| Metric | SPY | FTMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 13.22% | 2.86% |
| CAGR﹪ | 13.56% | 2.93% |
| Sharpe | 0.74 | -0.44 |
| Prob. Sharpe Ratio | 76.77% | 33.11% |
| Smart Sharpe | 0.73 | -0.4 |
| Sortino | 1.06 | -0.59 |
| Smart Sortino | 1.05 | -0.53 |
| Sortino/√2 | 0.75 | -0.42 |
| Smart Sortino/√2 | 0.74 | -0.37 |
| Omega | 1.19 | 1.22 |
| Max Drawdown | -11.19% | -1.48% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2025-10-30 | 2026-02-04 |
| Max DD Period End | 2026-04-23 | 2026-05-05 |
| Longest DD Days | 176 | 91 |
| Volatility (ann.) | 12.86% | 2.38% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.21 | 1.98 |
| Skew | -0.18 | -0.27 |
| Kurtosis | 1.1 | 0.66 |
| Ulcer Performance Index | 4.28 | 5.79 |
| Risk-Adjusted Return | 13.56% | 3.29% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.7% | 0.13% |
| Avg. Loss | -0.76% | -0.14% |
| Win/Loss Ratio | 0.92 | 0.92 |
| Profit Ratio | 0.95 | 0.39 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 0.96% | 0.22% |
| Expected Yearly | 6.4% | 1.42% |
| Kelly Criterion | 1.66% | 14.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.24% |
| Expected Shortfall (cVaR) | -1.72% | -0.34% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.19 | 0.22 |
| Gain/Pain (1M) | 1.27 | 1.56 |
| Payoff Ratio | 0.92 | 0.92 |
| Profit Factor | 1.19 | 1.22 |
| Common Sense Ratio | 1.02 | 1.18 |
| CPC Index | 0.58 | 0.66 |
| Tail Ratio | 0.85 | 0.97 |
| Outlier Win Ratio | 2.81 | 3.44 |
| Outlier Loss Ratio | 3.21 | 2.67 |
| MTD | 1.08% | 0.37% |
| 3M | 3.82% | -0.1% |
| 6M | 19.85% | 2.46% |
| YTD | 11.61% | 1.75% |
| 1Y | 13.22% | 2.86% |
| 3Y (ann.) | 13.56% | 2.93% |
| 5Y (ann.) | 13.56% | 2.93% |
| 10Y (ann.) | 13.56% | 2.93% |
| All-time (ann.) | 13.56% | 2.93% |
| Best Day | 2.91% | 0.48% |
| Worst Day | -2.7% | -0.42% |
| Best Month | 10.51% | 1.22% |
| Worst Month | -4.94% | -1.23% |
| Best Year | 11.61% | 1.75% |
| Worst Year | 1.44% | 1.09% |
| Avg. Drawdown | -1.79% | -0.42% |
| Avg. Drawdown Days | 21 | 14 |
| Recovery Factor | 1.18 | 1.92 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.44 | 0.72 |
| Avg. Up Month | 2.99% | 0.57% |
| Avg. Down Month | -3.19% | -0.47% |
| Win Days | 52.85% | 58.99% |
| Win Month | 69.23% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.14 |
| Alpha | - | 0.01 |
| Correlation | - | 75.03% |
| Treynor Ratio | - | 20.56% |
| Year | SPY | FTMAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.44 | 1.09 | 0.76 | - |
| 2026 | 11.61 | 1.75 | 0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-04 | 2026-05-05 | -1.48 | 91 |
| 2025-10-29 | 2025-12-22 | -1.08 | 55 |
| 2026-07-16 | 2026-08-06 | -1.05 | 22 |
| 2026-08-18 | 2026-09-22 | -0.80 | 36 |
| 2026-06-22 | 2026-07-02 | -0.67 | 11 |
| 2026-06-03 | 2026-06-17 | -0.63 | 15 |
| 2026-01-14 | 2026-01-22 | -0.37 | 9 |
| 2025-10-10 | 2025-10-17 | -0.37 | 8 |
| 2025-12-29 | 2026-01-02 | -0.29 | 5 |
| 2026-05-15 | 2026-05-19 | -0.25 | 5 |