| Metric | SPY | FRPDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 83.0% |
| Cumulative Return | 18.3% | -25.54% |
| CAGR﹪ | 18.62% | -25.89% |
| Sharpe | 1.07 | -2.87 |
| Prob. Sharpe Ratio | 85.46% | 0.01% |
| Smart Sharpe | 1.04 | -2.59 |
| Sortino | 1.56 | -3.07 |
| Smart Sortino | 1.52 | -2.77 |
| Sortino/√2 | 1.1 | -2.17 |
| Smart Sortino/√2 | 1.07 | -1.96 |
| Omega | 1.26 | 0.54 |
| Max Drawdown | -8.88% | - |
| Max DD Date | 2026-03-30 | - |
| Max DD Period Start | 2026-01-28 | - |
| Max DD Period End | 2026-04-13 | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 13.04% | 11.56% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.18 | -0.18 |
| Calmar | 2.1 | -1.01 |
| Skew | -0.16 | -2.88 |
| Kurtosis | 1.03 | 13.8 |
| Ulcer Performance Index | 8.48 | -1.48 |
| Risk-Adjusted Return | 18.62% | -31.19% |
| Risk-Return Ratio | 0.09 | -0.16 |
| Avg. Return | 0.05% | -0.14% |
| Avg. Win | 0.64% | 0.32% |
| Avg. Loss | -0.69% | -0.69% |
| Win/Loss Ratio | 0.93 | 0.47 |
| Profit Ratio | 0.91 | 0.24 |
| Expected Daily | 0.07% | -0.12% |
| Expected Monthly | 1.3% | -2.24% |
| Expected Yearly | 8.77% | -13.71% |
| Kelly Criterion | 4.77% | -53.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.31% |
| Expected Shortfall (cVaR) | -1.72% | -2.81% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.26 | -0.46 |
| Gain/Pain (1M) | 2.66 | -0.75 |
| Payoff Ratio | 0.93 | 0.47 |
| Profit Factor | 1.26 | 0.54 |
| Common Sense Ratio | 1.25 | 0.26 |
| CPC Index | 0.63 | 0.13 |
| Tail Ratio | 0.99 | 0.49 |
| Outlier Win Ratio | 2.88 | 5.16 |
| Outlier Loss Ratio | 3.16 | 5.67 |
| MTD | 1.08% | -3.75% |
| 3M | 3.82% | -5.34% |
| 6M | 19.85% | -6.3% |
| YTD | 14.3% | -22.42% |
| 1Y | 18.3% | -25.54% |
| 3Y (ann.) | 18.62% | -25.89% |
| 5Y (ann.) | 18.62% | -25.89% |
| 10Y (ann.) | 18.62% | -25.89% |
| All-time (ann.) | 18.62% | -25.89% |
| Best Day | 2.91% | 2.35% |
| Worst Day | -2.7% | -4.66% |
| Best Month | 10.51% | 2.65% |
| Worst Month | -4.94% | -18.47% |
| Best Year | 14.3% | -4.02% |
| Worst Year | 3.5% | -22.42% |
| Avg. Drawdown | -1.69% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.99 | 1.13 |
| Ulcer Index | 0.02 | 0.17 |
| Serenity Index | 1.19 | -0.04 |
| Avg. Up Month | 4.72% | 1.31% |
| Avg. Down Month | -4.94% | -18.47% |
| Win Days | 54.03% | 50.98% |
| Win Month | 76.92% | 46.15% |
| Win Quarter | 80.0% | 20.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.1 |
| Alpha | - | -0.31 |
| Correlation | - | 11.69% |
| Treynor Ratio | - | -246.38% |
| Year | SPY | FRPDX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | -4.02 | -1.15 | - |
| 2026 | 14.30 | -22.42 | -1.57 | - |
| Started | Recovered | Drawdown | Days |
|---|