| Metric | SPY | FFUT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 17.04% |
| CAGR﹪ | 14.51% | 17.18% |
| Sharpe | 0.83 | 1.01 |
| Prob. Sharpe Ratio | 79.61% | 84.2% |
| Smart Sharpe | 0.82 | 0.91 |
| Sortino | 1.22 | 1.47 |
| Smart Sortino | 1.2 | 1.32 |
| Sortino/√2 | 0.86 | 1.04 |
| Smart Sortino/√2 | 0.85 | 0.93 |
| Omega | 1.2 | 1.24 |
| Max Drawdown | -8.88% | -7.87% |
| Max DD Date | 2026-03-30 | 2026-11-04 |
| Max DD Period Start | 2026-01-28 | 2026-09-25 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 44 |
| Volatility (ann.) | 12.86% | 12.87% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.63 | 2.18 |
| Skew | -0.02 | -0.1 |
| Kurtosis | 0.78 | 1.85 |
| Ulcer Performance Index | 6.68 | 8.61 |
| Risk-Adjusted Return | 14.51% | 17.18% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.06% | 0.07% |
| Avg. Win | 0.53% | 0.49% |
| Avg. Loss | -0.7% | -0.71% |
| Win/Loss Ratio | 0.77 | 0.69 |
| Profit Ratio | 1.02 | 0.65 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.04% | 1.22% |
| Expected Yearly | 6.95% | 8.18% |
| Kelly Criterion | -10.47% | -2.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.27% |
| Expected Shortfall (cVaR) | -1.66% | -1.79% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.24 |
| Gain/Pain (1M) | 1.83 | 1.6 |
| Payoff Ratio | 0.77 | 0.69 |
| Profit Factor | 1.2 | 1.24 |
| Common Sense Ratio | 1.19 | 1.27 |
| CPC Index | 0.48 | 0.5 |
| Tail Ratio | 0.99 | 1.03 |
| Outlier Win Ratio | 2.84 | 3.65 |
| Outlier Loss Ratio | 3.01 | 3.41 |
| MTD | 1.47% | -3.86% |
| 3M | 1.46% | 0.51% |
| 6M | 6.94% | 1.94% |
| YTD | 13.33% | 13.09% |
| 1Y | 14.39% | 17.04% |
| 3Y (ann.) | 14.51% | 17.18% |
| 5Y (ann.) | 14.51% | 17.18% |
| 10Y (ann.) | 14.51% | 17.18% |
| All-time (ann.) | 14.51% | 17.18% |
| Best Day | 2.91% | 3.31% |
| Worst Day | -2.58% | -2.77% |
| Best Month | 10.51% | 5.45% |
| Worst Month | -4.94% | -3.86% |
| Best Year | 13.33% | 13.09% |
| Worst Year | 0.94% | 3.49% |
| Avg. Drawdown | -1.74% | -1.92% |
| Avg. Drawdown Days | 14 | 11 |
| Recovery Factor | 1.61 | 2.1 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 1.33 |
| Avg. Up Month | 2.61% | 2.99% |
| Avg. Down Month | -0.97% | -3.21% |
| Win Days | 52.0% | 58.0% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.07 |
| Alpha | - | 0.18 |
| Correlation | - | -6.82% |
| Treynor Ratio | - | -249.57% |
| Year | SPY | FFUT | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 3.49 | 3.72 | + |
| 2026 | 13.33 | 13.09 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-25 | 2026-11-04 | -7.87 | 41 |
| 2026-06-03 | 2026-07-16 | -5.59 | 44 |
| 2026-07-27 | 2026-08-14 | -3.37 | 19 |
| 2026-03-19 | 2026-04-06 | -2.84 | 19 |
| 2026-01-30 | 2026-02-10 | -2.67 | 12 |
| 2026-08-24 | 2026-09-02 | -2.49 | 10 |
| 2026-04-08 | 2026-04-22 | -2.47 | 15 |
| 2026-05-20 | 2026-06-01 | -2.45 | 13 |
| 2025-11-13 | 2025-11-28 | -2.35 | 16 |
| 2025-12-02 | 2026-01-02 | -2.22 | 32 |