| Metric | SPY | DMSFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 75.0% |
| Cumulative Return | 16.41% | 3.59% |
| CAGR﹪ | 17.3% | 3.77% |
| Sharpe | 0.99 | -0.11 |
| Prob. Sharpe Ratio | 83.23% | 45.67% |
| Smart Sharpe | 0.99 | -0.11 |
| Sortino | 1.44 | -0.16 |
| Smart Sortino | 1.44 | -0.16 |
| Sortino/√2 | 1.02 | -0.11 |
| Smart Sortino/√2 | 1.02 | -0.11 |
| Omega | 1.24 | 1.31 |
| Max Drawdown | -10.36% | -2.37% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-01-16 |
| Max DD Period End | 2026-04-16 | 2026-06-30 |
| Longest DD Days | 79 | 166 |
| Volatility (ann.) | 12.88% | 2.28% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 1.67 | 1.59 |
| Skew | -0.17 | 0.12 |
| Kurtosis | 1.18 | 0.05 |
| Ulcer Performance Index | 6.18 | 4.57 |
| Risk-Adjusted Return | 17.3% | 5.03% |
| Risk-Return Ratio | 0.08 | 0.1 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.77% | 0.16% |
| Avg. Loss | -0.73% | -0.15% |
| Win/Loss Ratio | 1.05 | 1.04 |
| Profit Ratio | 0.95 | 0.3 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.18% | 0.27% |
| Expected Yearly | 7.89% | 1.78% |
| Kelly Criterion | 8.91% | 14.15% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -0.22% |
| Expected Shortfall (cVaR) | -1.75% | -0.29% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 6 | 3 |
| Gain/Pain Ratio | 0.24 | 0.31 |
| Gain/Pain (1M) | 1.84 | 2.7 |
| Payoff Ratio | 1.05 | 1.04 |
| Profit Factor | 1.24 | 1.31 |
| Common Sense Ratio | 1.21 | 1.31 |
| CPC Index | 0.7 | 0.77 |
| Tail Ratio | 0.97 | 1.0 |
| Outlier Win Ratio | 2.79 | 4.14 |
| Outlier Loss Ratio | 3.29 | 1.97 |
| MTD | 1.08% | -0.1% |
| 3M | 3.82% | 1.27% |
| 6M | 19.85% | 3.11% |
| YTD | 12.45% | 1.81% |
| 1Y | 16.41% | 3.59% |
| 3Y (ann.) | 17.3% | 3.77% |
| 5Y (ann.) | 17.3% | 3.77% |
| 10Y (ann.) | 17.3% | 3.77% |
| All-time (ann.) | 17.3% | 3.77% |
| Best Day | 2.91% | 0.49% |
| Worst Day | -2.7% | -0.29% |
| Best Month | 10.51% | 0.98% |
| Worst Month | -4.51% | -0.48% |
| Best Year | 12.45% | 1.81% |
| Worst Year | 3.52% | 1.75% |
| Avg. Drawdown | -1.72% | -0.4% |
| Avg. Drawdown Days | 13 | 18 |
| Recovery Factor | 1.54 | 1.5 |
| Ulcer Index | 0.03 | 0.01 |
| Serenity Index | 0.69 | 0.36 |
| Avg. Up Month | 3.2% | 0.67% |
| Avg. Down Month | -2.61% | -0.38% |
| Win Days | 53.33% | 56.18% |
| Win Month | 69.23% | 61.54% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.1 |
| Alpha | - | 0.02 |
| Correlation | - | 57.28% |
| Treynor Ratio | - | 35.47% |
| Year | SPY | DMSFX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.52 | 1.75 | 0.50 | - |
| 2026 | 12.45 | 1.81 | 0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-16 | 2026-06-30 | -2.37 | 166 |
| 2025-10-28 | 2025-11-21 | -0.77 | 25 |
| 2026-07-14 | 2026-07-27 | -0.58 | 14 |
| 2026-09-04 | 2026-09-22 | -0.58 | 19 |
| 2026-08-28 | 2026-09-02 | -0.29 | 6 |
| 2025-10-10 | 2025-10-13 | -0.29 | 4 |
| 2025-10-16 | 2025-10-24 | -0.29 | 9 |
| 2026-07-30 | 2026-07-30 | -0.19 | 1 |
| 2026-08-14 | 2026-08-24 | -0.19 | 11 |
| 2025-09-24 | 2025-10-02 | -0.19 | 9 |