| Metric | SPY | FMFLX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 16.8% | 10.79% |
| CAGR﹪ | 38.56% | 24.01% |
| Sharpe | 2.2 | 2.34 |
| Prob. Sharpe Ratio | 93.68% | 94.41% |
| Smart Sharpe | 2.17 | 2.22 |
| Sortino | 3.59 | 3.58 |
| Smart Sortino | 3.55 | 3.4 |
| Sortino/√2 | 2.54 | 2.53 |
| Smart Sortino/√2 | 2.51 | 2.4 |
| Omega | 1.51 | 1.55 |
| Max Drawdown | -4.49% | -4.23% |
| Max DD Date | 2026-06-10 | 2026-06-26 |
| Max DD Period Start | 2026-06-03 | 2026-05-19 |
| Max DD Period End | 2026-07-31 | 2026-07-21 |
| Longest DD Days | 59 | 64 |
| Volatility (ann.) | 13.62% | 7.8% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 8.58 | 5.67 |
| Skew | 0.15 | -0.21 |
| Kurtosis | 1.18 | 0.13 |
| Ulcer Performance Index | 10.59 | 7.37 |
| Risk-Adjusted Return | 38.56% | 25.27% |
| Risk-Return Ratio | 0.16 | 0.18 |
| Avg. Return | 0.13% | 0.09% |
| Avg. Win | 0.59% | 0.33% |
| Avg. Loss | -0.68% | -0.45% |
| Win/Loss Ratio | 0.87 | 0.73 |
| Profit Ratio | 1.16 | 0.48 |
| Expected Daily | 0.13% | 0.09% |
| Expected Monthly | 2.24% | 1.47% |
| Expected Yearly | 16.8% | 10.79% |
| Kelly Criterion | -0.48% | 9.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.72% |
| Expected Shortfall (cVaR) | -1.77% | -0.97% |
| Max Consecutive Wins | 11 | 6 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.51 | 0.55 |
| Gain/Pain (1M) | 9.96 | 3.72 |
| Payoff Ratio | 0.87 | 0.73 |
| Profit Factor | 1.51 | 1.55 |
| Common Sense Ratio | 1.98 | 1.58 |
| CPC Index | 0.7 | 0.7 |
| Tail Ratio | 1.31 | 1.02 |
| Outlier Win Ratio | 3.26 | 3.31 |
| Outlier Loss Ratio | 3.18 | 2.47 |
| MTD | 1.08% | 3.72% |
| 3M | 3.82% | 8.11% |
| 6M | 16.8% | 10.79% |
| YTD | 16.8% | 10.79% |
| 1Y | 16.8% | 10.79% |
| 3Y (ann.) | 38.56% | 24.01% |
| 5Y (ann.) | 38.56% | 24.01% |
| 10Y (ann.) | 38.56% | 24.01% |
| All-time (ann.) | 38.56% | 24.01% |
| Best Day | 2.91% | 1.32% |
| Worst Day | -2.58% | -1.23% |
| Best Month | 9.51% | 3.95% |
| Worst Month | -1.03% | -2.02% |
| Best Year | 16.8% | 10.79% |
| Worst Year | 16.8% | 10.79% |
| Avg. Drawdown | -1.21% | -0.94% |
| Avg. Drawdown Days | 10 | 10 |
| Recovery Factor | 3.55 | 2.46 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.49 | 0.94 |
| Avg. Up Month | 3.32% | 3.09% |
| Avg. Down Month | -1.03% | -2.02% |
| Win Days | 53.33% | 61.95% |
| 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 | - | -20.29% |
| Treynor Ratio | - | -92.88% |
| Year | SPY | FMFLX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 16.80 | 10.79 | 0.64 | - |
| 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 |
| 2026-05-06 | 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 |
| 2026-08-18 | 2026-08-20 | -0.34 | 3 |