| Metric | SPY | DMSFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 80.0% |
| Cumulative Return | 198.27% | 45.31% |
| CAGR﹪ | 16.01% | 5.21% |
| Sharpe | 0.71 | 0.45 |
| Prob. Sharpe Ratio | 97.23% | 87.62% |
| Smart Sharpe | 0.62 | 0.39 |
| Sortino | 1.0 | 0.58 |
| Smart Sortino | 0.87 | 0.51 |
| Sortino/√2 | 0.71 | 0.41 |
| Smart Sortino/√2 | 0.61 | 0.36 |
| Omega | 1.18 | 1.25 |
| 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.) | 19.48% | 5.26% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.47 | 0.25 |
| Skew | -0.28 | -3.1 |
| Kurtosis | 13.94 | 64.62 |
| Ulcer Performance Index | 24.93 | 15.56 |
| Risk-Adjusted Return | 16.01% | 6.51% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.08% | 0.03% |
| Avg. Win | 0.96% | 0.25% |
| Avg. Loss | -1.1% | -0.27% |
| Win/Loss Ratio | 0.87 | 0.91 |
| Profit Ratio | 0.78 | 0.32 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.22% | 0.42% |
| Expected Yearly | 14.64% | 4.78% |
| Kelly Criterion | 3.36% | 10.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.52% |
| Expected Shortfall (cVaR) | -3.2% | -1.09% |
| Max Consecutive Wins | 11 | 13 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.25 |
| Gain/Pain (1M) | 1.12 | 1.26 |
| Payoff Ratio | 0.87 | 0.91 |
| Profit Factor | 1.18 | 1.25 |
| Common Sense Ratio | 1.12 | 1.26 |
| CPC Index | 0.56 | 0.65 |
| Tail Ratio | 0.95 | 1.01 |
| Outlier Win Ratio | 3.69 | 4.87 |
| Outlier Loss Ratio | 4.12 | 2.94 |
| 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.) | 16.01% | 5.21% |
| All-time (ann.) | 16.01% | 5.21% |
| 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 | -1.82% | -0.69% |
| Avg. Drawdown Days | 16 | 19 |
| Recovery Factor | 3.66 | 1.82 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 1.01 | 0.47 |
| Avg. Up Month | 4.17% | 1.17% |
| Avg. Down Month | -4.37% | -1.28% |
| Win Days | 55.08% | 57.3% |
| Win Month | 65.56% | 70.0% |
| Win Quarter | 77.42% | 77.42% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.16 |
| Alpha | - | 0.03 |
| Correlation | - | 59.24% |
| Treynor Ratio | - | 283.35% |
| 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 | 11.50 | 1.19 | 0.10 | - |
| 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 |
| 2020-10-14 | 2020-11-06 | -1.91 | 24 |
| 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 |
| 2026-09-04 | 2026-11-04 | -1.38 | 62 |