| Metric | SPY | DMSFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 80.0% |
| Cumulative Return | 200.83% | 46.19% |
| CAGR﹪ | 16.44% | 5.39% |
| Sharpe | 0.73 | 0.48 |
| Prob. Sharpe Ratio | 97.39% | 88.82% |
| Smart Sharpe | 0.63 | 0.41 |
| Sortino | 1.03 | 0.62 |
| Smart Sortino | 0.89 | 0.54 |
| Sortino/√2 | 0.73 | 0.44 |
| Smart Sortino/√2 | 0.63 | 0.38 |
| Omega | 1.18 | 1.26 |
| Max Drawdown | -33.72% | -21.11% |
| Max DD Date | 2020-03-23 | 2020-03-24 |
| Max DD Period Start | 2020-02-20 | 2020-02-21 |
| Max DD Period End | 2020-08-07 | 2020-09-14 |
| Longest DD Days | 708 | 554 |
| Volatility (ann.) | 19.59% | 5.29% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.26 |
| Skew | -0.29 | -3.1 |
| Kurtosis | 13.85 | 64.19 |
| Ulcer Performance Index | 25.04 | 15.74 |
| Risk-Adjusted Return | 16.44% | 6.74% |
| Risk-Return Ratio | 0.06 | 0.06 |
| Avg. Return | 0.08% | 0.03% |
| Avg. Win | 0.96% | 0.25% |
| Avg. Loss | -1.11% | -0.27% |
| Win/Loss Ratio | 0.87 | 0.91 |
| Profit Ratio | 0.78 | 0.32 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.26% | 0.43% |
| Expected Yearly | 14.76% | 4.86% |
| Kelly Criterion | 3.43% | 10.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.53% |
| Expected Shortfall (cVaR) | -3.21% | -1.09% |
| Max Consecutive Wins | 11 | 13 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.26 |
| Gain/Pain (1M) | 1.13 | 1.32 |
| Payoff Ratio | 0.87 | 0.91 |
| Profit Factor | 1.18 | 1.26 |
| Common Sense Ratio | 1.13 | 1.27 |
| CPC Index | 0.57 | 0.66 |
| Tail Ratio | 0.95 | 1.01 |
| Outlier Win Ratio | 3.69 | 4.88 |
| Outlier Loss Ratio | 4.11 | 2.94 |
| MTD | 1.08% | -0.1% |
| 3M | 3.82% | 1.27% |
| 6M | 19.85% | 3.11% |
| YTD | 12.45% | 1.81% |
| 1Y | 16.32% | 3.69% |
| 3Y (ann.) | 24.35% | 5.74% |
| 5Y (ann.) | 12.68% | 4.52% |
| 10Y (ann.) | 16.44% | 5.39% |
| All-time (ann.) | 16.44% | 5.39% |
| Best Day | 10.5% | 3.66% |
| Worst Day | -10.94% | -5.48% |
| Best Month | 12.7% | 5.48% |
| Worst Month | -12.49% | -12.99% |
| Best Year | 28.73% | 12.82% |
| Worst Year | -18.18% | -3.45% |
| Avg. Drawdown | -1.81% | -0.68% |
| Avg. Drawdown Days | 16 | 19 |
| Recovery Factor | 3.68 | 1.85 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 1.01 | 0.48 |
| Avg. Up Month | 4.22% | 1.19% |
| Avg. Down Month | -4.89% | -1.44% |
| Win Days | 55.19% | 57.49% |
| Win Month | 67.05% | 72.41% |
| Win Quarter | 76.67% | 80.0% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.16 |
| Alpha | - | 0.03 |
| Correlation | - | 59.23% |
| Treynor Ratio | - | 288.86% |
| Year | SPY | DMSFX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.68 | 0.16 | - |
| 2020 | 18.33 | 10.01 | 0.55 | - |
| 2021 | 28.73 | 5.22 | 0.18 | - |
| 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 | 12.45 | 1.81 | 0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-21 | 2020-09-14 | -21.11 | 207 |
| 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 |
| 2019-07-29 | 2019-12-13 | -2.26 | 138 |
| 2020-10-08 | 2020-11-06 | -1.91 | 30 |
| 2021-03-18 | 2021-04-07 | -1.86 | 21 |
| 2021-02-11 | 2021-03-11 | -1.59 | 29 |
| 2024-08-01 | 2024-08-23 | -1.42 | 23 |
| 2020-09-21 | 2020-10-02 | -1.32 | 12 |