| Metric | SPY | FRPCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 85.0% |
| Cumulative Return | 18.6% | -1.4% |
| CAGR﹪ | 40.67% | -2.77% |
| Sharpe | 2.32 | -1.47 |
| Prob. Sharpe Ratio | 95.04% | 14.2% |
| Smart Sharpe | 2.3 | -1.42 |
| Sortino | 3.78 | -1.84 |
| Smart Sortino | 3.75 | -1.78 |
| Sortino/√2 | 2.67 | -1.3 |
| Smart Sortino/√2 | 2.65 | -1.26 |
| Omega | 1.54 | 0.9 |
| Max Drawdown | -4.49% | -3.96% |
| Max DD Date | 2026-06-10 | 2026-05-15 |
| Max DD Period Start | 2026-06-03 | 2026-03-31 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 176 |
| Volatility (ann.) | 13.55% | 4.31% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.15 | -0.15 |
| Calmar | 9.05 | -0.7 |
| Skew | 0.1 | -0.74 |
| Kurtosis | 1.12 | 2.28 |
| Ulcer Performance Index | 11.86 | -0.64 |
| Risk-Adjusted Return | 40.67% | -3.26% |
| Risk-Return Ratio | 0.16 | -0.04 |
| Avg. Return | 0.12% | -0.01% |
| Avg. Win | 0.58% | 0.19% |
| Avg. Loss | -0.48% | -0.21% |
| Win/Loss Ratio | 1.21 | 0.91 |
| Profit Ratio | 1.12 | 0.47 |
| Expected Daily | 0.14% | -0.01% |
| Expected Monthly | 2.47% | -0.2% |
| Expected Yearly | 18.6% | -1.4% |
| Kelly Criterion | 15.94% | -5.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.46% |
| Expected Shortfall (cVaR) | -1.77% | -0.71% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | -0.1 |
| Gain/Pain (1M) | 10.92 | -0.34 |
| Payoff Ratio | 1.21 | 0.91 |
| Profit Factor | 1.54 | 0.9 |
| Common Sense Ratio | 2.01 | 0.84 |
| CPC Index | 1.01 | 0.41 |
| Tail Ratio | 1.3 | 0.93 |
| Outlier Win Ratio | 3.21 | 3.09 |
| Outlier Loss Ratio | 3.16 | 2.6 |
| MTD | 1.08% | -0.65% |
| 3M | 3.82% | 0.55% |
| 6M | 18.6% | -1.4% |
| YTD | 18.6% | -1.4% |
| 1Y | 18.6% | -1.4% |
| 3Y (ann.) | 40.67% | -2.77% |
| 5Y (ann.) | 40.67% | -2.77% |
| 10Y (ann.) | 40.67% | -2.77% |
| All-time (ann.) | 40.67% | -2.77% |
| Best Day | 2.91% | 0.66% |
| Worst Day | -2.58% | -1.19% |
| Best Month | 10.51% | 2.33% |
| Worst Month | -1.03% | -2.58% |
| Best Year | 18.6% | -1.4% |
| Worst Year | 18.6% | -1.4% |
| Avg. Drawdown | -1.13% | -1.39% |
| Avg. Drawdown Days | 9 | 60 |
| Recovery Factor | 3.9 | 0.34 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.75 | -0.04 |
| Avg. Up Month | 0.03% | 0.33% |
| Avg. Down Month | -0.77% | -0.11% |
| Win Days | 53.97% | 50.0% |
| Win Month | 71.43% | 28.57% |
| Win Quarter | 66.67% | 0.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | -0.14 |
| Alpha | - | 0.02 |
| Correlation | - | -42.83% |
| Treynor Ratio | - | 10.25% |
| Year | SPY | FRPCX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | -1.40 | -0.08 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-31 | 2026-09-22 | -3.96 | 176 |
| 2026-03-24 | 2026-03-25 | -0.11 | 2 |
| 2026-03-27 | 2026-03-27 | -0.11 | 1 |