| Metric | SPY | FMADX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 71.0% |
| Cumulative Return | 16.8% | 3.28% |
| CAGR﹪ | 38.56% | 7.02% |
| Sharpe | 2.2 | 1.16 |
| Prob. Sharpe Ratio | 93.68% | 81.78% |
| Smart Sharpe | 2.17 | 0.99 |
| Sortino | 3.59 | 2.45 |
| Smart Sortino | 3.55 | 2.08 |
| Sortino/√2 | 2.54 | 1.73 |
| Smart Sortino/√2 | 2.51 | 1.47 |
| Omega | 1.51 | 1.68 |
| Max Drawdown | -4.49% | -0.66% |
| Max DD Date | 2026-06-10 | 2026-09-18 |
| Max DD Period Start | 2026-06-03 | 2026-08-26 |
| Max DD Period End | 2026-07-31 | 2026-09-18 |
| Longest DD Days | 59 | 60 |
| Volatility (ann.) | 13.62% | 2.8% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 8.58 | 10.65 |
| Skew | 0.15 | 3.53 |
| Kurtosis | 1.18 | 23.95 |
| Ulcer Performance Index | 10.59 | 12.51 |
| Risk-Adjusted Return | 38.56% | 9.88% |
| Risk-Return Ratio | 0.16 | 0.15 |
| Avg. Return | 0.16% | 0.04% |
| Avg. Win | 0.78% | 0.19% |
| Avg. Loss | -0.7% | -0.12% |
| Win/Loss Ratio | 1.11 | 1.67 |
| Profit Ratio | 1.16 | 0.42 |
| Expected Daily | 0.13% | 0.03% |
| Expected Monthly | 2.24% | 0.46% |
| Expected Yearly | 16.8% | 3.28% |
| Kelly Criterion | 11.1% | 24.76% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.26% |
| Expected Shortfall (cVaR) | -1.77% | -0.29% |
| Max Consecutive Wins | 11 | 3 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.51 | 0.68 |
| Gain/Pain (1M) | 9.96 | - |
| Payoff Ratio | 1.11 | 1.67 |
| Profit Factor | 1.51 | 1.68 |
| Common Sense Ratio | 1.98 | 2.54 |
| CPC Index | 0.89 | 1.48 |
| Tail Ratio | 1.31 | 1.51 |
| Outlier Win Ratio | 3.26 | 3.84 |
| Outlier Loss Ratio | 3.18 | 2.23 |
| MTD | 1.08% | 0.94% |
| 3M | 3.82% | 2.98% |
| 6M | 16.8% | 3.28% |
| YTD | 16.8% | 3.28% |
| 1Y | 16.8% | 3.28% |
| 3Y (ann.) | 38.56% | 7.02% |
| 5Y (ann.) | 38.56% | 7.02% |
| 10Y (ann.) | 38.56% | 7.02% |
| All-time (ann.) | 38.56% | 7.02% |
| Best Day | 2.91% | 1.33% |
| Worst Day | -2.58% | -0.29% |
| Best Month | 9.51% | 1.15% |
| Worst Month | -1.03% | -0.0% |
| Best Year | 16.8% | 3.28% |
| Worst Year | 16.8% | 3.28% |
| Avg. Drawdown | -1.21% | -0.26% |
| Avg. Drawdown Days | 10 | 12 |
| Recovery Factor | 3.55 | 4.93 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.49 | 4.24 |
| Avg. Up Month | 3.32% | 0.67% |
| Avg. Down Month | - | - |
| Win Days | 53.33% | 52.94% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.07 |
| Alpha | - | 0.04 |
| Correlation | - | 33.92% |
| Treynor Ratio | - | 47.03% |
| Year | SPY | FMADX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 16.80 | 3.28 | 0.20 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-26 | 2026-09-18 | -0.66 | 24 |
| 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 |
| 2026-04-07 | 2026-04-07 | -0.19 | 1 |
| 2026-03-24 | 2026-03-24 | -0.10 | 1 |
| 2026-03-26 | 2026-03-30 | -0.10 | 5 |
| 2026-04-09 | 2026-04-16 | -0.10 | 8 |
| 2026-08-03 | 2026-08-04 | -0.10 | 2 |
| 2026-08-10 | 2026-08-11 | -0.09 | 2 |