| Metric | SPY | FSMMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 80.0% |
| Cumulative Return | 17.87% | 4.78% |
| CAGR﹪ | 18.02% | 4.82% |
| Sharpe | 1.04 | 0.23 |
| Prob. Sharpe Ratio | 84.73% | 58.98% |
| Smart Sharpe | 1.01 | 0.18 |
| Sortino | 1.51 | 0.31 |
| Smart Sortino | 1.47 | 0.24 |
| Sortino/√2 | 1.07 | 0.22 |
| Smart Sortino/√2 | 1.04 | 0.17 |
| Omega | 1.25 | 1.27 |
| Max Drawdown | -8.88% | -1.42% |
| Max DD Date | 2026-03-30 | 2026-03-20 |
| Max DD Period Start | 2026-01-28 | 2026-02-27 |
| Max DD Period End | 2026-04-13 | 2026-04-01 |
| Longest DD Days | 76 | 63 |
| Volatility (ann.) | 12.99% | 3.49% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.03 | 3.39 |
| Skew | -0.15 | -0.62 |
| Kurtosis | 1.05 | 1.78 |
| Ulcer Performance Index | 8.3 | 10.45 |
| Risk-Adjusted Return | 18.02% | 6.02% |
| Risk-Return Ratio | 0.08 | 0.09 |
| Avg. Return | 0.11% | 0.02% |
| Avg. Win | 0.75% | 0.21% |
| Avg. Loss | -0.77% | -0.24% |
| Win/Loss Ratio | 0.97 | 0.87 |
| Profit Ratio | 0.94 | 0.31 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.27% | 0.36% |
| Expected Yearly | 8.57% | 2.36% |
| Kelly Criterion | 5.83% | 10.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.34% |
| Expected Shortfall (cVaR) | -1.72% | -0.51% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.27 |
| Gain/Pain (1M) | 2.6 | 2.26 |
| Payoff Ratio | 0.97 | 0.87 |
| Profit Factor | 1.25 | 1.27 |
| Common Sense Ratio | 1.24 | 1.28 |
| CPC Index | 0.65 | 0.64 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.88 | 3.58 |
| Outlier Loss Ratio | 3.19 | 3.05 |
| MTD | 1.08% | 0.0% |
| 3M | 3.82% | 0.61% |
| 6M | 19.85% | 4.24% |
| YTD | 14.3% | 4.24% |
| 1Y | 17.87% | 4.78% |
| 3Y (ann.) | 18.02% | 4.82% |
| 5Y (ann.) | 18.02% | 4.82% |
| 10Y (ann.) | 18.02% | 4.82% |
| All-time (ann.) | 18.02% | 4.82% |
| Best Day | 2.91% | 0.61% |
| Worst Day | -2.7% | -0.87% |
| Best Month | 10.51% | 1.88% |
| Worst Month | -4.94% | -0.87% |
| Best Year | 14.3% | 4.24% |
| Worst Year | 3.13% | 0.52% |
| Avg. Drawdown | -1.71% | -0.45% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | 1.94 | 3.32 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.16 | 2.2 |
| Avg. Up Month | 2.83% | 0.83% |
| Avg. Down Month | -2.98% | -0.61% |
| Win Days | 53.6% | 58.29% |
| Win Month | 76.92% | 75.0% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.13 |
| Alpha | - | 0.02 |
| Correlation | - | 48.61% |
| Treynor Ratio | - | 36.56% |
| Year | SPY | FSMMX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 0.52 | 0.17 | - |
| 2026 | 14.30 | 4.24 | 0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-27 | 2026-04-01 | -1.42 | 34 |
| 2026-08-26 | 2026-09-22 | -1.29 | 28 |
| 2026-06-05 | 2026-08-06 | -1.21 | 63 |
| 2025-09-24 | 2025-10-24 | -0.87 | 31 |
| 2025-10-29 | 2025-11-25 | -0.70 | 28 |
| 2026-04-21 | 2026-05-05 | -0.53 | 15 |
| 2025-12-11 | 2025-12-31 | -0.46 | 21 |
| 2026-05-19 | 2026-05-20 | -0.44 | 2 |
| 2026-08-10 | 2026-08-12 | -0.43 | 3 |
| 2025-12-05 | 2025-12-09 | -0.35 | 5 |