| Metric | SPY | FFUT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 31.44% | 22.44% |
| CAGR﹪ | 21.35% | 15.41% |
| Sharpe | 1.32 | 0.94 |
| Prob. Sharpe Ratio | 93.97% | 86.68% |
| Smart Sharpe | 1.27 | 0.82 |
| Sortino | 1.93 | 1.36 |
| Smart Sortino | 1.86 | 1.19 |
| Sortino/√2 | 1.37 | 0.96 |
| Smart Sortino/√2 | 1.31 | 0.84 |
| Omega | 1.31 | 1.25 |
| 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.) | 12.16% | 11.68% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.4 | 1.96 |
| Skew | -0.19 | -0.01 |
| Kurtosis | 1.15 | 2.69 |
| Ulcer Performance Index | 16.71 | 12.92 |
| Risk-Adjusted Return | 21.35% | 15.41% |
| Risk-Return Ratio | 0.1 | 0.08 |
| Avg. Return | 0.08% | 0.06% |
| Avg. Win | 0.56% | 0.45% |
| Avg. Loss | -0.67% | -0.64% |
| Win/Loss Ratio | 0.84 | 0.71 |
| Profit Ratio | 0.96 | 0.65 |
| Expected Daily | 0.08% | 0.06% |
| Expected Monthly | 1.53% | 1.13% |
| Expected Yearly | 14.65% | 10.65% |
| Kelly Criterion | -1.19% | -1.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.18% | -1.15% |
| Expected Shortfall (cVaR) | -1.59% | -1.64% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.31 | 0.25 |
| Gain/Pain (1M) | 3.65 | 1.95 |
| Payoff Ratio | 0.84 | 0.71 |
| Profit Factor | 1.31 | 1.25 |
| Common Sense Ratio | 1.27 | 1.12 |
| CPC Index | 0.59 | 0.51 |
| Tail Ratio | 0.97 | 0.9 |
| Outlier Win Ratio | 2.88 | 4.15 |
| Outlier Loss Ratio | 3.22 | 3.52 |
| MTD | 1.47% | -3.86% |
| 3M | 1.46% | 0.51% |
| 6M | 6.94% | 1.94% |
| YTD | 13.33% | 13.09% |
| 1Y | 13.43% | 16.15% |
| 3Y (ann.) | 21.35% | 15.41% |
| 5Y (ann.) | 21.35% | 15.41% |
| 10Y (ann.) | 21.35% | 15.41% |
| All-time (ann.) | 21.35% | 15.41% |
| Best Day | 2.91% | 3.31% |
| Worst Day | -2.7% | -2.77% |
| Best Month | 10.51% | 5.45% |
| Worst Month | -4.94% | -3.86% |
| Best Year | 15.99% | 13.09% |
| Worst Year | 13.33% | 8.26% |
| Avg. Drawdown | -1.38% | -1.76% |
| Avg. Drawdown Days | 11 | 12 |
| Recovery Factor | 3.2 | 2.69 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.19 | 1.95 |
| Avg. Up Month | 2.75% | 2.31% |
| Avg. Down Month | -0.97% | -3.21% |
| Win Days | 53.93% | 58.15% |
| Win Month | 72.22% | 72.22% |
| Win Quarter | 85.71% | 85.71% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.15 |
| Correlation | - | 1.5% |
| Treynor Ratio | - | 1556.39% |
| Year | SPY | FFUT | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 15.99 | 8.26 | 0.52 | - |
| 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 |
| 2025-07-25 | 2025-09-05 | -2.63 | 43 |
| 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 |