| Metric | SPY | FMFLX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 13.75% | 5.51% |
| CAGR﹪ | 23.14% | 9.04% |
| Sharpe | 1.38 | 0.68 |
| Prob. Sharpe Ratio | 86.1% | 70.07% |
| Smart Sharpe | 1.35 | 0.66 |
| Sortino | 2.12 | 0.94 |
| Smart Sortino | 2.07 | 0.91 |
| Sortino/√2 | 1.5 | 0.66 |
| Smart Sortino/√2 | 1.46 | 0.64 |
| Omega | 1.31 | 1.19 |
| Max Drawdown | -5.53% | -6.21% |
| Max DD Date | 2026-03-30 | 2026-11-04 |
| Max DD Period Start | 2026-03-18 | 2026-09-25 |
| Max DD Period End | 2026-04-07 | 2026-11-04 |
| Longest DD Days | 59 | 64 |
| Volatility (ann.) | 13.32% | 8.36% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 4.18 | 1.46 |
| Skew | 0.1 | -0.37 |
| Kurtosis | 1.02 | 0.23 |
| Ulcer Performance Index | 7.97 | 3.05 |
| Risk-Adjusted Return | 23.14% | 9.62% |
| Risk-Return Ratio | 0.1 | 0.07 |
| Avg. Return | 0.1% | 0.04% |
| Avg. Win | 0.58% | 0.35% |
| Avg. Loss | -0.67% | -0.5% |
| Win/Loss Ratio | 0.86 | 0.7 |
| Profit Ratio | 1.12 | 0.49 |
| Expected Daily | 0.08% | 0.03% |
| Expected Monthly | 1.44% | 0.6% |
| Expected Yearly | 13.75% | 5.51% |
| Kelly Criterion | -3.75% | -1.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.29% | -0.83% |
| Expected Shortfall (cVaR) | -1.69% | -1.05% |
| Max Consecutive Wins | 11 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.31 | 0.19 |
| Gain/Pain (1M) | 2.98 | 0.68 |
| Payoff Ratio | 0.86 | 0.7 |
| Profit Factor | 1.31 | 1.19 |
| Common Sense Ratio | 1.47 | 1.06 |
| CPC Index | 0.59 | 0.48 |
| Tail Ratio | 1.12 | 0.89 |
| Outlier Win Ratio | 3.04 | 3.12 |
| Outlier Loss Ratio | 3.07 | 2.51 |
| MTD | 1.47% | -1.86% |
| 3M | 1.46% | 1.13% |
| 6M | 6.28% | 1.57% |
| YTD | 13.75% | 5.51% |
| 1Y | 13.75% | 5.51% |
| 3Y (ann.) | 23.14% | 9.04% |
| 5Y (ann.) | 23.14% | 9.04% |
| 10Y (ann.) | 23.14% | 9.04% |
| All-time (ann.) | 23.14% | 9.04% |
| Best Day | 2.91% | 1.32% |
| Worst Day | -2.58% | -1.66% |
| Best Month | 9.51% | 3.95% |
| Worst Month | -2.53% | -3.5% |
| Best Year | 13.75% | 5.51% |
| Worst Year | 13.75% | 5.51% |
| Avg. Drawdown | -1.58% | -1.25% |
| Avg. Drawdown Days | 14 | 11 |
| Recovery Factor | 2.43 | 0.9 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.66 | 0.38 |
| Avg. Up Month | 4.07% | 2.88% |
| Avg. Down Month | -0.97% | -2.76% |
| Win Days | 51.92% | 58.22% |
| Win Month | 55.56% | 55.56% |
| Win Quarter | 75.0% | 50.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.08 |
| Alpha | - | 0.11 |
| Correlation | - | -12.73% |
| Treynor Ratio | - | -68.94% |
| Year | SPY | FMFLX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.75 | 5.51 | 0.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-25 | 2026-11-04 | -6.21 | 41 |
| 2026-05-19 | 2026-07-21 | -4.23 | 64 |
| 2026-07-24 | 2026-08-11 | -2.30 | 19 |
| 2026-04-08 | 2026-04-27 | -1.87 | 20 |
| 2026-08-24 | 2026-08-28 | -1.10 | 5 |
| 2026-03-23 | 2026-03-23 | -0.73 | 1 |
| 2026-05-06 | 2026-05-12 | -0.61 | 7 |
| 2026-08-13 | 2026-08-14 | -0.60 | 2 |
| 2026-03-25 | 2026-03-25 | -0.46 | 1 |
| 2026-09-21 | 2026-09-22 | -0.41 | 2 |