| Metric | SPY | FTMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 6.48% | 1.59% |
| CAGR﹪ | 13.27% | 3.17% |
| Sharpe | 0.78 | -0.15 |
| Prob. Sharpe Ratio | 70.87% | 45.68% |
| Smart Sharpe | 0.75 | -0.12 |
| Sortino | 1.14 | -0.21 |
| Smart Sortino | 1.09 | -0.17 |
| Sortino/√2 | 0.8 | -0.15 |
| Smart Sortino/√2 | 0.77 | -0.12 |
| Omega | 1.19 | 1.21 |
| Max Drawdown | -4.49% | -0.81% |
| Max DD Date | 2026-06-10 | 2026-11-02 |
| Max DD Period Start | 2026-06-03 | 2026-10-08 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 28 |
| Volatility (ann.) | 12.4% | 2.63% |
| R^2 | 0.65 | 0.65 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.95 | 3.94 |
| Skew | -0.15 | -0.26 |
| Kurtosis | 0.59 | 0.19 |
| Ulcer Performance Index | 3.89 | 5.37 |
| Risk-Adjusted Return | 13.27% | 3.45% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.07% | 0.01% |
| Avg. Win | 0.71% | 0.15% |
| Avg. Loss | -0.68% | -0.16% |
| Win/Loss Ratio | 1.04 | 0.91 |
| Profit Ratio | 1.15 | 0.45 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 0.9% | 0.23% |
| Expected Yearly | 6.48% | 1.59% |
| Kelly Criterion | 2.79% | 12.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.26% |
| Expected Shortfall (cVaR) | -1.63% | -0.38% |
| Max Consecutive Wins | 4 | 8 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.19 | 0.21 |
| Gain/Pain (1M) | 3.26 | 4.56 |
| Payoff Ratio | 1.04 | 0.91 |
| Profit Factor | 1.19 | 1.21 |
| Common Sense Ratio | 1.47 | 1.21 |
| CPC Index | 0.62 | 0.64 |
| Tail Ratio | 1.23 | 1.0 |
| Outlier Win Ratio | 2.66 | 2.93 |
| Outlier Loss Ratio | 3.07 | 2.41 |
| MTD | 1.47% | 0.17% |
| 3M | 1.46% | 0.1% |
| 6M | 6.48% | 1.59% |
| YTD | 6.48% | 1.59% |
| 1Y | 6.48% | 1.59% |
| 3Y (ann.) | 13.27% | 3.17% |
| 5Y (ann.) | 13.27% | 3.17% |
| 10Y (ann.) | 13.27% | 3.17% |
| All-time (ann.) | 13.27% | 3.17% |
| Best Day | 1.8% | 0.48% |
| Worst Day | -2.58% | -0.47% |
| Best Month | 4.52% | 1.01% |
| Worst Month | -1.03% | -0.27% |
| Best Year | 6.48% | 1.59% |
| Worst Year | 6.48% | 1.59% |
| Avg. Drawdown | -1.57% | -0.36% |
| Avg. Drawdown Days | 17 | 11 |
| Recovery Factor | 1.48 | 1.97 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.91 | 1.36 |
| Avg. Up Month | 2.18% | 0.46% |
| Avg. Down Month | -0.62% | -0.18% |
| Win Days | 50.39% | 58.62% |
| Win Month | 57.14% | 71.43% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.17 |
| Alpha | - | 0.01 |
| Correlation | - | 80.82% |
| Treynor Ratio | - | 9.25% |
| Year | SPY | FTMAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 1.59 | 0.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-10-08 | 2026-11-04 | -0.81 | 28 |
| 2026-06-22 | 2026-07-09 | -0.67 | 18 |
| 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 |
| 2026-05-15 | 2026-05-19 | -0.25 | 5 |
| 2026-08-06 | 2026-08-06 | -0.17 | 1 |
| 2026-08-10 | 2026-08-12 | -0.17 | 3 |
| 2026-08-18 | 2026-08-26 | -0.17 | 9 |