| Metric | SPY | FRPDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 14.81% | -19.87% |
| CAGR﹪ | 15.07% | -20.15% |
| Sharpe | 0.87 | -2.33 |
| Prob. Sharpe Ratio | 80.5% | 0.22% |
| Smart Sharpe | 0.86 | -2.02 |
| Sortino | 1.27 | -2.54 |
| Smart Sortino | 1.26 | -2.21 |
| Sortino/√2 | 0.9 | -1.79 |
| Smart Sortino/√2 | 0.89 | -1.56 |
| Omega | 1.21 | 0.62 |
| Max Drawdown | -8.88% | -22.27% |
| Max DD Date | 2026-03-30 | 2026-04-02 |
| Max DD Period Start | 2026-01-28 | 2025-11-07 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 363 |
| Volatility (ann.) | 12.91% | 10.98% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.15 | -0.15 |
| Calmar | 1.7 | -0.91 |
| Skew | -0.03 | -2.9 |
| Kurtosis | 0.75 | 15.1 |
| Ulcer Performance Index | 6.86 | -1.23 |
| Risk-Adjusted Return | 15.07% | -24.88% |
| Risk-Return Ratio | 0.07 | -0.13 |
| Avg. Return | 0.06% | -0.11% |
| Avg. Win | 0.65% | 0.33% |
| Avg. Loss | -0.69% | -0.72% |
| Win/Loss Ratio | 0.94 | 0.46 |
| Profit Ratio | 0.99 | 0.21 |
| Expected Daily | 0.06% | -0.09% |
| Expected Monthly | 1.07% | -1.69% |
| Expected Yearly | 7.15% | -10.48% |
| Kelly Criterion | 1.97% | -46.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.22% |
| Expected Shortfall (cVaR) | -1.66% | -2.72% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.21 | -0.38 |
| Gain/Pain (1M) | 1.88 | -0.66 |
| Payoff Ratio | 0.94 | 0.46 |
| Profit Factor | 1.21 | 0.62 |
| Common Sense Ratio | 1.2 | 0.34 |
| CPC Index | 0.6 | 0.15 |
| Tail Ratio | 0.99 | 0.55 |
| Outlier Win Ratio | 2.84 | 5.22 |
| Outlier Loss Ratio | 2.98 | 5.43 |
| MTD | 1.47% | -1.98% |
| 3M | 1.46% | 1.01% |
| 6M | 6.94% | 0.88% |
| YTD | 13.33% | -19.84% |
| 1Y | 14.81% | -19.87% |
| 3Y (ann.) | 15.07% | -20.15% |
| 5Y (ann.) | 15.07% | -20.15% |
| 10Y (ann.) | 15.07% | -20.15% |
| All-time (ann.) | 15.07% | -20.15% |
| Best Day | 2.91% | 2.35% |
| Worst Day | -2.58% | -4.66% |
| Best Month | 10.51% | 2.65% |
| Worst Month | -4.94% | -18.47% |
| Best Year | 13.33% | -0.03% |
| Worst Year | 1.31% | -19.84% |
| Avg. Drawdown | -1.72% | -22.27% |
| Avg. Drawdown Days | 13 | 363 |
| Recovery Factor | 1.65 | 0.97 |
| Ulcer Index | 0.02 | 0.16 |
| Serenity Index | 0.96 | -0.03 |
| Avg. Up Month | 4.72% | 1.31% |
| Avg. Down Month | -2.63% | -9.38% |
| Win Days | 52.42% | 53.77% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 20.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.11 |
| Alpha | - | -0.24 |
| Correlation | - | 13.08% |
| Treynor Ratio | - | -178.58% |
| Year | SPY | FRPDX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | -0.03 | -0.02 | - |
| 2026 | 13.33 | -19.84 | -1.49 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-11-07 | 2026-11-04 | -22.27 | 363 |