| Metric | SPY | ASMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 49.32% | 6.63% |
| CAGR﹪ | 17.73% | 2.65% |
| Sharpe | 0.82 | -0.12 |
| Prob. Sharpe Ratio | 90.51% | 42.73% |
| Smart Sharpe | 0.75 | -0.11 |
| Sortino | 1.21 | -0.16 |
| Smart Sortino | 1.11 | -0.15 |
| Sortino/√2 | 0.85 | -0.11 |
| Smart Sortino/√2 | 0.78 | -0.11 |
| Omega | 1.23 | 1.05 |
| 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.) | 15.96% | 10.91% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.95 | 0.17 |
| Skew | 1.01 | -0.43 |
| Kurtosis | 21.7 | 2.02 |
| Ulcer Performance Index | 14.21 | 0.83 |
| Risk-Adjusted Return | 17.73% | 2.65% |
| Risk-Return Ratio | 0.07 | 0.02 |
| Avg. Return | 0.07% | 0.01% |
| Avg. Win | 0.68% | 0.52% |
| Avg. Loss | -0.83% | -0.66% |
| Win/Loss Ratio | 0.82 | 0.78 |
| Profit Ratio | 0.75 | 0.71 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.3% | 0.21% |
| Expected Yearly | 14.3% | 2.16% |
| Kelly Criterion | 2.87% | -2.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.58% | -1.12% |
| Expected Shortfall (cVaR) | -2.39% | -1.71% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.23 | 0.05 |
| Gain/Pain (1M) | 2.4 | 0.29 |
| Payoff Ratio | 0.82 | 0.78 |
| Profit Factor | 1.23 | 1.05 |
| Common Sense Ratio | 1.2 | 0.98 |
| CPC Index | 0.57 | 0.45 |
| Tail Ratio | 0.97 | 0.93 |
| Outlier Win Ratio | 3.46 | 3.36 |
| Outlier Loss Ratio | 3.87 | 3.75 |
| MTD | 1.47% | -2.05% |
| 3M | 1.46% | 2.56% |
| 6M | 6.94% | 1.51% |
| YTD | 13.33% | 9.31% |
| 1Y | 13.43% | 12.18% |
| 3Y (ann.) | 17.73% | 2.65% |
| 5Y (ann.) | 17.73% | 2.65% |
| 10Y (ann.) | 17.73% | 2.65% |
| All-time (ann.) | 17.73% | 2.65% |
| 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% | 9.31% |
| Worst Year | 11.93% | -3.56% |
| Avg. Drawdown | -1.77% | -2.38% |
| Avg. Drawdown Days | 14 | 50 |
| Recovery Factor | 2.3 | 0.52 |
| Ulcer Index | 0.03 | 0.08 |
| Serenity Index | 1.25 | 0.05 |
| Avg. Up Month | 3.2% | 1.47% |
| Avg. Down Month | -2.21% | -2.82% |
| Win Days | 56.22% | 54.85% |
| Win Month | 64.52% | 61.29% |
| Win Quarter | 81.82% | 54.55% |
| Win Year | 100.0% | 66.67% |
| Beta | - | 0.29 |
| Alpha | - | -0.02 |
| Correlation | - | 42.81% |
| Treynor Ratio | - | 22.67% |
| Year | SPY | ASMF | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 11.93 | -3.56 | -0.30 | - |
| 2025 | 17.72 | 1.16 | 0.07 | - |
| 2026 | 13.33 | 9.31 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-11 | 2026-02-06 | -15.31 | 576 |
| 2026-10-13 | 2026-11-04 | -5.26 | 23 |
| 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 |
| 2026-10-08 | 2026-10-09 | -0.74 | 2 |
| 2026-09-29 | 2026-10-02 | -0.57 | 4 |
| 2026-02-10 | 2026-02-10 | -0.57 | 1 |