| Metric | SPY | FMADX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 67.0% |
| Cumulative Return | 5.82% | 3.56% |
| CAGR﹪ | 12.29% | 7.44% |
| Sharpe | 0.71 | 1.37 |
| Prob. Sharpe Ratio | 68.99% | 86.85% |
| Smart Sharpe | 0.69 | 1.18 |
| Sortino | 1.04 | 2.98 |
| Smart Sortino | 1.01 | 2.57 |
| Sortino/√2 | 0.74 | 2.11 |
| Smart Sortino/√2 | 0.72 | 1.82 |
| Omega | 1.18 | 1.82 |
| 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 | 29 |
| Volatility (ann.) | 12.37% | 2.7% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.73 | 11.29 |
| Skew | -0.13 | 3.81 |
| Kurtosis | 0.67 | 27.27 |
| Ulcer Performance Index | 3.47 | 17.5 |
| Risk-Adjusted Return | 12.29% | 11.1% |
| Risk-Return Ratio | 0.06 | 0.17 |
| Avg. Return | 0.09% | 0.04% |
| Avg. Win | 0.62% | 0.18% |
| Avg. Loss | -0.7% | -0.12% |
| Win/Loss Ratio | 0.88 | 1.56 |
| Profit Ratio | 1.22 | 0.31 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.81% | 0.5% |
| Expected Yearly | 5.82% | 3.56% |
| Kelly Criterion | -7.44% | 27.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.25% |
| Expected Shortfall (cVaR) | -1.63% | -0.29% |
| Max Consecutive Wins | 4 | 3 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.18 | 0.82 |
| Gain/Pain (1M) | 2.95 | - |
| Payoff Ratio | 0.88 | 1.56 |
| Profit Factor | 1.18 | 1.82 |
| Common Sense Ratio | 1.47 | 2.81 |
| CPC Index | 0.52 | 1.6 |
| Tail Ratio | 1.25 | 1.54 |
| Outlier Win Ratio | 2.66 | 4.29 |
| Outlier Loss Ratio | 3.14 | 2.21 |
| MTD | 1.47% | 0.09% |
| 3M | 1.46% | 2.67% |
| 6M | 5.82% | 3.56% |
| YTD | 5.82% | 3.56% |
| 1Y | 5.82% | 3.56% |
| 3Y (ann.) | 12.29% | 7.44% |
| 5Y (ann.) | 12.29% | 7.44% |
| 10Y (ann.) | 12.29% | 7.44% |
| All-time (ann.) | 12.29% | 7.44% |
| Best Day | 1.8% | 1.33% |
| Worst Day | -2.58% | -0.29% |
| Best Month | 3.87% | 1.15% |
| Worst Month | -1.03% | -0.0% |
| Best Year | 5.82% | 3.56% |
| Worst Year | 5.82% | 3.56% |
| Avg. Drawdown | -1.62% | -0.25% |
| Avg. Drawdown Days | 19 | 10 |
| Recovery Factor | 1.34 | 5.34 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.81 | 5.92 |
| Avg. Up Month | 1.39% | 0.57% |
| Avg. Down Month | - | - |
| Win Days | 49.59% | 56.1% |
| Win Month | 57.14% | 85.71% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.06 |
| Correlation | - | 29.5% |
| Treynor Ratio | - | 55.38% |
| Year | SPY | FMADX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 5.82 | 3.56 | 0.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-26 | 2026-09-18 | -0.66 | 24 |
| 2026-06-26 | 2026-07-09 | -0.48 | 14 |
| 2026-07-17 | 2026-07-30 | -0.48 | 14 |
| 2026-05-21 | 2026-06-18 | -0.38 | 29 |
| 2026-10-27 | 2026-10-28 | -0.19 | 2 |
| 2026-05-07 | 2026-05-19 | -0.10 | 13 |
| 2026-08-03 | 2026-08-04 | -0.10 | 2 |
| 2026-08-10 | 2026-08-11 | -0.09 | 2 |
| 2026-08-20 | 2026-08-20 | -0.09 | 1 |
| 2026-09-23 | 2026-09-24 | -0.09 | 2 |