| Metric | SPY | FFUT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 26.86% |
| CAGR﹪ | 18.02% | 27.1% |
| Sharpe | 1.04 | 1.66 |
| Prob. Sharpe Ratio | 84.73% | 95.02% |
| Smart Sharpe | 1.01 | 1.41 |
| Sortino | 1.51 | 2.5 |
| Smart Sortino | 1.47 | 2.13 |
| Sortino/√2 | 1.07 | 1.77 |
| Smart Sortino/√2 | 1.04 | 1.5 |
| Omega | 1.25 | 1.4 |
| Max Drawdown | -8.88% | -5.59% |
| Max DD Date | 2026-03-30 | 2026-06-29 |
| Max DD Period Start | 2026-01-28 | 2026-06-03 |
| Max DD Period End | 2026-04-13 | 2026-07-16 |
| Longest DD Days | 76 | 44 |
| Volatility (ann.) | 12.99% | 12.57% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 2.03 | 4.85 |
| Skew | -0.15 | 0.03 |
| Kurtosis | 1.05 | 2.37 |
| Ulcer Performance Index | 8.3 | 15.62 |
| Risk-Adjusted Return | 18.02% | 27.1% |
| Risk-Return Ratio | 0.08 | 0.12 |
| Avg. Return | 0.07% | 0.1% |
| Avg. Win | 0.55% | 0.5% |
| Avg. Loss | -0.7% | -0.69% |
| Win/Loss Ratio | 0.78 | 0.73 |
| Profit Ratio | 0.94 | 0.62 |
| Expected Daily | 0.07% | 0.1% |
| Expected Monthly | 1.27% | 1.85% |
| Expected Yearly | 8.57% | 12.63% |
| Kelly Criterion | -5.71% | 4.88% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.2% |
| Expected Shortfall (cVaR) | -1.72% | -1.71% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.4 |
| Gain/Pain (1M) | 2.6 | 8.14 |
| Payoff Ratio | 0.78 | 0.73 |
| Profit Factor | 1.25 | 1.4 |
| Common Sense Ratio | 1.24 | 1.38 |
| CPC Index | 0.52 | 0.61 |
| Tail Ratio | 0.99 | 0.99 |
| Outlier Win Ratio | 2.88 | 4.16 |
| Outlier Loss Ratio | 3.19 | 3.31 |
| MTD | 1.08% | 4.37% |
| 3M | 3.82% | 10.06% |
| 6M | 19.85% | 13.15% |
| YTD | 14.3% | 20.85% |
| 1Y | 17.87% | 26.86% |
| 3Y (ann.) | 18.02% | 27.1% |
| 5Y (ann.) | 18.02% | 27.1% |
| 10Y (ann.) | 18.02% | 27.1% |
| All-time (ann.) | 18.02% | 27.1% |
| Best Day | 2.91% | 3.31% |
| Worst Day | -2.7% | -2.77% |
| Best Month | 10.51% | 5.45% |
| Worst Month | -4.94% | -2.99% |
| Best Year | 14.3% | 20.85% |
| Worst Year | 3.13% | 4.97% |
| Avg. Drawdown | -1.71% | -1.64% |
| Avg. Drawdown Days | 13 | 10 |
| Recovery Factor | 1.94 | 4.4 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 2.46 |
| Avg. Up Month | 2.1% | 2.64% |
| Avg. Down Month | -1.03% | -2.99% |
| Win Days | 53.6% | 60.0% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.25 |
| Correlation | - | -1.62% |
| Treynor Ratio | - | -1713.84% |
| Year | SPY | FFUT | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 4.97 | 1.59 | + |
| 2026 | 14.30 | 20.85 | 1.46 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 2026-02-12 | 2026-02-24 | -2.17 | 13 |