| Metric | SPY | ASFCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 74.99% | 10.9% |
| CAGR﹪ | 11.91% | 2.1% |
| Sharpe | 0.52 | -0.06 |
| Prob. Sharpe Ratio | 87.6% | 44.73% |
| Smart Sharpe | 0.5 | -0.05 |
| Sortino | 0.74 | -0.08 |
| Smart Sortino | 0.72 | -0.07 |
| Sortino/√2 | 0.53 | -0.05 |
| Smart Sortino/√2 | 0.51 | -0.05 |
| Omega | 1.14 | 1.04 |
| 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 | 2026-11-04 |
| Longest DD Days | 708 | 1480 |
| Volatility (ann.) | 17.19% | 13.81% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.06 |
| Skew | 0.33 | -1.35 |
| Kurtosis | 8.98 | 8.82 |
| Ulcer Performance Index | 8.86 | 0.52 |
| Risk-Adjusted Return | 11.91% | 2.26% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.05% | 0.01% |
| Avg. Win | 0.7% | 0.61% |
| Avg. Loss | -0.74% | -0.8% |
| Win/Loss Ratio | 0.94 | 0.76 |
| Profit Ratio | 0.86 | 0.51 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.17% |
| Expected Yearly | 9.77% | 1.74% |
| Kelly Criterion | 3.88% | -3.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.42% |
| Expected Shortfall (cVaR) | -2.58% | -2.32% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.04 |
| Gain/Pain (1M) | 0.79 | 0.17 |
| Payoff Ratio | 0.94 | 0.76 |
| Profit Factor | 1.14 | 1.04 |
| Common Sense Ratio | 1.15 | 0.93 |
| CPC Index | 0.57 | 0.44 |
| Tail Ratio | 1.0 | 0.89 |
| Outlier Win Ratio | 3.4 | 3.62 |
| Outlier Loss Ratio | 3.8 | 3.49 |
| MTD | 1.47% | -3.79% |
| 3M | 1.46% | 3.42% |
| 6M | 6.94% | -0.0% |
| YTD | 13.33% | 12.61% |
| 1Y | 13.43% | 15.86% |
| 3Y (ann.) | 20.78% | -1.1% |
| 5Y (ann.) | 12.86% | 3.25% |
| 10Y (ann.) | 11.91% | 2.1% |
| All-time (ann.) | 11.91% | 2.1% |
| 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 | -1.94% | -6.0% |
| Avg. Drawdown Days | 21 | 125 |
| Recovery Factor | 2.58 | 0.4 |
| Ulcer Index | 0.08 | 0.21 |
| Serenity Index | 0.43 | 0.02 |
| Avg. Up Month | 3.21% | 2.73% |
| Avg. Down Month | -2.56% | -3.85% |
| Win Days | 53.48% | 55.16% |
| Win Month | 62.3% | 54.1% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 33.33% |
| Beta | - | 0.04 |
| Alpha | - | 0.02 |
| Correlation | - | 5.38% |
| Treynor Ratio | - | 252.02% |
| Year | SPY | ASFCX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -3.56 | -2.06 | - |
| 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 | 13.33 | 12.61 | 0.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-17 | 2026-11-04 | -38.01 | 1480 |
| 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 |
| 2022-04-25 | 2022-04-27 | -1.75 | 3 |
| 2021-11-17 | 2021-11-22 | -1.72 | 6 |