| Metric | SPY | FRPCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 86.0% |
| Cumulative Return | 88.67% | -10.66% |
| CAGR﹪ | 26.79% | -4.13% |
| Sharpe | 1.36 | -1.39 |
| Prob. Sharpe Ratio | 99.03% | 0.92% |
| Smart Sharpe | 1.16 | -1.36 |
| Sortino | 2.13 | -1.74 |
| Smart Sortino | 1.83 | -1.7 |
| Sortino/√2 | 1.51 | -1.23 |
| Smart Sortino/√2 | 1.29 | -1.21 |
| Omega | 1.36 | 0.89 |
| 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 | 2026-09-22 |
| Longest DD Days | 121 | 873 |
| Volatility (ann.) | 14.91% | 6.22% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 3.02 | -0.27 |
| Skew | 1.67 | -0.85 |
| Kurtosis | 23.07 | 4.66 |
| Ulcer Performance Index | 38.91 | -1.26 |
| Risk-Adjusted Return | 26.79% | -4.8% |
| Risk-Return Ratio | 0.1 | -0.04 |
| Avg. Return | 0.09% | -0.02% |
| Avg. Win | 0.62% | 0.3% |
| Avg. Loss | -0.67% | -0.33% |
| Win/Loss Ratio | 0.92 | 0.91 |
| Profit Ratio | 0.79 | 0.52 |
| Expected Daily | 0.09% | -0.02% |
| Expected Monthly | 1.88% | -0.33% |
| Expected Yearly | 17.2% | -2.78% |
| Kelly Criterion | 10.12% | -6.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.45% | -0.66% |
| Expected Shortfall (cVaR) | -1.99% | -1.13% |
| Max Consecutive Wins | 10 | 5 |
| Max Consecutive Losses | 6 | 10 |
| Gain/Pain Ratio | 0.36 | -0.11 |
| Gain/Pain (1M) | 3.02 | -0.33 |
| Payoff Ratio | 0.92 | 0.91 |
| Profit Factor | 1.36 | 0.89 |
| Common Sense Ratio | 1.36 | 0.76 |
| CPC Index | 0.71 | 0.4 |
| Tail Ratio | 1.0 | 0.85 |
| Outlier Win Ratio | 3.3 | 4.08 |
| Outlier Loss Ratio | 3.62 | 4.14 |
| MTD | 1.08% | -0.65% |
| 3M | 3.82% | 0.55% |
| 6M | 19.85% | -1.61% |
| YTD | 14.3% | -4.77% |
| 1Y | 18.22% | -5.94% |
| 3Y (ann.) | 26.79% | -4.13% |
| 5Y (ann.) | 26.79% | -4.13% |
| 10Y (ann.) | 26.79% | -4.13% |
| All-time (ann.) | 26.79% | -4.13% |
| 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 | -1.46% | -1.98% |
| Avg. Drawdown Days | 11 | 98 |
| Recovery Factor | 7.48 | 0.7 |
| Ulcer Index | 0.02 | 0.08 |
| Serenity Index | 4.53 | -0.03 |
| Avg. Up Month | 2.46% | 1.0% |
| Avg. Down Month | -5.63% | -1.55% |
| Win Days | 56.82% | 49.57% |
| Win Month | 79.41% | 52.94% |
| Win Quarter | 75.0% | 25.0% |
| Win Year | 100.0% | 25.0% |
| Beta | - | -0.05 |
| Alpha | - | -0.03 |
| Correlation | - | -12.61% |
| Treynor Ratio | - | 202.56% |
| 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 | 14.30 | -4.77 | -0.33 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-03 | 2026-09-22 | -15.33 | 873 |
| 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 |