| Metric | SPY | FMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 74.99% | 26.63% |
| CAGR﹪ | 11.91% | 4.86% |
| Sharpe | 0.52 | 0.14 |
| Prob. Sharpe Ratio | 87.6% | 61.95% |
| Smart Sharpe | 0.5 | 0.11 |
| Sortino | 0.74 | 0.2 |
| Smart Sortino | 0.72 | 0.16 |
| Sortino/√2 | 0.53 | 0.14 |
| Smart Sortino/√2 | 0.51 | 0.12 |
| Omega | 1.14 | 1.09 |
| 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.) | 17.19% | 10.82% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.32 |
| Skew | 0.33 | 0.99 |
| Kurtosis | 8.98 | 22.27 |
| Ulcer Performance Index | 8.86 | 3.89 |
| Risk-Adjusted Return | 11.91% | 4.86% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.71% | 0.46% |
| Avg. Loss | -0.78% | -0.5% |
| Win/Loss Ratio | 0.9 | 0.92 |
| Profit Ratio | 0.86 | 0.85 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.39% |
| Expected Yearly | 9.77% | 4.01% |
| Kelly Criterion | 1.79% | 1.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.1% |
| Expected Shortfall (cVaR) | -2.58% | -1.56% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | 0.09 |
| Gain/Pain (1M) | 0.79 | 0.63 |
| Payoff Ratio | 0.9 | 0.92 |
| Profit Factor | 1.14 | 1.09 |
| Common Sense Ratio | 1.15 | 1.05 |
| CPC Index | 0.55 | 0.53 |
| Tail Ratio | 1.0 | 0.96 |
| Outlier Win Ratio | 3.4 | 3.19 |
| Outlier Loss Ratio | 3.8 | 3.42 |
| MTD | 1.47% | -2.8% |
| 3M | 1.46% | 2.42% |
| 6M | 6.94% | -0.58% |
| YTD | 13.33% | 9.19% |
| 1Y | 13.43% | 10.51% |
| 3Y (ann.) | 20.78% | 6.82% |
| 5Y (ann.) | 12.86% | 5.72% |
| 10Y (ann.) | 11.91% | 4.86% |
| All-time (ann.) | 11.91% | 4.86% |
| 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% | 9.19% |
| Worst Year | -18.18% | -2.36% |
| Avg. Drawdown | -1.94% | -2.29% |
| Avg. Drawdown Days | 21 | 65 |
| Recovery Factor | 2.58 | 1.77 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 0.43 | 0.21 |
| Avg. Up Month | 2.92% | 1.88% |
| Avg. Down Month | -2.45% | -1.58% |
| Win Days | 53.48% | 52.96% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 47.62% |
| Win Year | 83.33% | 66.67% |
| Beta | - | -0.02 |
| Alpha | - | 0.06 |
| Correlation | - | -3.42% |
| Treynor Ratio | - | -1236.35% |
| Year | SPY | FMF | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -2.36 | -1.37 | - |
| 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 | 13.33 | 9.19 | 0.69 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-15 | 2025-10-03 | -14.98 | 1207 |
| 2022-03-15 | 2022-06-08 | -7.98 | 86 |
| 2021-11-11 | 2022-02-28 | -4.80 | 110 |
| 2026-05-19 | 2026-09-10 | -4.51 | 115 |
| 2026-10-14 | 2026-11-04 | -3.90 | 22 |
| 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 |