| Metric | SPY | FMADX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 72.0% |
| Cumulative Return | 14.73% | 3.68% |
| CAGR﹪ | 31.92% | 7.56% |
| Sharpe | 1.82 | 1.37 |
| Prob. Sharpe Ratio | 90.14% | 86.56% |
| Smart Sharpe | 1.82 | 1.16 |
| Sortino | 2.9 | 2.86 |
| Smart Sortino | 2.89 | 2.43 |
| Sortino/√2 | 2.05 | 2.02 |
| Smart Sortino/√2 | 2.05 | 1.72 |
| Omega | 1.41 | 1.73 |
| Max Drawdown | -5.53% | -0.66% |
| Max DD Date | 2026-03-30 | 2026-09-18 |
| Max DD Period Start | 2026-03-18 | 2026-08-28 |
| Max DD Period End | 2026-04-07 | 2026-09-18 |
| Longest DD Days | 59 | 60 |
| Volatility (ann.) | 13.77% | 2.79% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 5.77 | 11.48 |
| Skew | 0.12 | 3.4 |
| Kurtosis | 1.02 | 23.26 |
| Ulcer Performance Index | 8.34 | 14.28 |
| Risk-Adjusted Return | 31.92% | 10.51% |
| Risk-Return Ratio | 0.13 | 0.17 |
| Avg. Return | 0.14% | 0.04% |
| Avg. Win | 0.77% | 0.19% |
| Avg. Loss | -0.73% | -0.12% |
| Win/Loss Ratio | 1.05 | 1.6 |
| Profit Ratio | 1.13 | 0.41 |
| Expected Daily | 0.11% | 0.03% |
| Expected Monthly | 1.98% | 0.52% |
| Expected Yearly | 14.73% | 3.68% |
| Kelly Criterion | 7.92% | 25.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.31% | -0.26% |
| Expected Shortfall (cVaR) | -1.68% | -0.29% |
| Max Consecutive Wins | 11 | 3 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.41 | 0.73 |
| Gain/Pain (1M) | 4.22 | - |
| Payoff Ratio | 1.05 | 1.6 |
| Profit Factor | 1.41 | 1.73 |
| Common Sense Ratio | 1.62 | 2.6 |
| CPC Index | 0.79 | 1.51 |
| Tail Ratio | 1.14 | 1.5 |
| Outlier Win Ratio | 3.23 | 3.75 |
| Outlier Loss Ratio | 3.04 | 2.16 |
| MTD | 1.08% | 0.94% |
| 3M | 3.82% | 2.98% |
| 6M | 18.03% | 3.48% |
| YTD | 14.73% | 3.68% |
| 1Y | 14.73% | 3.68% |
| 3Y (ann.) | 31.92% | 7.56% |
| 5Y (ann.) | 31.92% | 7.56% |
| 10Y (ann.) | 31.92% | 7.56% |
| All-time (ann.) | 31.92% | 7.56% |
| Best Day | 2.91% | 1.33% |
| Worst Day | -2.58% | -0.29% |
| Best Month | 9.51% | 1.15% |
| Worst Month | -2.53% | -0.0% |
| Best Year | 14.73% | 3.68% |
| Worst Year | 14.73% | 3.68% |
| Avg. Drawdown | -1.43% | -0.24% |
| Avg. Drawdown Days | 12 | 10 |
| Recovery Factor | 2.57 | 5.52 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.59 | 4.86 |
| Avg. Up Month | 3.32% | 0.67% |
| Avg. Down Month | - | - |
| Win Days | 52.8% | 54.44% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.07 |
| Alpha | - | 0.05 |
| Correlation | - | 33.51% |
| Treynor Ratio | - | 54.31% |
| Year | SPY | FMADX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 14.73 | 3.68 | 0.25 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-28 | 2026-09-18 | -0.66 | 22 |
| 2026-04-20 | 2026-06-18 | -0.48 | 60 |
| 2026-06-26 | 2026-07-13 | -0.48 | 18 |
| 2026-07-17 | 2026-07-30 | -0.48 | 14 |
| 2026-03-18 | 2026-03-19 | -0.19 | 2 |
| 2026-04-07 | 2026-04-07 | -0.19 | 1 |
| 2026-03-26 | 2026-03-30 | -0.10 | 5 |
| 2026-03-24 | 2026-03-24 | -0.10 | 1 |
| 2026-04-09 | 2026-04-16 | -0.10 | 8 |
| 2026-08-03 | 2026-08-04 | -0.10 | 2 |