1.32% |
| Best Month | 10.51% | 3.94% |
| Worst Month | -5.57% | -3.64% |
| Best Year | 17.72% | 13.14% |
| Worst Year | 7.44% | -3.9% |
| Avg. Drawdown | -1.83% | -1.15% |
| Avg. Drawdown Days | 14 | 49 |
| Recovery Factor | 2.08 | 0.78 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 1.13 | 0.08 |
| Avg. Up Month | 3.13% | 1.34% |
| Avg. Down Month | -1.47% | -1.18% |
| Win Days | 55.61% | 51.84% |
| Win Month | 65.52% | 51.72% |
| Win Quarter | 80.0% | 70.0% |
| Win Year | 100.0% | 33.33% |
| Beta | - | 0.05 |
| Alpha | - | 0.01 |
| Correlation | - | 14.03% |
| Treynor Ratio | - | 102.79% |
| Year | SPY | FEMNX | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 7.44 | -3.90 | -0.52 | - |
| 2025 | 17.72 | 13.14 | 0.74 | - |
| 2026 | 13.33 | -3.59 | -0.27 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-14 | 2026-11-04 | -6.47 | 295 |
| 2024-07-11 | 2025-09-11 | -6.30 | 428 |
| 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 |
| 2025-09-23 | 2025-10-02 | -0.68 | 10 |
| 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 |