| Metric | SPY | ASFCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 204.97% | 36.25% |
| CAGR﹪ | 16.25% | 4.27% |
| Sharpe | 0.72 | 0.17 |
| Prob. Sharpe Ratio | 97.45% | 67.28% |
| Smart Sharpe | 0.63 | 0.16 |
| Sortino | 1.02 | 0.22 |
| Smart Sortino | 0.88 | 0.2 |
| Sortino/√2 | 0.72 | 0.15 |
| Smart Sortino/√2 | 0.62 | 0.14 |
| Omega | 1.18 | 1.07 |
| Max Drawdown | -33.72% | -38.01% |
| Max DD Date | 2020-03-23 | 2025-05-14 |
| Max DD Period Start | 2020-02-20 | 2022-10-17 |
| Max DD Period End | 2020-08-07 | 2026-11-04 |
| Longest DD Days | 708 | 1480 |
| Volatility (ann.) | 19.45% | 13.03% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.11 |
| Skew | -0.29 | -1.2 |
| Kurtosis | 13.94 | 7.82 |
| Ulcer Performance Index | 25.91 | 2.09 |
| Risk-Adjusted Return | 16.25% | 4.59% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.71% | 0.59% |
| Avg. Loss | -0.77% | -0.76% |
| Win/Loss Ratio | 0.92 | 0.77 |
| Profit Ratio | 0.78 | 0.51 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.34% |
| Expected Yearly | 14.96% | 3.94% |
| Kelly Criterion | 6.48% | -1.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.33% |
| Expected Shortfall (cVaR) | -3.2% | -2.05% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.07 |
| Gain/Pain (1M) | 1.15 | 0.33 |
| Payoff Ratio | 0.92 | 0.77 |
| Profit Factor | 1.18 | 1.07 |
| Common Sense Ratio | 1.13 | 0.95 |
| CPC Index | 0.6 | 0.46 |
| Tail Ratio | 0.96 | 0.89 |
| Outlier Win Ratio | 3.69 | 3.7 |
| Outlier Loss Ratio | 4.12 | 3.08 |
| 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.) | 16.25% | 4.27% |
| All-time (ann.) | 16.25% | 4.27% |
| Best Day | 10.5% | 3.46% |
| Worst Day | -10.94% | -7.14% |
| Best Month | 12.7% | 11.29% |
| Worst Month | -12.49% | -9.93% |
| Best Year | 28.73% | 34.27% |
| Worst Year | -18.18% | -11.24% |
| Avg. Drawdown | -1.79% | -3.74% |
| Avg. Drawdown Days | 16 | 71 |
| Recovery Factor | 3.72 | 0.98 |
| Ulcer Index | 0.08 | 0.17 |
| Serenity Index | 1.03 | 0.05 |
| Avg. Up Month | 3.78% | 2.66% |
| Avg. Down Month | -2.54% | -3.3% |
| Win Days | 55.15% | 55.71% |
| Win Month | 65.56% | 54.44% |
| Win Quarter | 77.42% | 58.06% |
| Win Year | 87.5% | 62.5% |
| Beta | - | 0.04 |
| Alpha | - | 0.04 |
| Correlation | - | 6.31% |
| Treynor Ratio | - | 857.37% |
| Year | SPY | ASFCX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.72 | 0.17 | - |
| 2020 | 18.33 | 12.48 | 0.68 | - |
| 2021 | 28.73 | 2.54 | 0.09 | - |
| 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 |
| 2019-09-04 | 2020-03-20 | -9.62 | 199 |
| 2020-04-22 | 2020-08-05 | -9.01 | 106 |
| 2021-06-09 | 2022-02-09 | -8.98 | 246 |
| 2022-05-09 | 2022-06-08 | -5.75 | 31 |
| 2020-08-07 | 2020-12-02 | -5.54 | 118 |
| 2022-09-28 | 2022-10-13 | -4.68 | 16 |
| 2021-02-25 | 2021-04-23 | -3.99 | 58 |
| 2019-07-05 | 2019-07-31 | -3.45 | 27 |