| Metric | SPY | TFFI |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 12.43% | 4.3% |
| CAGR﹪ | 18.27% | 6.22% |
| Sharpe | 1.08 | 0.34 |
| Prob. Sharpe Ratio | 81.68% | 61.36% |
| Smart Sharpe | 1.07 | 0.32 |
| Sortino | 1.63 | 0.52 |
| Smart Sortino | 1.61 | 0.49 |
| Sortino/√2 | 1.15 | 0.37 |
| Smart Sortino/√2 | 1.14 | 0.35 |
| Omega | 1.24 | 1.13 |
| Max Drawdown | -8.58% | -4.5% |
| Max DD Date | 2026-03-30 | 2026-11-04 |
| Max DD Period Start | 2026-02-26 | 2026-09-29 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 59 | 102 |
| Volatility (ann.) | 13.27% | 9.11% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.13 | 1.38 |
| Skew | 0.07 | 0.76 |
| Kurtosis | 0.82 | 3.68 |
| Ulcer Performance Index | 5.37 | 2.37 |
| Risk-Adjusted Return | 18.27% | 6.28% |
| Risk-Return Ratio | 0.08 | 0.04 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.61% | 0.4% |
| Avg. Loss | -0.58% | -0.46% |
| Win/Loss Ratio | 1.06 | 0.87 |
| Profit Ratio | 1.13 | 0.86 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.18% | 0.42% |
| Expected Yearly | 12.43% | 4.3% |
| Kelly Criterion | 4.89% | -1.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.3% | -0.92% |
| Expected Shortfall (cVaR) | -1.64% | -1.08% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.24 | 0.13 |
| Gain/Pain (1M) | 1.72 | 0.59 |
| Payoff Ratio | 1.06 | 0.87 |
| Profit Factor | 1.24 | 1.13 |
| Common Sense Ratio | 1.29 | 1.04 |
| CPC Index | 0.67 | 0.52 |
| Tail Ratio | 1.04 | 0.92 |
| Outlier Win Ratio | 2.83 | 3.85 |
| Outlier Loss Ratio | 3.0 | 2.67 |
| MTD | 1.47% | -0.73% |
| 3M | 1.46% | 3.65% |
| 6M | 6.94% | 3.36% |
| YTD | 12.43% | 4.3% |
| 1Y | 12.43% | 4.3% |
| 3Y (ann.) | 18.27% | 6.22% |
| 5Y (ann.) | 18.27% | 6.22% |
| 10Y (ann.) | 18.27% | 6.22% |
| All-time (ann.) | 18.27% | 6.22% |
| Best Day | 2.91% | 2.89% |
| Worst Day | -2.58% | -1.39% |
| Best Month | 10.51% | 5.98% |
| Worst Month | -4.94% | -3.38% |
| Best Year | 12.43% | 4.3% |
| Worst Year | 12.43% | 4.3% |
| Avg. Drawdown | -1.77% | -1.62% |
| Avg. Drawdown Days | 15 | 21 |
| Recovery Factor | 1.44 | 1.0 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.8 | 0.37 |
| Avg. Up Month | 4.41% | 2.08% |
| Avg. Down Month | -1.77% | -1.59% |
| Win Days | 51.14% | 52.87% |
| Win Month | 50.0% | 40.0% |
| Win Quarter | 75.0% | 50.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.13 |
| Alpha | - | 0.09 |
| Correlation | - | -19.62% |
| Treynor Ratio | - | -31.94% |
| Year | SPY | TFFI | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 12.43 | 4.30 | 0.35 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-29 | 2026-11-04 | -4.50 | 37 |
| 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 |
| 2026-09-25 | 2026-09-25 | -0.34 | 1 |