| Metric | SPY | FRPDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 86.0% |
| Cumulative Return | 88.67% | -21.7% |
| CAGR﹪ | 26.79% | -8.74% |
| Sharpe | 1.36 | -1.6 |
| Prob. Sharpe Ratio | 99.03% | 0.12% |
| Smart Sharpe | 1.16 | -1.53 |
| Sortino | 2.13 | -1.83 |
| Smart Sortino | 1.83 | -1.74 |
| Sortino/√2 | 1.51 | -1.29 |
| Smart Sortino/√2 | 1.29 | -1.23 |
| Omega | 1.36 | 0.8 |
| Max Drawdown | -8.88% | -25.54% |
| Max DD Date | 2026-03-30 | 2026-09-22 |
| Max DD Period Start | 2026-01-28 | 2025-09-24 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 121 | 427 |
| Volatility (ann.) | 14.91% | 8.38% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 3.02 | -0.34 |
| Skew | 1.67 | -3.07 |
| Kurtosis | 23.07 | 21.73 |
| Ulcer Performance Index | 38.91 | -2.0 |
| Risk-Adjusted Return | 26.79% | -10.16% |
| Risk-Return Ratio | 0.1 | -0.07 |
| Avg. Return | 0.07% | -0.04% |
| Avg. Win | 0.64% | 0.3% |
| Avg. Loss | -0.68% | -0.48% |
| Win/Loss Ratio | 0.94 | 0.62 |
| Profit Ratio | 0.79 | 0.37 |
| Expected Daily | 0.09% | -0.04% |
| Expected Monthly | 1.88% | -0.72% |
| Expected Yearly | 17.2% | -5.93% |
| Kelly Criterion | 10.82% | -23.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.45% | -0.9% |
| Expected Shortfall (cVaR) | -1.99% | -2.25% |
| Max Consecutive Wins | 10 | 6 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.36 | -0.2 |
| Gain/Pain (1M) | 3.02 | -0.48 |
| Payoff Ratio | 0.94 | 0.62 |
| Profit Factor | 1.36 | 0.8 |
| Common Sense Ratio | 1.36 | 0.6 |
| CPC Index | 0.73 | 0.26 |
| Tail Ratio | 1.0 | 0.75 |
| Outlier Win Ratio | 3.3 | 4.17 |
| Outlier Loss Ratio | 3.62 | 4.89 |
| MTD | 1.08% | -3.75% |
| 3M | 3.82% | -5.34% |
| 6M | 19.85% | -6.3% |
| YTD | 14.3% | -22.42% |
| 1Y | 18.22% | -24.86% |
| 3Y (ann.) | 26.79% | -8.74% |
| 5Y (ann.) | 26.79% | -8.74% |
| 10Y (ann.) | 26.79% | -8.74% |
| All-time (ann.) | 26.79% | -8.74% |
| 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% | -22.42% |
| Avg. Drawdown | -1.46% | -2.43% |
| Avg. Drawdown Days | 11 | 56 |
| Recovery Factor | 7.48 | 0.92 |
| Ulcer Index | 0.02 | 0.11 |
| Serenity Index | 4.53 | -0.05 |
| Avg. Up Month | 3.4% | 1.34% |
| Avg. Down Month | -4.37% | -7.04% |
| Win Days | 56.82% | 52.43% |
| Win Month | 79.41% | 52.94% |
| Win Quarter | 75.0% | 50.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.04 |
| Alpha | - | -0.1 |
| Correlation | - | 7.9% |
| Treynor Ratio | - | -488.71% |
| 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 | 14.30 | -22.42 | -1.57 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-09-24 | 2026-09-22 | -25.54 | 364 |
| 2024-03-28 | 2025-05-28 | -7.29 | 427 |
| 2024-01-03 | 2024-03-12 | -1.68 | 70 |
| 2025-07-07 | 2025-07-25 | -1.47 | 19 |
| 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 |
| 2025-06-26 | 2025-06-30 | -0.59 | 5 |
| 2025-07-02 | 2025-07-02 | -0.39 | 1 |
| 2025-08-21 | 2025-08-25 | -0.39 | 5 |