| Metric | SPY | FSMMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 80.0% |
| Cumulative Return | 14.39% | 3.78% |
| CAGR﹪ | 14.51% | 3.81% |
| Sharpe | 0.83 | 0.04 |
| Prob. Sharpe Ratio | 79.61% | 51.55% |
| Smart Sharpe | 0.82 | 0.03 |
| Sortino | 1.22 | 0.05 |
| Smart Sortino | 1.2 | 0.04 |
| Sortino/√2 | 0.86 | 0.04 |
| Smart Sortino/√2 | 0.85 | 0.03 |
| Omega | 1.2 | 1.19 |
| Max Drawdown | -8.88% | -1.64% |
| Max DD Date | 2026-03-30 | 2026-09-24 |
| Max DD Period Start | 2026-01-28 | 2026-08-26 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 71 |
| Volatility (ann.) | 12.86% | 3.77% |
| R^2 | 0.25 | 0.25 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.63 | 2.33 |
| Skew | -0.02 | -0.55 |
| Kurtosis | 0.78 | 2.16 |
| Ulcer Performance Index | 6.68 | 6.63 |
| Risk-Adjusted Return | 14.51% | 4.76% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.74% | 0.22% |
| Avg. Loss | -0.8% | -0.27% |
| Win/Loss Ratio | 0.93 | 0.83 |
| Profit Ratio | 1.02 | 0.29 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.04% | 0.29% |
| Expected Yearly | 6.95% | 1.87% |
| Kelly Criterion | 0.45% | 7.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.38% |
| Expected Shortfall (cVaR) | -1.66% | -0.59% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.2 | 0.19 |
| Gain/Pain (1M) | 1.83 | 1.69 |
| Payoff Ratio | 0.93 | 0.83 |
| Profit Factor | 1.2 | 1.19 |
| Common Sense Ratio | 1.19 | 1.07 |
| CPC Index | 0.58 | 0.57 |
| Tail Ratio | 0.99 | 0.89 |
| Outlier Win Ratio | 2.84 | 3.76 |
| Outlier Loss Ratio | 3.01 | 3.2 |
| MTD | 1.47% | 0.09% |
| 3M | 1.46% | 0.0% |
| 6M | 6.94% | 0.53% |
| YTD | 13.33% | 3.25% |
| 1Y | 14.39% | 3.78% |
| 3Y (ann.) | 14.51% | 3.81% |
| 5Y (ann.) | 14.51% | 3.81% |
| 10Y (ann.) | 14.51% | 3.81% |
| All-time (ann.) | 14.51% | 3.81% |
| Best Day | 2.91% | 0.88% |
| Worst Day | -2.58% | -0.87% |
| Best Month | 10.51% | 1.88% |
| Worst Month | -4.94% | -0.87% |
| Best Year | 13.33% | 3.25% |
| Worst Year | 0.94% | 0.52% |
| Avg. Drawdown | -1.74% | -0.43% |
| Avg. Drawdown Days | 14 | 13 |
| Recovery Factor | 1.61 | 2.31 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 1.25 |
| Avg. Up Month | 2.8% | 0.73% |
| Avg. Down Month | -1.8% | -0.57% |
| Win Days | 52.0% | 58.08% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.15 |
| Alpha | - | 0.02 |
| Correlation | - | 49.65% |
| Treynor Ratio | - | 25.95% |
| Year | SPY | FSMMX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.52 | 0.55 | - |
| 2026 | 13.33 | 3.25 | 0.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-26 | 2026-11-04 | -1.64 | 71 |
| 2026-02-27 | 2026-04-01 | -1.42 | 34 |
| 2026-06-05 | 2026-08-06 | -1.21 | 63 |
| 2025-11-12 | 2025-11-25 | -0.61 | 14 |
| 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 |
| 2026-08-18 | 2026-08-24 | -0.35 | 7 |