| Metric | SPY | FMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 207.58% | 45.18% |
| CAGR﹪ | 16.68% | 5.25% |
| Sharpe | 0.74 | 0.27 |
| Prob. Sharpe Ratio | 97.6% | 76.48% |
| Smart Sharpe | 0.64 | 0.21 |
| Sortino | 1.04 | 0.39 |
| Smart Sortino | 0.9 | 0.31 |
| Sortino/√2 | 0.74 | 0.27 |
| Smart Sortino/√2 | 0.64 | 0.22 |
| Omega | 1.19 | 1.11 |
| Max Drawdown | -33.72% | -14.98% |
| Max DD Date | 2020-03-23 | 2023-03-15 |
| Max DD Period Start | 2020-02-20 | 2022-06-15 |
| Max DD Period End | 2020-08-07 | 2025-10-03 |
| Longest DD Days | 708 | 1207 |
| Volatility (ann.) | 19.56% | 10.53% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.35 |
| Skew | -0.29 | 1.05 |
| Kurtosis | 13.84 | 25.2 |
| Ulcer Performance Index | 26.03 | 7.47 |
| Risk-Adjusted Return | 16.68% | 5.25% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.75% | 0.45% |
| Avg. Loss | -0.84% | -0.47% |
| Win/Loss Ratio | 0.89 | 0.95 |
| Profit Ratio | 0.77 | 0.88 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.28% | 0.42% |
| Expected Yearly | 15.08% | 4.77% |
| Kelly Criterion | 5.02% | 2.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.07% |
| Expected Shortfall (cVaR) | -3.2% | -1.62% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.19 | 0.11 |
| Gain/Pain (1M) | 1.17 | 0.78 |
| Payoff Ratio | 0.89 | 0.95 |
| Profit Factor | 1.19 | 1.11 |
| Common Sense Ratio | 1.14 | 1.11 |
| CPC Index | 0.58 | 0.55 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.69 | 3.34 |
| Outlier Loss Ratio | 4.1 | 3.45 |
| 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.) | 16.68% | 5.25% |
| All-time (ann.) | 16.68% | 5.25% |
| Best Day | 10.5% | 8.48% |
| Worst Day | -10.94% | -4.9% |
| Best Month | 12.7% | 5.27% |
| Worst Month | -12.49% | -6.36% |
| Best Year | 28.73% | 12.1% |
| Worst Year | -18.18% | -0.4% |
| Avg. Drawdown | -1.78% | -1.69% |
| Avg. Drawdown Days | 16 | 46 |
| Recovery Factor | 3.75 | 2.76 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 1.03 | 0.38 |
| Avg. Up Month | 3.47% | 1.78% |
| Avg. Down Month | -3.06% | -1.67% |
| Win Days | 55.26% | 52.65% |
| Win Month | 67.05% | 60.23% |
| Win Quarter | 76.67% | 56.67% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.06 |
| Correlation | - | 1.71% |
| Treynor Ratio | - | 4908.07% |
| Year | SPY | FMF | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -0.40 | -0.02 | - |
| 2020 | 18.33 | 5.70 | 0.31 | - |
| 2021 | 28.73 | 3.57 | 0.12 | - |
| 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 |
| 2019-09-05 | 2020-03-27 | -8.75 | 205 |
| 2022-03-15 | 2022-06-08 | -7.98 | 86 |
| 2021-06-09 | 2022-03-04 | -7.86 | 269 |
| 2020-03-31 | 2021-01-05 | -6.40 | 281 |
| 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 |