| Metric | SPY | FRPDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 80.0% |
| Cumulative Return | 18.6% | -6.18% |
| CAGR﹪ | 40.67% | -11.98% |
| Sharpe | 2.32 | -1.77 |
| Prob. Sharpe Ratio | 95.04% | 6.67% |
| Smart Sharpe | 2.3 | -1.6 |
| Sortino | 3.78 | -1.92 |
| Smart Sortino | 3.75 | -1.75 |
| Sortino/√2 | 2.67 | -1.36 |
| Smart Sortino/√2 | 2.65 | -1.23 |
| Omega | 1.54 | 0.73 |
| Max Drawdown | -4.49% | -7.23% |
| Max DD Date | 2026-06-10 | 2026-09-22 |
| Max DD Period Start | 2026-06-03 | 2026-03-26 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 181 |
| Volatility (ann.) | 13.55% | 9.01% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.19 | -0.19 |
| Calmar | 9.05 | -1.66 |
| Skew | 0.1 | -3.21 |
| Kurtosis | 1.12 | 15.88 |
| Ulcer Performance Index | 11.86 | -1.46 |
| Risk-Adjusted Return | 40.67% | -14.97% |
| Risk-Return Ratio | 0.16 | -0.09 |
| Avg. Return | 0.1% | -0.06% |
| Avg. Win | 0.72% | 0.28% |
| Avg. Loss | -0.69% | -0.55% |
| Win/Loss Ratio | 1.04 | 0.52 |
| Profit Ratio | 1.12 | 0.16 |
| Expected Daily | 0.14% | -0.05% |
| Expected Monthly | 2.47% | -0.91% |
| Expected Yearly | 18.6% | -6.18% |
| Kelly Criterion | 9.86% | -17.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.98% |
| Expected Shortfall (cVaR) | -1.77% | -1.84% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.54 | -0.27 |
| Gain/Pain (1M) | 10.92 | -0.54 |
| Payoff Ratio | 1.04 | 0.52 |
| Profit Factor | 1.54 | 0.73 |
| Common Sense Ratio | 2.01 | 0.46 |
| CPC Index | 0.87 | 0.23 |
| Tail Ratio | 1.3 | 0.62 |
| Outlier Win Ratio | 3.21 | 3.69 |
| Outlier Loss Ratio | 3.16 | 3.78 |
| MTD | 1.08% | -3.75% |
| 3M | 3.82% | -5.34% |
| 6M | 18.6% | -6.18% |
| YTD | 18.6% | -6.18% |
| 1Y | 18.6% | -6.18% |
| 3Y (ann.) | 40.67% | -11.98% |
| 5Y (ann.) | 40.67% | -11.98% |
| 10Y (ann.) | 40.67% | -11.98% |
| All-time (ann.) | 40.67% | -11.98% |
| Best Day | 2.91% | 0.8% |
| Worst Day | -2.58% | -3.72% |
| Best Month | 10.51% | 2.23% |
| Worst Month | -1.03% | -4.29% |
| Best Year | 18.6% | -6.18% |
| Worst Year | 18.6% | -6.18% |
| Avg. Drawdown | -1.13% | -7.23% |
| Avg. Drawdown Days | 9 | 181 |
| Recovery Factor | 3.9 | 0.85 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 2.75 | -0.12 |
| Avg. Up Month | 6.15% | 1.27% |
| Avg. Down Month | -0.77% | -4.29% |
| Win Days | 53.97% | 60.0% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.01 |
| Alpha | - | -0.13 |
| Correlation | - | 2.03% |
| Treynor Ratio | - | -458.63% |
| Year | SPY | FRPDX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | -6.18 | -0.33 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-26 | 2026-09-22 | -7.23 | 181 |