| Metric | SPY | TFFI |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 13.39% | 6.58% |
| CAGR﹪ | 24.42% | 11.71% |
| Sharpe | 1.42 | 0.89 |
| Prob. Sharpe Ratio | 85.88% | 75.36% |
| Smart Sharpe | 1.41 | 0.83 |
| Sortino | 2.19 | 1.37 |
| Smart Sortino | 2.18 | 1.28 |
| Sortino/√2 | 1.55 | 0.97 |
| Smart Sortino/√2 | 1.54 | 0.91 |
| Omega | 1.31 | 1.24 |
| Max Drawdown | -8.58% | -4.23% |
| Max DD Date | 2026-03-30 | 2026-06-26 |
| Max DD Period Start | 2026-02-26 | 2026-05-18 |
| Max DD Period End | 2026-04-13 | 2026-08-27 |
| Longest DD Days | 59 | 102 |
| Volatility (ann.) | 13.65% | 8.98% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.85 | 2.77 |
| Skew | 0.09 | 0.67 |
| Kurtosis | 0.81 | 3.65 |
| Ulcer Performance Index | 5.47 | 3.91 |
| Risk-Adjusted Return | 24.42% | 11.82% |
| Risk-Return Ratio | 0.11 | 0.08 |
| Avg. Return | 0.08% | 0.05% |
| Avg. Win | 0.63% | 0.42% |
| Avg. Loss | -0.53% | -0.46% |
| Win/Loss Ratio | 1.18 | 0.9 |
| Profit Ratio | 1.15 | 0.82 |
| Expected Daily | 0.09% | 0.04% |
| Expected Monthly | 1.58% | 0.8% |
| Expected Yearly | 13.39% | 6.58% |
| Kelly Criterion | 10.92% | 4.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.32% | -0.88% |
| Expected Shortfall (cVaR) | -1.67% | -1.06% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.31 | 0.24 |
| Gain/Pain (1M) | 2.18 | 1.88 |
| Payoff Ratio | 1.18 | 0.9 |
| Profit Factor | 1.31 | 1.24 |
| Common Sense Ratio | 1.41 | 1.21 |
| CPC Index | 0.8 | 0.61 |
| Tail Ratio | 1.07 | 0.98 |
| Outlier Win Ratio | 3.04 | 2.99 |
| Outlier Loss Ratio | 2.94 | 2.6 |
| MTD | 1.08% | 3.86% |
| 3M | 3.82% | 7.28% |
| 6M | 19.85% | 8.33% |
| YTD | 13.39% | 6.58% |
| 1Y | 13.39% | 6.58% |
| 3Y (ann.) | 24.42% | 11.71% |
| 5Y (ann.) | 24.42% | 11.71% |
| 10Y (ann.) | 24.42% | 11.71% |
| All-time (ann.) | 24.42% | 11.71% |
| Best Day | 2.91% | 2.89% |
| Worst Day | -2.58% | -1.39% |
| Best Month | 10.51% | 3.86% |
| Worst Month | -4.94% | -2.31% |
| Best Year | 13.39% | 6.58% |
| Worst Year | 13.39% | 6.58% |
| Avg. Drawdown | -1.64% | -1.45% |
| Avg. Drawdown Days | 13 | 21 |
| Recovery Factor | 1.53 | 1.56 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.79 | 0.63 |
| Avg. Up Month | 3.57% | 2.53% |
| Avg. Down Month | -2.06% | -1.0% |
| Win Days | 51.72% | 54.55% |
| Win Month | 62.5% | 50.0% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.16 |
| Alpha | - | 0.15 |
| Correlation | - | -23.73% |
| Treynor Ratio | - | -42.15% |
| Year | SPY | TFFI | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.39 | 6.58 | 0.49 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-18 | 2026-08-27 | -4.23 | 102 |
| 2026-03-03 | 2026-04-28 | -2.49 | 57 |
| 2026-05-04 | 2026-05-14 | -1.63 | 11 |
| 2026-09-03 | 2026-09-08 | -1.34 | 6 |
| 2026-09-21 | 2026-09-22 | -0.87 | 2 |
| 2026-09-16 | 2026-09-17 | -0.84 | 2 |
| 2026-09-11 | 2026-09-14 | -0.82 | 4 |
| 2026-04-30 | 2026-04-30 | -0.62 | 1 |
| 2026-02-25 | 2026-02-27 | -0.18 | 3 |