| Metric | SPY | FRPDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 85.0% |
| Cumulative Return | 87.07% | -19.1% |
| CAGR﹪ | 25.09% | -7.29% |
| Sharpe | 1.28 | -1.48 |
| Prob. Sharpe Ratio | 98.79% | 0.24% |
| Smart Sharpe | 1.11 | -1.4 |
| Sortino | 2.01 | -1.72 |
| Smart Sortino | 1.73 | -1.62 |
| Sortino/√2 | 1.42 | -1.21 |
| Smart Sortino/√2 | 1.23 | -1.14 |
| Omega | 1.34 | 0.82 |
| Max Drawdown | -8.88% | -25.14% |
| Max DD Date | 2026-03-30 | 2026-04-02 |
| Max DD Period Start | 2026-01-28 | 2025-09-24 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 121 | 427 |
| Volatility (ann.) | 14.77% | 7.96% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 2.82 | -0.29 |
| Skew | 1.64 | -2.89 |
| Kurtosis | 22.96 | 21.98 |
| Ulcer Performance Index | 38.67 | -1.65 |
| Risk-Adjusted Return | 25.09% | -8.58% |
| Risk-Return Ratio | 0.1 | -0.06 |
| Avg. Return | 0.08% | -0.03% |
| Avg. Win | 0.63% | 0.3% |
| Avg. Loss | -0.68% | -0.48% |
| Win/Loss Ratio | 0.93 | 0.63 |
| Profit Ratio | 0.8 | 0.37 |
| Expected Daily | 0.09% | -0.03% |
| Expected Monthly | 1.75% | -0.59% |
| Expected Yearly | 16.95% | -5.16% |
| Kelly Criterion | 9.63% | -23.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.44% | -0.85% |
| Expected Shortfall (cVaR) | -1.99% | -2.08% |
| Max Consecutive Wins | 10 | 6 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.34 | -0.18 |
| Gain/Pain (1M) | 2.84 | -0.43 |
| Payoff Ratio | 0.93 | 0.63 |
| Profit Factor | 1.34 | 0.82 |
| Common Sense Ratio | 1.34 | 0.64 |
| CPC Index | 0.7 | 0.27 |
| Tail Ratio | 1.0 | 0.78 |
| Outlier Win Ratio | 3.23 | 3.97 |
| Outlier Loss Ratio | 3.59 | 4.72 |
| MTD | 1.47% | -1.98% |
| 3M | 1.46% | 1.01% |
| 6M | 6.94% | 0.88% |
| YTD | 13.33% | -19.84% |
| 1Y | 13.84% | -20.12% |
| 3Y (ann.) | 25.09% | -7.29% |
| 5Y (ann.) | 25.09% | -7.29% |
| 10Y (ann.) | 25.09% | -7.29% |
| All-time (ann.) | 25.09% | -7.29% |
| Best Day | 10.5% | 2.35% |
| Worst Day | -4.38% | -4.66% |
| Best Month | 10.76% | 3.72% |
| Worst Month | -6.32% | -18.47% |
| Best Year | 34.07% | 5.93% |
| Worst Year | 1.11% | -19.84% |
| Avg. Drawdown | -1.49% | -2.83% |
| Avg. Drawdown Days | 11 | 72 |
| Recovery Factor | 7.39 | 0.81 |
| Ulcer Index | 0.02 | 0.12 |
| Serenity Index | 4.53 | -0.04 |
| Avg. Up Month | 3.4% | 1.34% |
| Avg. Down Month | -3.36% | -5.35% |
| Win Days | 56.45% | 52.61% |
| Win Month | 75.0% | 52.78% |
| Win Quarter | 76.92% | 46.15% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.05 |
| Alpha | - | -0.08 |
| Correlation | - | 8.47% |
| Treynor Ratio | - | -418.28% |
| Year | SPY | FRPDX | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 1.11 | 0.70 | 0.63 | - |
| 2024 | 21.77 | -5.38 | -0.25 | - |
| 2025 | 34.07 | 5.93 | 0.17 | - |
| 2026 | 13.33 | -19.84 | -1.49 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-09-24 | 2026-11-04 | -25.14 | 407 |
| 2024-03-28 | 2025-05-28 | -7.29 | 427 |
| 2024-01-03 | 2024-03-12 | -1.68 | 70 |
| 2025-06-26 | 2025-07-25 | -1.47 | 30 |
| 2025-08-28 | 2025-09-22 | -1.13 | 26 |
| 2025-08-01 | 2025-08-15 | -0.88 | 15 |
| 2025-05-30 | 2025-06-12 | -0.60 | 14 |
| 2025-08-21 | 2025-08-25 | -0.39 | 5 |
| 2023-12-15 | 2023-12-19 | -0.30 | 5 |
| 2023-12-21 | 2023-12-27 | -0.20 | 7 |