| Metric | SPY | FRPCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 87.07% | -10.18% |
| CAGR﹪ | 25.09% | -3.76% |
| Sharpe | 1.28 | -1.32 |
| Prob. Sharpe Ratio | 98.79% | 1.13% |
| Smart Sharpe | 1.11 | -1.3 |
| Sortino | 2.01 | -1.65 |
| Smart Sortino | 1.73 | -1.63 |
| Sortino/√2 | 1.42 | -1.17 |
| Smart Sortino/√2 | 1.23 | -1.15 |
| Omega | 1.34 | 0.9 |
| Max Drawdown | -8.88% | -15.33% |
| Max DD Date | 2026-03-30 | 2026-05-15 |
| Max DD Period Start | 2026-01-28 | 2024-05-03 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 121 | 916 |
| Volatility (ann.) | 14.77% | 6.22% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 2.82 | -0.25 |
| Skew | 1.64 | -0.88 |
| Kurtosis | 22.96 | 4.7 |
| Ulcer Performance Index | 38.67 | -1.17 |
| Risk-Adjusted Return | 25.09% | -4.33% |
| Risk-Return Ratio | 0.1 | -0.04 |
| Avg. Return | 0.09% | -0.02% |
| Avg. Win | 0.62% | 0.3% |
| Avg. Loss | -0.67% | -0.32% |
| Win/Loss Ratio | 0.92 | 0.92 |
| Profit Ratio | 0.8 | 0.52 |
| Expected Daily | 0.09% | -0.02% |
| Expected Monthly | 1.75% | -0.3% |
| Expected Yearly | 16.95% | -2.65% |
| Kelly Criterion | 9.11% | -4.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.44% | -0.66% |
| Expected Shortfall (cVaR) | -1.99% | -1.12% |
| Max Consecutive Wins | 10 | 5 |
| Max Consecutive Losses | 6 | 10 |
| Gain/Pain Ratio | 0.34 | -0.1 |
| Gain/Pain (1M) | 2.84 | -0.31 |
| Payoff Ratio | 0.92 | 0.92 |
| Profit Factor | 1.34 | 0.9 |
| Common Sense Ratio | 1.34 | 0.78 |
| CPC Index | 0.7 | 0.41 |
| Tail Ratio | 1.0 | 0.87 |
| Outlier Win Ratio | 3.23 | 4.05 |
| Outlier Loss Ratio | 3.59 | 4.2 |
| MTD | 1.47% | 0.44% |
| 3M | 1.46% | 0.0% |
| 6M | 6.94% | 1.88% |
| YTD | 13.33% | -4.25% |
| 1Y | 13.84% | -4.84% |
| 3Y (ann.) | 25.09% | -3.76% |
| 5Y (ann.) | 25.09% | -3.76% |
| 10Y (ann.) | 25.09% | -3.76% |
| All-time (ann.) | 25.09% | -3.76% |
| Best Day | 10.5% | 1.64% |
| Worst Day | -4.38% | -1.97% |
| Best Month | 10.76% | 2.72% |
| Worst Month | -6.32% | -6.74% |
| Best Year | 34.07% | 3.33% |
| Worst Year | 1.11% | -7.75% |
| Avg. Drawdown | -1.49% | -1.98% |
| Avg. Drawdown Days | 11 | 102 |
| Recovery Factor | 7.39 | 0.66 |
| Ulcer Index | 0.02 | 0.09 |
| Serenity Index | 4.53 | -0.03 |
| Avg. Up Month | 2.39% | 0.96% |
| Avg. Down Month | -3.86% | -1.32% |
| Win Days | 56.45% | 49.92% |
| Win Month | 75.0% | 55.56% |
| Win Quarter | 76.92% | 30.77% |
| Win Year | 100.0% | 25.0% |
| Beta | - | -0.05 |
| Alpha | - | -0.02 |
| Correlation | - | -12.31% |
| Treynor Ratio | - | 196.28% |
| Year | SPY | FRPCX | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 1.11 | -1.59 | -1.44 | - |
| 2024 | 21.77 | 3.33 | 0.15 | - |
| 2025 | 34.07 | -7.75 | -0.23 | - |
| 2026 | 13.33 | -4.25 | -0.32 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-03 | 2026-11-04 | -15.33 | 916 |
| 2023-12-18 | 2024-03-04 | -2.09 | 78 |
| 2024-04-16 | 2024-04-30 | -1.16 | 15 |
| 2024-03-12 | 2024-03-13 | -0.20 | 2 |
| 2024-03-18 | 2024-03-19 | -0.20 | 2 |
| 2024-03-28 | 2024-04-01 | -0.20 | 5 |
| 2024-04-03 | 2024-04-03 | -0.20 | 1 |
| 2024-04-12 | 2024-04-12 | -0.19 | 1 |
| 2024-03-08 | 2024-03-08 | -0.10 | 1 |
| 2024-03-25 | 2024-03-25 | -0.10 | 1 |