| Metric | SPY | FRPCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 14.81% | -4.74% |
| CAGR﹪ | 15.07% | -4.82% |
| Sharpe | 0.87 | -1.79 |
| Prob. Sharpe Ratio | 80.5% | 3.24% |
| Smart Sharpe | 0.86 | -1.73 |
| Sortino | 1.27 | -2.21 |
| Smart Sortino | 1.26 | -2.13 |
| Sortino/√2 | 0.9 | -1.56 |
| Smart Sortino/√2 | 0.89 | -1.5 |
| Omega | 1.21 | 0.84 |
| 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 | 2026-11-04 |
| Longest DD Days | 76 | 338 |
| Volatility (ann.) | 12.91% | 4.73% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 1.7 | -0.63 |
| Skew | -0.03 | -0.78 |
| Kurtosis | 0.75 | 3.0 |
| Ulcer Performance Index | 6.86 | -1.01 |
| Risk-Adjusted Return | 15.07% | -5.47% |
| Risk-Return Ratio | 0.07 | -0.06 |
| Avg. Return | 0.07% | -0.02% |
| Avg. Win | 0.58% | 0.23% |
| Avg. Loss | -0.63% | -0.23% |
| Win/Loss Ratio | 0.92 | 0.99 |
| Profit Ratio | 0.99 | 0.52 |
| Expected Daily | 0.06% | -0.02% |
| Expected Monthly | 1.07% | -0.37% |
| Expected Yearly | 7.15% | -2.4% |
| Kelly Criterion | 0.91% | -1.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.51% |
| Expected Shortfall (cVaR) | -1.66% | -0.78% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.21 | -0.16 |
| Gain/Pain (1M) | 1.88 | -0.55 |
| Payoff Ratio | 0.92 | 0.99 |
| Profit Factor | 1.21 | 0.84 |
| Common Sense Ratio | 1.2 | 0.82 |
| CPC Index | 0.58 | 0.41 |
| Tail Ratio | 0.99 | 0.98 |
| Outlier Win Ratio | 2.84 | 3.55 |
| Outlier Loss Ratio | 2.98 | 3.06 |
| MTD | 1.47% | 0.44% |
| 3M | 1.46% | 0.0% |
| 6M | 6.94% | 1.88% |
| YTD | 13.33% | -4.25% |
| 1Y | 14.81% | -4.74% |
| 3Y (ann.) | 15.07% | -4.82% |
| 5Y (ann.) | 15.07% | -4.82% |
| 10Y (ann.) | 15.07% | -4.82% |
| All-time (ann.) | 15.07% | -4.82% |
| Best Day | 2.91% | 0.76% |
| Worst Day | -2.58% | -1.51% |
| Best Month | 10.51% | 2.33% |
| Worst Month | -4.94% | -2.58% |
| Best Year | 13.33% | -0.51% |
| Worst Year | 1.31% | -4.25% |
| Avg. Drawdown | -1.72% | -4.36% |
| Avg. Drawdown Days | 13 | 179 |
| Recovery Factor | 1.65 | 0.62 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.96 | -0.04 |
| Avg. Up Month | 0.79% | 0.32% |
| Avg. Down Month | -2.63% | -1.64% |
| Win Days | 52.42% | 49.54% |
| Win Month | 61.54% | 46.15% |
| Win Quarter | 80.0% | 20.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | -0.1 |
| Alpha | - | -0.03 |
| Correlation | - | -28.18% |
| Treynor Ratio | - | 45.95% |
| Year | SPY | FRPCX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | -0.51 | -0.39 | - |
| 2026 | 13.33 | -4.25 | -0.32 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-02 | 2026-11-04 | -7.70 | 338 |
| 2025-11-07 | 2025-11-26 | -1.03 | 20 |