| Metric | SPY | FTMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 9.87% | 2.47% |
| CAGR﹪ | 10.13% | 2.53% |
| Sharpe | 0.53 | -0.47 |
| Prob. Sharpe Ratio | 70.05% | 32.07% |
| Smart Sharpe | 0.52 | -0.4 |
| Sortino | 0.77 | -0.63 |
| Smart Sortino | 0.75 | -0.53 |
| Sortino/√2 | 0.54 | -0.45 |
| Smart Sortino/√2 | 0.53 | -0.38 |
| Omega | 1.14 | 1.19 |
| Max Drawdown | -11.03% | -1.48% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-01-28 | 2026-02-04 |
| Max DD Period End | 2026-04-21 | 2026-05-05 |
| Longest DD Days | 84 | 91 |
| Volatility (ann.) | 12.73% | 2.41% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.92 | 1.71 |
| Skew | -0.04 | -0.17 |
| Kurtosis | 0.83 | 0.38 |
| Ulcer Performance Index | 3.39 | 5.47 |
| Risk-Adjusted Return | 10.13% | 2.84% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.04% | 0.01% |
| Avg. Win | 0.69% | 0.13% |
| Avg. Loss | -0.74% | -0.15% |
| Win/Loss Ratio | 0.94 | 0.87 |
| Profit Ratio | 1.04 | 0.41 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.73% | 0.19% |
| Expected Yearly | 4.82% | 1.23% |
| Kelly Criterion | -0.95% | 10.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.24% |
| Expected Shortfall (cVaR) | -1.66% | -0.32% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.19 |
| Gain/Pain (1M) | 0.94 | 1.51 |
| Payoff Ratio | 0.94 | 0.87 |
| Profit Factor | 1.14 | 1.19 |
| Common Sense Ratio | 0.98 | 1.21 |
| CPC Index | 0.55 | 0.6 |
| Tail Ratio | 0.85 | 1.02 |
| Outlier Win Ratio | 2.77 | 3.35 |
| Outlier Loss Ratio | 3.01 | 2.59 |
| MTD | 1.47% | 0.17% |
| 3M | 1.46% | 0.1% |
| 6M | 6.94% | 1.63% |
| YTD | 10.66% | 2.2% |
| 1Y | 9.87% | 2.47% |
| 3Y (ann.) | 10.13% | 2.53% |
| 5Y (ann.) | 10.13% | 2.53% |
| 10Y (ann.) | 10.13% | 2.53% |
| All-time (ann.) | 10.13% | 2.53% |
| Best Day | 2.91% | 0.48% |
| Worst Day | -2.58% | -0.47% |
| Best Month | 10.51% | 1.22% |
| Worst Month | -4.94% | -1.23% |
| Best Year | 10.66% | 2.2% |
| Worst Year | -0.71% | 0.26% |
| Avg. Drawdown | -2.13% | -0.39% |
| Avg. Drawdown Days | 18 | 12 |
| Recovery Factor | 0.93 | 1.67 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.36 | 0.68 |
| Avg. Up Month | 3.07% | 0.57% |
| Avg. Down Month | -2.03% | -0.33% |
| Win Days | 51.22% | 58.26% |
| Win Month | 53.85% | 61.54% |
| Win Quarter | 60.0% | 80.0% |
| Win Year | 50.0% | 100.0% |
| Beta | - | 0.14 |
| Alpha | - | 0.01 |
| Correlation | - | 75.92% |
| Treynor Ratio | - | 17.13% |
| Year | SPY | FTMAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -0.71 | 0.26 | -0.37 | + |
| 2026 | 10.66 | 2.20 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-04 | 2026-05-05 | -1.48 | 91 |
| 2026-10-08 | 2026-11-04 | -0.81 | 28 |
| 2025-11-06 | 2025-12-03 | -0.79 | 28 |
| 2026-06-22 | 2026-07-02 | -0.67 | 11 |
| 2026-09-23 | 2026-10-06 | -0.64 | 14 |
| 2026-06-03 | 2026-06-17 | -0.63 | 15 |
| 2026-07-16 | 2026-07-31 | -0.56 | 16 |
| 2026-08-28 | 2026-09-21 | -0.46 | 25 |
| 2025-12-16 | 2025-12-19 | -0.42 | 4 |
| 2026-01-14 | 2026-01-22 | -0.37 | 9 |