| Metric | SPY | FMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 204.97% | 41.42% |
| CAGR﹪ | 16.25% | 4.79% |
| Sharpe | 0.72 | 0.22 |
| Prob. Sharpe Ratio | 97.45% | 73.05% |
| Smart Sharpe | 0.63 | 0.18 |
| Sortino | 1.02 | 0.33 |
| Smart Sortino | 0.88 | 0.26 |
| Sortino/√2 | 0.72 | 0.23 |
| Smart Sortino/√2 | 0.62 | 0.18 |
| Omega | 1.18 | 1.1 |
| 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.) | 19.45% | 10.51% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.32 |
| Skew | -0.29 | 1.03 |
| Kurtosis | 13.94 | 25.02 |
| Ulcer Performance Index | 25.91 | 6.9 |
| Risk-Adjusted Return | 16.25% | 4.79% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.74% | 0.44% |
| Avg. Loss | -0.83% | -0.47% |
| Win/Loss Ratio | 0.89 | 0.95 |
| Profit Ratio | 0.78 | 0.87 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.39% |
| Expected Yearly | 14.96% | 4.43% |
| Kelly Criterion | 4.81% | 2.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.07% |
| Expected Shortfall (cVaR) | -3.2% | -1.62% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.1 |
| Gain/Pain (1M) | 1.15 | 0.69 |
| Payoff Ratio | 0.89 | 0.95 |
| Profit Factor | 1.18 | 1.1 |
| Common Sense Ratio | 1.13 | 1.09 |
| CPC Index | 0.58 | 0.55 |
| Tail Ratio | 0.96 | 1.0 |
| Outlier Win Ratio | 3.69 | 3.34 |
| Outlier Loss Ratio | 4.12 | 3.49 |
| 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.) | 16.25% | 4.79% |
| All-time (ann.) | 16.25% | 4.79% |
| 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% | 9.19% |
| Worst Year | -18.18% | -0.4% |
| Avg. Drawdown | -1.79% | -1.73% |
| Avg. Drawdown Days | 16 | 46 |
| Recovery Factor | 3.72 | 2.59 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 1.03 | 0.35 |
| Avg. Up Month | 3.53% | 1.74% |
| Avg. Down Month | -2.92% | -1.57% |
| Win Days | 55.15% | 52.69% |
| Win Month | 65.56% | 58.89% |
| Win Quarter | 77.42% | 54.84% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.05 |
| Correlation | - | 1.66% |
| Treynor Ratio | - | 4617.43% |
| 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 | 13.33 | 9.19 | 0.69 | - |
| 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 |
| 2026-10-14 | 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 |