| Metric | SPY | FMADX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 67.0% |
| Cumulative Return | 13.75% | 4.17% |
| CAGR﹪ | 23.14% | 6.82% |
| Sharpe | 1.38 | 1.29 |
| Prob. Sharpe Ratio | 86.1% | 87.81% |
| Smart Sharpe | 1.35 | 1.1 |
| Sortino | 2.12 | 2.68 |
| Smart Sortino | 2.07 | 2.28 |
| Sortino/√2 | 1.5 | 1.89 |
| Smart Sortino/√2 | 1.46 | 1.61 |
| Omega | 1.31 | 1.75 |
| 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.) | 13.32% | 2.54% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 4.18 | 10.34 |
| Skew | 0.1 | 3.63 |
| Kurtosis | 1.02 | 27.46 |
| Ulcer Performance Index | 7.97 | 17.97 |
| Risk-Adjusted Return | 23.14% | 10.18% |
| Risk-Return Ratio | 0.1 | 0.16 |
| Avg. Return | 0.12% | 0.04% |
| Avg. Win | 0.72% | 0.17% |
| Avg. Loss | -0.72% | -0.12% |
| Win/Loss Ratio | 1.0 | 1.49 |
| Profit Ratio | 1.12 | 0.31 |
| Expected Daily | 0.08% | 0.03% |
| Expected Monthly | 1.44% | 0.45% |
| Expected Yearly | 13.75% | 4.17% |
| Kelly Criterion | 3.7% | 26.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.29% | -0.24% |
| Expected Shortfall (cVaR) | -1.69% | -0.29% |
| Max Consecutive Wins | 11 | 3 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.31 | 0.75 |
| Gain/Pain (1M) | 2.98 | - |
| Payoff Ratio | 1.0 | 1.49 |
| Profit Factor | 1.31 | 1.75 |
| Common Sense Ratio | 1.47 | 2.01 |
| CPC Index | 0.68 | 1.46 |
| Tail Ratio | 1.12 | 1.15 |
| Outlier Win Ratio | 3.04 | 4.43 |
| Outlier Loss Ratio | 3.07 | 1.98 |
| MTD | 1.47% | 0.09% |
| 3M | 1.46% | 2.67% |
| 6M | 6.28% | 3.56% |
| YTD | 13.75% | 4.17% |
| 1Y | 13.75% | 4.17% |
| 3Y (ann.) | 23.14% | 6.82% |
| 5Y (ann.) | 23.14% | 6.82% |
| 10Y (ann.) | 23.14% | 6.82% |
| All-time (ann.) | 23.14% | 6.82% |
| 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 | 13.75% | 4.17% |
| Worst Year | 13.75% | 4.17% |
| Avg. Drawdown | -1.58% | -0.21% |
| Avg. Drawdown Days | 14 | 9 |
| Recovery Factor | 2.43 | 6.23 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.66 | 5.76 |
| Avg. Up Month | 3.42% | 0.45% |
| Avg. Down Month | - | - |
| Win Days | 51.92% | 55.77% |
| Win Month | 55.56% | 88.89% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.05 |
| Correlation | - | 31.71% |
| Treynor Ratio | - | 68.93% |
| Year | SPY | FMADX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.75 | 4.17 | 0.30 | - |
| 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 |
| 2026-10-27 | 2026-10-28 | -0.19 | 2 |
| 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 |