| Metric | SPY | FRPCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 85.0% |
| Cumulative Return | 18.3% | -5.55% |
| CAGR﹪ | 18.62% | -5.64% |
| Sharpe | 1.07 | -2.21 |
| Prob. Sharpe Ratio | 85.46% | 1.19% |
| Smart Sharpe | 1.04 | -2.13 |
| Sortino | 1.56 | -2.73 |
| Smart Sortino | 1.52 | -2.62 |
| Sortino/√2 | 1.1 | -1.93 |
| Smart Sortino/√2 | 1.07 | -1.85 |
| Omega | 1.26 | 0.8 |
| Max Drawdown | -8.88% | -7.7% |
| Max DD Date | 2026-03-30 | 2026-05-15 |
| Max DD Period Start | 2026-01-28 | 2025-12-02 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 295 |
| Volatility (ann.) | 13.04% | 4.37% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 2.1 | -0.73 |
| Skew | -0.16 | -0.46 |
| Kurtosis | 1.03 | 1.32 |
| Ulcer Performance Index | 8.48 | -1.28 |
| Risk-Adjusted Return | 18.62% | -6.63% |
| Risk-Return Ratio | 0.09 | -0.08 |
| Avg. Return | 0.08% | -0.03% |
| Avg. Win | 0.57% | 0.22% |
| Avg. Loss | -0.66% | -0.23% |
| Win/Loss Ratio | 0.87 | 0.96 |
| Profit Ratio | 0.91 | 0.51 |
| Expected Daily | 0.07% | -0.02% |
| Expected Monthly | 1.3% | -0.44% |
| Expected Yearly | 8.77% | -2.81% |
| Kelly Criterion | 0.93% | -7.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.48% |
| Expected Shortfall (cVaR) | -1.72% | -0.72% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.26 | -0.2 |
| Gain/Pain (1M) | 2.66 | -0.62 |
| Payoff Ratio | 0.87 | 0.96 |
| Profit Factor | 1.26 | 0.8 |
| Common Sense Ratio | 1.25 | 0.78 |
| CPC Index | 0.59 | 0.37 |
| Tail Ratio | 0.99 | 0.96 |
| Outlier Win Ratio | 2.88 | 3.75 |
| Outlier Loss Ratio | 3.16 | 3.01 |
| MTD | 1.08% | -0.65% |
| 3M | 3.82% | 0.55% |
| 6M | 19.85% | -1.61% |
| YTD | 14.3% | -4.77% |
| 1Y | 18.3% | -5.55% |
| 3Y (ann.) | 18.62% | -5.64% |
| 5Y (ann.) | 18.62% | -5.64% |
| 10Y (ann.) | 18.62% | -5.64% |
| All-time (ann.) | 18.62% | -5.64% |
| Best Day | 2.91% | 0.66% |
| Worst Day | -2.7% | -1.19% |
| Best Month | 10.51% | 2.33% |
| Worst Month | -4.94% | -2.58% |
| Best Year | 14.3% | -0.82% |
| Worst Year | 3.5% | -4.77% |
| Avg. Drawdown | -1.69% | -4.47% |
| Avg. Drawdown Days | 13 | 180 |
| Recovery Factor | 1.99 | 0.73 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.19 | -0.05 |
| Avg. Up Month | 0.87% | 0.28% |
| Avg. Down Month | -4.94% | -2.41% |
| Win Days | 54.03% | 47.37% |
| Win Month | 76.92% | 38.46% |
| Win Quarter | 80.0% | 0.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | -0.1 |
| Alpha | - | -0.04 |
| Correlation | - | -28.37% |
| Treynor Ratio | - | 58.37% |
| Year | SPY | FRPCX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | -0.82 | -0.23 | - |
| 2026 | 14.30 | -4.77 | -0.33 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-02 | 2026-09-22 | -7.70 | 295 |
| 2025-09-24 | 2025-11-28 | -1.23 | 66 |