| Metric | SPY | FMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 86.58% | 32.04% |
| CAGR﹪ | 13.36% | 5.75% |
| Sharpe | 0.59 | 0.22 |
| Prob. Sharpe Ratio | 90.85% | 68.91% |
| Smart Sharpe | 0.58 | 0.18 |
| Sortino | 0.86 | 0.32 |
| Smart Sortino | 0.83 | 0.27 |
| Sortino/√2 | 0.61 | 0.23 |
| Smart Sortino/√2 | 0.59 | 0.19 |
| Omega | 1.16 | 1.11 |
| Max Drawdown | -24.5% | -14.98% |
| Max DD Date | 2022-10-12 | 2023-03-15 |
| Max DD Period Start | 2022-01-04 | 2022-06-15 |
| Max DD Period End | 2023-12-12 | 2025-10-03 |
| Longest DD Days | 708 | 1207 |
| Volatility (ann.) | 17.2% | 10.8% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.55 | 0.38 |
| Skew | 0.32 | 1.02 |
| Kurtosis | 8.95 | 22.4 |
| Ulcer Performance Index | 10.24 | 4.67 |
| Risk-Adjusted Return | 13.36% | 5.75% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.71% | 0.46% |
| Avg. Loss | -0.79% | -0.49% |
| Win/Loss Ratio | 0.89 | 0.94 |
| Profit Ratio | 0.83 | 0.87 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.46% |
| Expected Yearly | 10.95% | 4.74% |
| Kelly Criterion | 2.51% | 2.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.09% |
| Expected Shortfall (cVaR) | -2.58% | -1.55% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.16 | 0.11 |
| Gain/Pain (1M) | 0.87 | 0.79 |
| Payoff Ratio | 0.89 | 0.94 |
| Profit Factor | 1.16 | 1.11 |
| Common Sense Ratio | 1.17 | 1.1 |
| CPC Index | 0.56 | 0.55 |
| Tail Ratio | 1.01 | 1.0 |
| Outlier Win Ratio | 3.41 | 3.16 |
| Outlier Loss Ratio | 3.77 | 3.41 |
| MTD | 1.08% | 3.38% |
| 3M | 3.82% | 3.8% |
| 6M | 19.85% | 5.8% |
| YTD | 14.3% | 12.1% |
| 1Y | 17.78% | 14.09% |
| 3Y (ann.) | 24.86% | 6.98% |
| 5Y (ann.) | 13.06% | 5.51% |
| 10Y (ann.) | 13.36% | 5.75% |
| All-time (ann.) | 13.36% | 5.75% |
| Best Day | 10.5% | 8.48% |
| Worst Day | -5.85% | -4.9% |
| Best Month | 10.51% | 5.27% |
| Worst Month | -9.24% | -6.36% |
| Best Year | 26.18% | 12.1% |
| Worst Year | -18.18% | -0.83% |
| Avg. Drawdown | -1.89% | -2.1% |
| Avg. Drawdown Days | 20 | 60 |
| Recovery Factor | 2.85 | 2.05 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 0.47 | 0.24 |
| Avg. Up Month | 3.0% | 1.9% |
| Avg. Down Month | -2.4% | -1.71% |
| Win Days | 54.04% | 52.8% |
| Win Month | 63.93% | 62.3% |
| Win Quarter | 66.67% | 52.38% |
| Win Year | 83.33% | 66.67% |
| Beta | - | -0.02 |
| Alpha | - | 0.06 |
| Correlation | - | -3.26% |
| Treynor Ratio | - | -1563.61% |
| Year | SPY | FMF | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -0.83 | -0.11 | - |
| 2022 | -18.18 | 5.24 | -0.29 | + |
| 2023 | 26.18 | -0.18 | -0.01 | - |
| 2024 | 24.89 | 8.17 | 0.33 | - |
| 2025 | 17.72 | 4.54 | 0.26 | - |
| 2026 | 14.30 | 12.10 | 0.85 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-15 | 2025-10-03 | -14.98 | 1207 |
| 2022-03-15 | 2022-06-08 | -7.98 | 86 |
| 2021-11-02 | 2022-02-28 | -5.51 | 119 |
| 2026-05-19 | 2026-09-10 | -4.51 | 115 |
| 2026-03-13 | 2026-04-01 | -3.42 | 20 |
| 2025-10-16 | 2026-01-08 | -3.12 | 85 |
| 2022-03-09 | 2022-03-11 | -3.08 | 3 |
| 2026-02-12 | 2026-02-18 | -2.31 | 7 |
| 2026-02-05 | 2026-02-05 | -1.69 | 1 |
| 2026-01-16 | 2026-02-02 | -1.56 | 18 |