| Metric | SPY | FMFLX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 14.73% | 11.41% |
| CAGR﹪ | 31.92% | 24.33% |
| Sharpe | 1.82 | 2.39 |
| Prob. Sharpe Ratio | 90.14% | 95.08% |
| Smart Sharpe | 1.82 | 2.32 |
| Sortino | 2.9 | 3.64 |
| Smart Sortino | 2.89 | 3.53 |
| Sortino/√2 | 2.05 | 2.57 |
| Smart Sortino/√2 | 2.05 | 2.5 |
| Omega | 1.41 | 1.56 |
| Max Drawdown | -5.53% | -4.23% |
| Max DD Date | 2026-03-30 | 2026-06-26 |
| Max DD Period Start | 2026-03-18 | 2026-05-19 |
| Max DD Period End | 2026-04-07 | 2026-07-21 |
| Longest DD Days | 59 | 64 |
| Volatility (ann.) | 13.77% | 7.76% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 5.77 | 5.75 |
| Skew | 0.12 | -0.25 |
| Kurtosis | 1.02 | 0.12 |
| Ulcer Performance Index | 8.34 | 7.94 |
| Risk-Adjusted Return | 31.92% | 25.61% |
| Risk-Return Ratio | 0.13 | 0.18 |
| Avg. Return | 0.11% | 0.09% |
| Avg. Win | 0.58% | 0.33% |
| Avg. Loss | -0.68% | -0.45% |
| Win/Loss Ratio | 0.85 | 0.74 |
| Profit Ratio | 1.13 | 0.46 |
| Expected Daily | 0.11% | 0.09% |
| Expected Monthly | 1.98% | 1.56% |
| Expected Yearly | 14.73% | 11.41% |
| Kelly Criterion | -2.51% | 12.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.31% | -0.72% |
| Expected Shortfall (cVaR) | -1.68% | -0.94% |
| Max Consecutive Wins | 11 | 6 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.41 | 0.56 |
| Gain/Pain (1M) | 4.22 | 3.92 |
| Payoff Ratio | 0.85 | 0.74 |
| Profit Factor | 1.41 | 1.56 |
| Common Sense Ratio | 1.62 | 1.61 |
| CPC Index | 0.64 | 0.72 |
| Tail Ratio | 1.14 | 1.03 |
| Outlier Win Ratio | 3.23 | 3.3 |
| Outlier Loss Ratio | 3.04 | 2.43 |
| MTD | 1.08% | 3.72% |
| 3M | 3.82% | 8.11% |
| 6M | 18.03% | 9.98% |
| YTD | 14.73% | 11.41% |
| 1Y | 14.73% | 11.41% |
| 3Y (ann.) | 31.92% | 24.33% |
| 5Y (ann.) | 31.92% | 24.33% |
| 10Y (ann.) | 31.92% | 24.33% |
| All-time (ann.) | 31.92% | 24.33% |
| Best Day | 2.91% | 1.32% |
| Worst Day | -2.58% | -1.23% |
| Best Month | 9.51% | 3.95% |
| Worst Month | -2.53% | -2.02% |
| Best Year | 14.73% | 11.41% |
| Worst Year | 14.73% | 11.41% |
| Avg. Drawdown | -1.43% | -0.92% |
| Avg. Drawdown Days | 12 | 9 |
| Recovery Factor | 2.57 | 2.59 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.59 | 1.01 |
| Avg. Up Month | 3.32% | 3.09% |
| Avg. Down Month | -1.03% | -2.02% |
| Win Days | 52.8% | 62.71% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.12 |
| Alpha | - | 0.26 |
| Correlation | - | -21.72% |
| Treynor Ratio | - | -93.17% |
| Year | SPY | FMFLX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 14.73 | 11.41 | 0.77 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 2026-03-30 | 2026-03-31 | -0.36 | 2 |