| Metric | SPY | ASMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 12.87% |
| CAGR﹪ | 14.51% | 12.98% |
| Sharpe | 0.83 | 0.78 |
| Prob. Sharpe Ratio | 79.61% | 77.88% |
| Smart Sharpe | 0.82 | 0.7 |
| Sortino | 1.22 | 1.1 |
| Smart Sortino | 1.2 | 0.98 |
| Sortino/√2 | 0.86 | 0.78 |
| Smart Sortino/√2 | 0.85 | 0.7 |
| Omega | 1.2 | 1.2 |
| Max Drawdown | -8.88% | -5.26% |
| Max DD Date | 2026-03-30 | 2026-11-04 |
| Max DD Period Start | 2026-01-28 | 2026-10-13 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 113 |
| Volatility (ann.) | 12.86% | 11.88% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.63 | 2.47 |
| Skew | -0.02 | -0.32 |
| Kurtosis | 0.78 | 1.69 |
| Ulcer Performance Index | 6.68 | 5.49 |
| Risk-Adjusted Return | 14.51% | 12.98% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.67% | 0.6% |
| Avg. Loss | -0.72% | -0.67% |
| Win/Loss Ratio | 0.92 | 0.9 |
| Profit Ratio | 1.02 | 0.82 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.04% | 0.94% |
| Expected Yearly | 6.95% | 6.24% |
| Kelly Criterion | -0.15% | 4.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.18% |
| Expected Shortfall (cVaR) | -1.66% | -1.88% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.2 | 0.2 |
| Gain/Pain (1M) | 1.83 | 1.43 |
| Payoff Ratio | 0.92 | 0.9 |
| Profit Factor | 1.2 | 1.2 |
| Common Sense Ratio | 1.19 | 1.3 |
| CPC Index | 0.57 | 0.59 |
| Tail Ratio | 0.99 | 1.08 |
| Outlier Win Ratio | 2.84 | 2.91 |
| Outlier Loss Ratio | 3.01 | 3.61 |
| MTD | 1.47% | -2.05% |
| 3M | 1.46% | 2.56% |
| 6M | 6.94% | 1.51% |
| YTD | 13.33% | 9.31% |
| 1Y | 14.39% | 12.87% |
| 3Y (ann.) | 14.51% | 12.98% |
| 5Y (ann.) | 14.51% | 12.98% |
| 10Y (ann.) | 14.51% | 12.98% |
| All-time (ann.) | 14.51% | 12.98% |
| Best Day | 2.91% | 2.99% |
| Worst Day | -2.58% | -2.67% |
| Best Month | 10.51% | 5.63% |
| Worst Month | -4.94% | -4.12% |
| Best Year | 13.33% | 9.31% |
| Worst Year | 0.94% | 3.26% |
| Avg. Drawdown | -1.74% | -1.38% |
| Avg. Drawdown Days | 14 | 12 |
| Recovery Factor | 1.61 | 2.44 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 0.88 |
| Avg. Up Month | 2.98% | 1.64% |
| Avg. Down Month | -2.29% | -2.34% |
| Win Days | 52.0% | 54.8% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.34 |
| Alpha | - | 0.08 |
| Correlation | - | 36.33% |
| Treynor Ratio | - | 38.35% |
| Year | SPY | ASMF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 3.26 | 3.48 | + |
| 2026 | 13.33 | 9.31 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-10-13 | 2026-11-04 | -5.26 | 23 |
| 2026-03-02 | 2026-05-11 | -5.02 | 71 |
| 2026-05-20 | 2026-09-09 | -4.16 | 113 |
| 2026-01-30 | 2026-02-06 | -3.12 | 8 |
| 2025-11-13 | 2025-11-26 | -2.77 | 14 |
| 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 |