| Metric | SPY | FSMMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 18.6% | 3.86% |
| CAGR﹪ | 40.67% | 7.88% |
| Sharpe | 2.32 | 0.99 |
| Prob. Sharpe Ratio | 95.04% | 75.32% |
| Smart Sharpe | 2.3 | 0.7 |
| Sortino | 3.78 | 1.37 |
| Smart Sortino | 3.75 | 0.97 |
| Sortino/√2 | 2.67 | 0.97 |
| Smart Sortino/√2 | 2.65 | 0.69 |
| Omega | 1.54 | 1.36 |
| Max Drawdown | -4.49% | -1.29% |
| Max DD Date | 2026-06-10 | 2026-09-14 |
| Max DD Period Start | 2026-06-03 | 2026-08-26 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 63 |
| Volatility (ann.) | 13.55% | 4.11% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.15 | -0.15 |
| Calmar | 9.05 | 6.09 |
| Skew | 0.1 | -0.58 |
| Kurtosis | 1.12 | 0.85 |
| Ulcer Performance Index | 11.86 | 8.04 |
| Risk-Adjusted Return | 40.67% | 9.05% |
| Risk-Return Ratio | 0.16 | 0.12 |
| Avg. Return | 0.15% | 0.04% |
| Avg. Win | 0.79% | 0.24% |
| Avg. Loss | -0.72% | -0.28% |
| Win/Loss Ratio | 1.1 | 0.86 |
| Profit Ratio | 1.12 | 0.36 |
| Expected Daily | 0.14% | 0.03% |
| Expected Monthly | 2.47% | 0.54% |
| Expected Yearly | 18.6% | 3.86% |
| Kelly Criterion | 12.21% | 14.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.4% |
| Expected Shortfall (cVaR) | -1.77% | -0.55% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.54 | 0.36 |
| Gain/Pain (1M) | 10.92 | 4.95 |
| Payoff Ratio | 1.1 | 0.86 |
| Profit Factor | 1.54 | 1.36 |
| Common Sense Ratio | 2.01 | 1.36 |
| CPC Index | 0.92 | 0.7 |
| Tail Ratio | 1.3 | 1.0 |
| Outlier Win Ratio | 3.21 | 3.0 |
| Outlier Loss Ratio | 3.16 | 2.71 |
| MTD | 1.08% | 0.0% |
| 3M | 3.82% | 0.61% |
| 6M | 18.6% | 3.86% |
| YTD | 18.6% | 3.86% |
| 1Y | 18.6% | 3.86% |
| 3Y (ann.) | 40.67% | 7.88% |
| 5Y (ann.) | 40.67% | 7.88% |
| 10Y (ann.) | 40.67% | 7.88% |
| All-time (ann.) | 40.67% | 7.88% |
| Best Day | 2.91% | 0.61% |
| Worst Day | -2.58% | -0.87% |
| Best Month | 10.51% | 1.88% |
| Worst Month | -1.03% | -0.78% |
| Best Year | 18.6% | 3.86% |
| Worst Year | 18.6% | 3.86% |
| Avg. Drawdown | -1.13% | -0.41% |
| Avg. Drawdown Days | 9 | 10 |
| Recovery Factor | 3.9 | 2.96 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.75 | 1.92 |
| Avg. Up Month | 4.62% | 1.04% |
| Avg. Down Month | -1.03% | -0.78% |
| Win Days | 53.97% | 60.55% |
| Win Month | 71.43% | 83.33% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.16 |
| Alpha | - | 0.02 |
| Correlation | - | 54.15% |
| Treynor Ratio | - | 23.51% |
| Year | SPY | FSMMX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 3.86 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-26 | 2026-09-22 | -1.29 | 28 |
| 2026-06-05 | 2026-08-06 | -1.21 | 63 |
| 2026-04-21 | 2026-05-05 | -0.53 | 15 |
| 2026-05-19 | 2026-05-20 | -0.44 | 2 |
| 2026-08-10 | 2026-08-12 | -0.43 | 3 |
| 2026-08-18 | 2026-08-24 | -0.35 | 7 |
| 2026-03-26 | 2026-03-27 | -0.27 | 2 |
| 2026-05-22 | 2026-05-27 | -0.26 | 6 |
| 2026-04-15 | 2026-04-16 | -0.18 | 2 |
| 2026-05-14 | 2026-05-15 | -0.17 | 2 |