| Metric | SPY | ASFCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 86.58% | 17.41% |
| CAGR﹪ | 13.36% | 3.28% |
| Sharpe | 0.59 | 0.03 |
| Prob. Sharpe Ratio | 90.85% | 52.48% |
| Smart Sharpe | 0.58 | 0.03 |
| Sortino | 0.86 | 0.04 |
| Smart Sortino | 0.83 | 0.03 |
| Sortino/√2 | 0.61 | 0.03 |
| Smart Sortino/√2 | 0.59 | 0.02 |
| Omega | 1.16 | 1.06 |
| Max Drawdown | -24.5% | -38.01% |
| Max DD Date | 2022-10-12 | 2025-05-14 |
| Max DD Period Start | 2022-01-04 | 2022-10-17 |
| Max DD Period End | 2023-12-12 | 2026-09-22 |
| Longest DD Days | 708 | 1437 |
| Volatility (ann.) | 17.2% | 13.76% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.09 |
| Skew | 0.32 | -1.35 |
| Kurtosis | 8.95 | 8.97 |
| Ulcer Performance Index | 10.24 | 0.84 |
| Risk-Adjusted Return | 13.36% | 3.53% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.7% | 0.61% |
| Avg. Loss | -0.75% | -0.8% |
| Win/Loss Ratio | 0.93 | 0.76 |
| Profit Ratio | 0.83 | 0.51 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.26% |
| Expected Yearly | 10.95% | 2.71% |
| Kelly Criterion | 4.65% | -3.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.41% |
| Expected Shortfall (cVaR) | -2.58% | -2.31% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.16 | 0.06 |
| Gain/Pain (1M) | 0.87 | 0.23 |
| Payoff Ratio | 0.93 | 0.76 |
| Profit Factor | 1.16 | 1.06 |
| Common Sense Ratio | 1.17 | 0.96 |
| CPC Index | 0.58 | 0.45 |
| Tail Ratio | 1.01 | 0.9 |
| Outlier Win Ratio | 3.41 | 3.62 |
| Outlier Loss Ratio | 3.77 | 3.49 |
| MTD | 1.08% | 3.78% |
| 3M | 3.82% | 6.6% |
| 6M | 19.85% | 11.35% |
| YTD | 14.3% | 18.05% |
| 1Y | 17.78% | 24.17% |
| 3Y (ann.) | 24.86% | -2.41% |
| 5Y (ann.) | 13.06% | 2.86% |
| 10Y (ann.) | 13.36% | 3.28% |
| All-time (ann.) | 13.36% | 3.28% |
| Best Day | 10.5% | 3.46% |
| Worst Day | -5.85% | -7.14% |
| Best Month | 10.51% | 11.29% |
| Worst Month | -9.24% | -9.93% |
| Best Year | 26.18% | 34.27% |
| Worst Year | -18.18% | -11.24% |
| Avg. Drawdown | -1.89% | -4.74% |
| Avg. Drawdown Days | 20 | 92 |
| Recovery Factor | 2.85 | 0.55 |
| Ulcer Index | 0.08 | 0.21 |
| Serenity Index | 0.47 | 0.02 |
| Avg. Up Month | 3.29% | 2.83% |
| Avg. Down Month | -2.59% | -3.92% |
| Win Days | 54.04% | 55.37% |
| Win Month | 63.93% | 55.74% |
| Win Quarter | 66.67% | 52.38% |
| Win Year | 83.33% | 33.33% |
| Beta | - | 0.05 |
| Alpha | - | 0.03 |
| Correlation | - | 6.28% |
| Treynor Ratio | - | 346.38% |
| Year | SPY | ASFCX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -2.61 | -0.35 | - |
| 2022 | -18.18 | 34.27 | -1.89 | + |
| 2023 | 26.18 | -11.24 | -0.43 | - |
| 2024 | 24.89 | -4.25 | -0.17 | - |
| 2025 | 17.72 | -10.51 | -0.59 | - |
| 2026 | 14.30 | 18.05 | 1.26 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-17 | 2026-09-22 | -38.01 | 1437 |
| 2022-06-15 | 2022-09-23 | -12.59 | 101 |
| 2021-11-26 | 2022-02-09 | -8.29 | 76 |
| 2022-05-09 | 2022-06-08 | -5.75 | 31 |
| 2022-09-28 | 2022-10-13 | -4.68 | 16 |
| 2022-03-09 | 2022-03-21 | -3.45 | 13 |
| 2022-02-15 | 2022-03-01 | -2.85 | 15 |
| 2022-03-28 | 2022-04-04 | -2.82 | 8 |
| 2021-09-28 | 2021-10-08 | -2.36 | 11 |
| 2021-11-02 | 2021-11-15 | -1.92 | 14 |