| Metric | SPY | FMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 10.59% |
| CAGR﹪ | 14.51% | 10.68% |
| Sharpe | 0.83 | 0.71 |
| Prob. Sharpe Ratio | 79.61% | 75.91% |
| Smart Sharpe | 0.82 | 0.58 |
| Sortino | 1.22 | 0.99 |
| Smart Sortino | 1.2 | 0.81 |
| Sortino/√2 | 0.86 | 0.7 |
| Smart Sortino/√2 | 0.85 | 0.57 |
| Omega | 1.2 | 1.2 |
| Max Drawdown | -8.88% | -4.51% |
| Max DD Date | 2026-03-30 | 2026-07-02 |
| Max DD Period Start | 2026-01-28 | 2026-05-19 |
| Max DD Period End | 2026-04-13 | 2026-09-10 |
| Longest DD Days | 76 | 115 |
| Volatility (ann.) | 12.86% | 9.74% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.63 | 2.37 |
| Skew | -0.02 | -0.4 |
| Kurtosis | 0.78 | 1.39 |
| Ulcer Performance Index | 6.68 | 6.09 |
| Risk-Adjusted Return | 14.51% | 10.68% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.6% | 0.49% |
| Avg. Loss | -0.72% | -0.55% |
| Win/Loss Ratio | 0.83 | 0.89 |
| Profit Ratio | 1.02 | 0.67 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.78% |
| Expected Yearly | 6.95% | 5.16% |
| Kelly Criterion | -5.95% | 8.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.97% |
| Expected Shortfall (cVaR) | -1.66% | -1.4% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.2 |
| Gain/Pain (1M) | 1.83 | 1.98 |
| Payoff Ratio | 0.83 | 0.89 |
| Profit Factor | 1.2 | 1.2 |
| Common Sense Ratio | 1.19 | 1.0 |
| CPC Index | 0.52 | 0.61 |
| Tail Ratio | 0.99 | 0.83 |
| Outlier Win Ratio | 2.84 | 3.56 |
| Outlier Loss Ratio | 3.01 | 3.46 |
| MTD | 1.47% | -2.8% |
| 3M | 1.46% | 2.42% |
| 6M | 6.94% | -0.58% |
| YTD | 13.33% | 9.19% |
| 1Y | 14.39% | 10.59% |
| 3Y (ann.) | 14.51% | 10.68% |
| 5Y (ann.) | 14.51% | 10.68% |
| 10Y (ann.) | 14.51% | 10.68% |
| All-time (ann.) | 14.51% | 10.68% |
| Best Day | 2.91% | 1.87% |
| Worst Day | -2.58% | -2.31% |
| Best Month | 10.51% | 4.7% |
| Worst Month | -4.94% | -2.8% |
| Best Year | 13.33% | 9.19% |
| Worst Year | 0.94% | 1.28% |
| Avg. Drawdown | -1.74% | -1.41% |
| Avg. Drawdown Days | 14 | 15 |
| Recovery Factor | 1.61 | 2.34 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 1.04 |
| Avg. Up Month | 2.61% | 1.08% |
| Avg. Down Month | -0.97% | -1.25% |
| Win Days | 52.0% | 57.2% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.13 |
| Alpha | - | 0.09 |
| Correlation | - | 16.64% |
| Treynor Ratio | - | 84.02% |
| Year | SPY | FMF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.28 | 1.37 | + |
| 2026 | 13.33 | 9.19 | 0.69 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-19 | 2026-09-10 | -4.51 | 115 |
| 2026-10-14 | 2026-11-04 | -3.90 | 22 |
| 2026-03-13 | 2026-04-01 | -3.42 | 20 |
| 2026-02-12 | 2026-02-18 | -2.31 | 7 |
| 2025-11-12 | 2025-12-31 | -1.80 | 50 |
| 2026-02-05 | 2026-02-05 | -1.69 | 1 |
| 2026-01-16 | 2026-02-02 | -1.56 | 18 |
| 2026-04-30 | 2026-05-11 | -1.28 | 12 |
| 2026-03-03 | 2026-03-03 | -1.27 | 1 |
| 2026-09-21 | 2026-10-08 | -1.17 | 18 |