| Metric | SPY | ASMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 50.6% | 9.23% |
| CAGR﹪ | 19.18% | 3.86% |
| Sharpe | 0.88 | -0.02 |
| Prob. Sharpe Ratio | 91.55% | 48.84% |
| Smart Sharpe | 0.81 | -0.02 |
| Sortino | 1.3 | -0.03 |
| Smart Sortino | 1.19 | -0.02 |
| Sortino/√2 | 0.92 | -0.02 |
| Smart Sortino/√2 | 0.84 | -0.02 |
| Omega | 1.25 | 1.07 |
| Max Drawdown | -18.76% | -15.31% |
| Max DD Date | 2025-04-08 | 2025-04-08 |
| Max DD Period Start | 2025-02-20 | 2024-07-11 |
| Max DD Period End | 2025-06-25 | 2026-02-06 |
| Longest DD Days | 126 | 576 |
| Volatility (ann.) | 16.17% | 10.88% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.02 | 0.25 |
| Skew | 1.02 | -0.44 |
| Kurtosis | 21.63 | 2.12 |
| Ulcer Performance Index | 14.28 | 1.13 |
| Risk-Adjusted Return | 19.18% | 3.86% |
| Risk-Return Ratio | 0.07 | 0.03 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.69% | 0.53% |
| Avg. Loss | -0.84% | -0.67% |
| Win/Loss Ratio | 0.82 | 0.79 |
| Profit Ratio | 0.73 | 0.7 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.42% | 0.3% |
| Expected Yearly | 14.62% | 2.99% |
| Kelly Criterion | 3.61% | -1.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.6% | -1.11% |
| Expected Shortfall (cVaR) | -2.45% | -1.71% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.25 | 0.07 |
| Gain/Pain (1M) | 2.61 | 0.45 |
| Payoff Ratio | 0.82 | 0.79 |
| Profit Factor | 1.25 | 1.07 |
| Common Sense Ratio | 1.23 | 1.0 |
| CPC Index | 0.58 | 0.47 |
| Tail Ratio | 0.98 | 0.94 |
| Outlier Win Ratio | 3.53 | 3.29 |
| Outlier Loss Ratio | 3.86 | 3.79 |
| MTD | 1.08% | 2.35% |
| 3M | 3.82% | 3.12% |
| 6M | 19.85% | 6.54% |
| YTD | 14.3% | 11.97% |
| 1Y | 17.78% | 16.61% |
| 3Y (ann.) | 19.18% | 3.86% |
| 5Y (ann.) | 19.18% | 3.86% |
| 10Y (ann.) | 19.18% | 3.86% |
| All-time (ann.) | 19.18% | 3.86% |
| Best Day | 10.5% | 2.99% |
| Worst Day | -5.85% | -2.79% |
| Best Month | 10.51% | 5.63% |
| Worst Month | -5.57% | -4.76% |
| Best Year | 17.72% | 11.97% |
| Worst Year | 11.93% | -3.56% |
| Avg. Drawdown | -1.74% | -2.8% |
| Avg. Drawdown Days | 13 | 69 |
| Recovery Factor | 2.35 | 0.67 |
| Ulcer Index | 0.04 | 0.08 |
| Serenity Index | 1.26 | 0.06 |
| Avg. Up Month | 3.07% | 1.52% |
| Avg. Down Month | -2.43% | -2.88% |
| Win Days | 56.63% | 55.2% |
| Win Month | 68.97% | 65.52% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 66.67% |
| Beta | - | 0.3 |
| Alpha | - | -0.01 |
| Correlation | - | 43.93% |
| Treynor Ratio | - | 31.22% |
| Year | SPY | ASMF | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 11.93 | -3.56 | -0.30 | - |
| 2025 | 17.72 | 1.16 | 0.07 | - |
| 2026 | 14.30 | 11.97 | 0.84 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-11 | 2026-02-06 | -15.31 | 576 |
| 2026-03-02 | 2026-05-11 | -5.02 | 71 |
| 2024-05-21 | 2024-06-28 | -4.22 | 39 |
| 2026-05-20 | 2026-09-09 | -4.16 | 113 |
| 2026-02-12 | 2026-02-23 | -2.19 | 12 |
| 2026-09-16 | 2026-09-18 | -0.80 | 3 |
| 2026-02-10 | 2026-02-10 | -0.57 | 1 |
| 2026-09-22 | 2026-09-22 | -0.41 | 1 |
| 2026-05-14 | 2026-05-18 | -0.38 | 5 |
| 2026-02-26 | 2026-02-26 | -0.36 | 1 |