| Metric | SPY | FFUT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 32.57% | 30.83% |
| CAGR﹪ | 24.44% | 23.17% |
| Sharpe | 1.5 | 1.51 |
| Prob. Sharpe Ratio | 95.46% | 95.66% |
| Smart Sharpe | 1.43 | 1.29 |
| Sortino | 2.23 | 2.27 |
| Smart Sortino | 2.11 | 1.94 |
| Sortino/√2 | 1.58 | 1.61 |
| Smart Sortino/√2 | 1.49 | 1.37 |
| Omega | 1.36 | 1.39 |
| 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.) | 12.23% | 11.46% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 2.75 | 4.15 |
| Skew | -0.19 | 0.05 |
| Kurtosis | 1.22 | 3.05 |
| Ulcer Performance Index | 17.06 | 19.64 |
| Risk-Adjusted Return | 24.44% | 23.17% |
| Risk-Return Ratio | 0.12 | 0.12 |
| Avg. Return | 0.09% | 0.09% |
| Avg. Win | 0.56% | 0.46% |
| Avg. Loss | -0.65% | -0.61% |
| Win/Loss Ratio | 0.87 | 0.75 |
| Profit Ratio | 0.95 | 0.67 |
| Expected Daily | 0.09% | 0.08% |
| Expected Monthly | 1.78% | 1.69% |
| Expected Yearly | 15.14% | 14.38% |
| Kelly Criterion | 1.91% | 4.34% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.18% | -1.1% |
| Expected Shortfall (cVaR) | -1.6% | -1.68% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.36 | 0.39 |
| Gain/Pain (1M) | 4.4 | 7.84 |
| Payoff Ratio | 0.87 | 0.75 |
| Profit Factor | 1.36 | 1.39 |
| Common Sense Ratio | 1.32 | 1.43 |
| CPC Index | 0.64 | 0.61 |
| Tail Ratio | 0.97 | 1.03 |
| Outlier Win Ratio | 2.87 | 4.19 |
| Outlier Loss Ratio | 3.22 | 3.37 |
| MTD | 1.08% | 4.37% |
| 3M | 3.82% | 10.06% |
| 6M | 19.85% | 13.15% |
| YTD | 14.3% | 20.85% |
| 1Y | 17.78% | 26.32% |
| 3Y (ann.) | 24.44% | 23.17% |
| 5Y (ann.) | 24.44% | 23.17% |
| 10Y (ann.) | 24.44% | 23.17% |
| All-time (ann.) | 24.44% | 23.17% |
| 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 | 15.99% | 20.85% |
| Worst Year | 14.3% | 8.26% |
| Avg. Drawdown | -1.32% | -1.57% |
| Avg. Drawdown Days | 10 | 11 |
| Recovery Factor | 3.28 | 4.96 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.21 | 2.93 |
| Avg. Up Month | 2.59% | 2.49% |
| Avg. Down Month | -1.03% | -2.99% |
| Win Days | 54.46% | 59.08% |
| Win Month | 81.25% | 81.25% |
| Win Quarter | 83.33% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.0 |
| Alpha | - | 0.22 |
| Correlation | - | -0.02% |
| Treynor Ratio | - | -141830.76% |
| Year | SPY | FFUT | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 15.99 | 8.26 | 0.52 | - |
| 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 |
| 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 |
| 2025-12-02 | 2026-01-02 | -2.22 | 32 |