| Metric | SPY | DMSFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 75.0% |
| Cumulative Return | 13.94% | 2.76% |
| CAGR﹪ | 14.55% | 2.88% |
| Sharpe | 0.84 | -0.35 |
| Prob. Sharpe Ratio | 79.5% | 36.69% |
| Smart Sharpe | 0.81 | -0.34 |
| Sortino | 1.23 | -0.48 |
| Smart Sortino | 1.19 | -0.47 |
| Sortino/√2 | 0.87 | -0.34 |
| Smart Sortino/√2 | 0.84 | -0.33 |
| Omega | 1.21 | 1.22 |
| 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.) | 12.7% | 2.34% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.41 | 1.21 |
| Skew | -0.04 | 0.0 |
| Kurtosis | 0.91 | 0.37 |
| Ulcer Performance Index | 5.27 | 3.41 |
| Risk-Adjusted Return | 14.55% | 3.84% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.77% | 0.16% |
| Avg. Loss | -0.7% | -0.16% |
| Win/Loss Ratio | 1.1 | 1.03 |
| Profit Ratio | 1.02 | 0.31 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.01% | 0.21% |
| Expected Yearly | 6.74% | 1.37% |
| Kelly Criterion | 8.46% | 11.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.23% |
| Expected Shortfall (cVaR) | -1.68% | -0.31% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 6 | 3 |
| Gain/Pain Ratio | 0.21 | 0.22 |
| Gain/Pain (1M) | 1.46 | 1.43 |
| Payoff Ratio | 1.1 | 1.03 |
| Profit Factor | 1.21 | 1.22 |
| Common Sense Ratio | 1.16 | 1.23 |
| CPC Index | 0.69 | 0.7 |
| Tail Ratio | 0.96 | 1.0 |
| Outlier Win Ratio | 2.77 | 4.14 |
| Outlier Loss Ratio | 3.07 | 1.94 |
| MTD | 1.47% | 0.2% |
| 3M | 1.46% | -0.12% |
| 6M | 6.94% | 1.15% |
| YTD | 11.5% | 1.19% |
| 1Y | 13.94% | 2.76% |
| 3Y (ann.) | 14.55% | 2.88% |
| 5Y (ann.) | 14.55% | 2.88% |
| 10Y (ann.) | 14.55% | 2.88% |
| All-time (ann.) | 14.55% | 2.88% |
| Best Day | 2.91% | 0.49% |
| Worst Day | -2.58% | -0.49% |
| Best Month | 10.51% | 1.06% |
| Worst Month | -4.51% | -0.49% |
| Best Year | 11.5% | 1.55% |
| Worst Year | 2.19% | 1.19% |
| Avg. Drawdown | -1.75% | -0.44% |
| Avg. Drawdown Days | 13 | 19 |
| Recovery Factor | 1.33 | 1.16 |
| Ulcer Index | 0.03 | 0.01 |
| Serenity Index | 0.59 | 0.27 |
| Avg. Up Month | 3.16% | 0.64% |
| Avg. Down Month | -2.16% | -0.46% |
| Win Days | 52.07% | 55.0% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.1 |
| Alpha | - | 0.01 |
| Correlation | - | 55.35% |
| Treynor Ratio | - | 27.06% |
| Year | SPY | DMSFX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.19 | 1.55 | 0.71 | - |
| 2026 | 11.50 | 1.19 | 0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-16 | 2026-06-30 | -2.37 | 166 |
| 2026-09-04 | 2026-11-04 | -1.38 | 62 |
| 2026-07-14 | 2026-07-27 | -0.58 | 14 |
| 2025-11-17 | 2025-11-20 | -0.48 | 4 |
| 2026-08-28 | 2026-09-02 | -0.29 | 6 |
| 2026-07-30 | 2026-07-31 | -0.19 | 2 |
| 2026-08-14 | 2026-08-21 | -0.19 | 8 |
| 2025-11-07 | 2025-11-10 | -0.19 | 4 |
| 2025-11-12 | 2025-11-13 | -0.19 | 2 |
| 2025-12-16 | 2025-12-18 | -0.19 | 3 |