| Metric | SPY | DMSFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 78.0% |
| Cumulative Return | 71.14% | 21.31% |
| CAGR﹪ | 11.53% | 4.0% |
| Sharpe | 0.5 | 0.04 |
| Prob. Sharpe Ratio | 86.53% | 53.12% |
| Smart Sharpe | 0.48 | 0.03 |
| Sortino | 0.71 | 0.05 |
| Smart Sortino | 0.69 | 0.05 |
| Sortino/√2 | 0.5 | 0.03 |
| Smart Sortino/√2 | 0.49 | 0.03 |
| Omega | 1.14 | 1.23 |
| Max Drawdown | -24.5% | -6.83% |
| Max DD Date | 2022-10-12 | 2022-07-05 |
| Max DD Period Start | 2022-01-04 | 2021-11-18 |
| Max DD Period End | 2023-12-12 | 2023-05-25 |
| Longest DD Days | 708 | 554 |
| Volatility (ann.) | 17.21% | 3.59% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.47 | 0.59 |
| Skew | 0.33 | -0.69 |
| Kurtosis | 9.02 | 17.41 |
| Ulcer Performance Index | 8.35 | 9.63 |
| Risk-Adjusted Return | 11.53% | 5.13% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.95% | 0.21% |
| Avg. Loss | -1.02% | -0.22% |
| Win/Loss Ratio | 0.93 | 0.96 |
| Profit Ratio | 0.86 | 0.34 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.88% | 0.32% |
| Expected Yearly | 9.37% | 3.27% |
| Kelly Criterion | 3.08% | 9.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.36% |
| Expected Shortfall (cVaR) | -2.58% | -0.54% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.23 |
| Gain/Pain (1M) | 0.75 | 1.25 |
| Payoff Ratio | 0.93 | 0.96 |
| Profit Factor | 1.14 | 1.23 |
| Common Sense Ratio | 1.13 | 1.24 |
| CPC Index | 0.56 | 0.66 |
| Tail Ratio | 1.0 | 1.01 |
| Outlier Win Ratio | 3.4 | 3.91 |
| Outlier Loss Ratio | 3.81 | 2.74 |
| MTD | 1.47% | 0.2% |
| 3M | 1.46% | -0.12% |
| 6M | 6.94% | 1.15% |
| YTD | 11.5% | 1.19% |
| 1Y | 12.98% | 2.76% |
| 3Y (ann.) | 20.23% | 4.68% |
| 5Y (ann.) | 12.48% | 4.46% |
| 10Y (ann.) | 11.53% | 4.0% |
| All-time (ann.) | 11.53% | 4.0% |
| Best Day | 10.5% | 1.93% |
| Worst Day | -5.85% | -2.38% |
| Best Month | 10.51% | 2.66% |
| Worst Month | -9.24% | -2.21% |
| Best Year | 26.18% | 12.82% |
| Worst Year | -18.18% | -3.45% |
| Avg. Drawdown | -1.99% | -0.46% |
| Avg. Drawdown Days | 22 | 19 |
| Recovery Factor | 2.49 | 2.87 |
| Ulcer Index | 0.09 | 0.02 |
| Serenity Index | 0.41 | 0.38 |
| Avg. Up Month | 3.92% | 0.92% |
| Avg. Down Month | -4.07% | -0.76% |
| Win Days | 53.35% | 55.85% |
| Win Month | 62.3% | 67.21% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.13 |
| Alpha | - | 0.02 |
| Correlation | - | 62.97% |
| Treynor Ratio | - | 162.25% |
| Year | SPY | DMSFX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.78 | -0.45 | - |
| 2022 | -18.18 | -3.45 | 0.19 | + |
| 2023 | 26.18 | 12.82 | 0.49 | - |
| 2024 | 24.89 | 6.40 | 0.26 | - |
| 2025 | 17.02 | 4.24 | 0.25 | - |
| 2026 | 11.50 | 1.19 | 0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-18 | 2023-05-25 | -6.83 | 554 |
| 2024-12-12 | 2025-06-23 | -5.02 | 194 |
| 2026-01-16 | 2026-06-30 | -2.37 | 166 |
| 2024-08-01 | 2024-08-23 | -1.42 | 23 |
| 2026-09-04 | 2026-11-04 | -1.38 | 62 |
| 2025-07-28 | 2025-08-12 | -0.87 | 16 |
| 2024-04-10 | 2024-05-08 | -0.86 | 29 |
| 2025-10-28 | 2025-11-21 | -0.77 | 25 |
| 2024-11-11 | 2024-11-22 | -0.75 | 12 |
| 2023-10-17 | 2023-11-02 | -0.68 | 17 |