| Metric | SPY | ASMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 16.12% |
| CAGR﹪ | 18.02% | 16.26% |
| Sharpe | 1.04 | 0.99 |
| Prob. Sharpe Ratio | 84.73% | 83.49% |
| Smart Sharpe | 1.01 | 0.86 |
| Sortino | 1.51 | 1.41 |
| Smart Sortino | 1.47 | 1.22 |
| Sortino/√2 | 1.07 | 1.0 |
| Smart Sortino/√2 | 1.04 | 0.86 |
| Omega | 1.25 | 1.25 |
| Max Drawdown | -8.88% | -5.02% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-05-11 |
| Longest DD Days | 76 | 113 |
| Volatility (ann.) | 12.99% | 11.93% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.03 | 3.24 |
| Skew | -0.15 | -0.36 |
| Kurtosis | 1.05 | 1.78 |
| Ulcer Performance Index | 8.3 | 6.99 |
| Risk-Adjusted Return | 18.02% | 16.26% |
| Risk-Return Ratio | 0.08 | 0.08 |
| Avg. Return | 0.07% | 0.06% |
| Avg. Win | 0.67% | 0.62% |
| Avg. Loss | -0.72% | -0.69% |
| Win/Loss Ratio | 0.93 | 0.89 |
| Profit Ratio | 0.94 | 0.79 |
| Expected Daily | 0.07% | 0.06% |
| Expected Monthly | 1.27% | 1.16% |
| Expected Yearly | 8.57% | 7.76% |
| Kelly Criterion | 3.7% | 5.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.17% |
| Expected Shortfall (cVaR) | -1.72% | -1.96% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | 0.25 |
| Gain/Pain (1M) | 2.6 | 3.5 |
| Payoff Ratio | 0.93 | 0.89 |
| Profit Factor | 1.25 | 1.25 |
| Common Sense Ratio | 1.24 | 1.39 |
| CPC Index | 0.62 | 0.62 |
| Tail Ratio | 0.99 | 1.11 |
| Outlier Win Ratio | 2.88 | 2.94 |
| Outlier Loss Ratio | 3.19 | 3.78 |
| MTD | 1.08% | 2.35% |
| 3M | 3.82% | 3.12% |
| 6M | 19.85% | 6.54% |
| YTD | 14.3% | 11.97% |
| 1Y | 17.87% | 16.12% |
| 3Y (ann.) | 18.02% | 16.26% |
| 5Y (ann.) | 18.02% | 16.26% |
| 10Y (ann.) | 18.02% | 16.26% |
| All-time (ann.) | 18.02% | 16.26% |
| Best Day | 2.91% | 2.99% |
| Worst Day | -2.7% | -2.67% |
| Best Month | 10.51% | 5.63% |
| Worst Month | -4.94% | -4.12% |
| Best Year | 14.3% | 11.97% |
| Worst Year | 3.13% | 3.71% |
| Avg. Drawdown | -1.71% | -1.37% |
| Avg. Drawdown Days | 13 | 16 |
| Recovery Factor | 1.94 | 3.12 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 1.15 |
| Avg. Up Month | 2.41% | 1.43% |
| Avg. Down Month | -2.98% | -2.28% |
| Win Days | 53.6% | 55.6% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.39 |
| Alpha | - | 0.09 |
| Correlation | - | 42.88% |
| Treynor Ratio | - | 40.94% |
| Year | SPY | ASMF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 3.71 | 1.19 | + |
| 2026 | 14.30 | 11.97 | 0.84 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-05-11 | -5.02 | 71 |
| 2026-05-20 | 2026-09-09 | -4.16 | 113 |
| 2025-10-09 | 2025-12-10 | -3.52 | 63 |
| 2026-01-30 | 2026-02-06 | -3.12 | 8 |
| 2026-02-12 | 2026-02-23 | -2.19 | 12 |
| 2026-01-13 | 2026-01-21 | -1.68 | 9 |
| 2025-12-29 | 2026-01-02 | -1.24 | 5 |
| 2026-01-07 | 2026-01-09 | -1.05 | 3 |
| 2025-12-12 | 2025-12-18 | -1.04 | 7 |
| 2025-09-24 | 2025-09-26 | -0.82 | 3 |