| Metric | SPY | FMFLX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 5.82% | 1.04% |
| CAGR﹪ | 12.29% | 2.14% |
| Sharpe | 0.71 | -0.12 |
| Prob. Sharpe Ratio | 68.99% | 46.63% |
| Smart Sharpe | 0.69 | -0.11 |
| Sortino | 1.04 | -0.17 |
| Smart Sortino | 1.01 | -0.15 |
| Sortino/√2 | 0.74 | -0.12 |
| Smart Sortino/√2 | 0.72 | -0.11 |
| Omega | 1.18 | 1.05 |
| Max Drawdown | -4.49% | -6.21% |
| Max DD Date | 2026-06-10 | 2026-11-04 |
| Max DD Period Start | 2026-06-03 | 2026-09-25 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 64 |
| Volatility (ann.) | 12.37% | 8.54% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.73 | 0.34 |
| Skew | -0.13 | -0.2 |
| Kurtosis | 0.67 | 0.26 |
| Ulcer Performance Index | 3.47 | 0.52 |
| Risk-Adjusted Return | 12.29% | 2.32% |
| Risk-Return Ratio | 0.06 | 0.02 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.6% | 0.33% |
| Avg. Loss | -0.68% | -0.51% |
| Win/Loss Ratio | 0.88 | 0.66 |
| Profit Ratio | 1.22 | 0.56 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 0.81% | 0.15% |
| Expected Yearly | 5.82% | 1.04% |
| Kelly Criterion | -7.66% | -16.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.87% |
| Expected Shortfall (cVaR) | -1.63% | -1.12% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.18 | 0.05 |
| Gain/Pain (1M) | 2.95 | 0.14 |
| Payoff Ratio | 0.88 | 0.66 |
| Profit Factor | 1.18 | 1.05 |
| Common Sense Ratio | 1.47 | 0.99 |
| CPC Index | 0.51 | 0.37 |
| Tail Ratio | 1.25 | 0.94 |
| Outlier Win Ratio | 2.66 | 3.35 |
| Outlier Loss Ratio | 3.14 | 2.55 |
| MTD | 1.47% | -1.86% |
| 3M | 1.46% | 1.13% |
| 6M | 5.82% | 1.04% |
| YTD | 5.82% | 1.04% |
| 1Y | 5.82% | 1.04% |
| 3Y (ann.) | 12.29% | 2.14% |
| 5Y (ann.) | 12.29% | 2.14% |
| 10Y (ann.) | 12.29% | 2.14% |
| All-time (ann.) | 12.29% | 2.14% |
| Best Day | 1.8% | 1.32% |
| Worst Day | -2.58% | -1.66% |
| Best Month | 3.87% | 3.95% |
| Worst Month | -1.03% | -3.5% |
| Best Year | 5.82% | 1.04% |
| Worst Year | 5.82% | 1.04% |
| Avg. Drawdown | -1.62% | -1.49% |
| Avg. Drawdown Days | 19 | 13 |
| Recovery Factor | 1.34 | 0.19 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.81 | 0.07 |
| Avg. Up Month | 1.36% | 3.01% |
| Avg. Down Month | -0.97% | -2.76% |
| Win Days | 49.59% | 53.98% |
| Win Month | 57.14% | 42.86% |
| Win Quarter | 100.0% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.01 |
| Alpha | - | 0.03 |
| Correlation | - | -1.4% |
| Treynor Ratio | - | -106.92% |
| Year | SPY | FMFLX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 5.82 | 1.04 | 0.18 | - |
| 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 |
| 2026-08-24 | 2026-08-28 | -1.10 | 5 |
| 2026-05-06 | 2026-05-12 | -0.61 | 7 |
| 2026-08-13 | 2026-08-14 | -0.60 | 2 |
| 2026-09-21 | 2026-09-22 | -0.41 | 2 |
| 2026-08-18 | 2026-08-20 | -0.34 | 3 |
| 2026-09-16 | 2026-09-17 | -0.33 | 2 |
| 2026-09-14 | 2026-09-14 | -0.16 | 1 |