| Metric | SPY | FSMMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 76.0% |
| Cumulative Return | 74.99% | 24.95% |
| CAGR﹪ | 11.91% | 4.58% |
| Sharpe | 0.52 | 0.16 |
| Prob. Sharpe Ratio | 87.6% | 63.86% |
| Smart Sharpe | 0.5 | 0.12 |
| Sortino | 0.74 | 0.22 |
| Smart Sortino | 0.72 | 0.17 |
| Sortino/√2 | 0.53 | 0.16 |
| Smart Sortino/√2 | 0.51 | 0.12 |
| Omega | 1.14 | 1.27 |
| Max Drawdown | -24.5% | -4.06% |
| Max DD Date | 2022-10-12 | 2022-12-15 |
| Max DD Period Start | 2022-01-04 | 2022-12-09 |
| Max DD Period End | 2023-12-12 | 2023-10-26 |
| Longest DD Days | 708 | 322 |
| Volatility (ann.) | 17.19% | 4.53% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 1.13 |
| Skew | 0.33 | -0.16 |
| Kurtosis | 8.98 | 77.37 |
| Ulcer Performance Index | 8.86 | 18.79 |
| Risk-Adjusted Return | 11.91% | 6.03% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.9% | 0.22% |
| Avg. Loss | -0.98% | -0.23% |
| Win/Loss Ratio | 0.91 | 0.96 |
| Profit Ratio | 0.86 | 0.29 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.37% |
| Expected Yearly | 9.77% | 3.78% |
| Kelly Criterion | 2.49% | 13.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.45% |
| Expected Shortfall (cVaR) | -2.58% | -0.84% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.14 | 0.27 |
| Gain/Pain (1M) | 0.79 | 2.12 |
| Payoff Ratio | 0.91 | 0.96 |
| Profit Factor | 1.14 | 1.27 |
| Common Sense Ratio | 1.15 | 1.64 |
| CPC Index | 0.56 | 0.7 |
| Tail Ratio | 1.0 | 1.29 |
| Outlier Win Ratio | 3.4 | 4.21 |
| Outlier Loss Ratio | 3.8 | 2.99 |
| MTD | 1.47% | 0.09% |
| 3M | 1.46% | 0.0% |
| 6M | 6.94% | 0.53% |
| YTD | 13.33% | 3.25% |
| 1Y | 13.43% | 3.69% |
| 3Y (ann.) | 20.78% | 3.9% |
| 5Y (ann.) | 12.86% | 4.24% |
| 10Y (ann.) | 11.91% | 4.58% |
| All-time (ann.) | 11.91% | 4.58% |
| Best Day | 10.5% | 3.83% |
| Worst Day | -5.85% | -3.7% |
| Best Month | 10.51% | 1.93% |
| Worst Month | -9.24% | -1.5% |
| Best Year | 26.18% | 4.95% |
| Worst Year | -18.18% | 2.86% |
| Avg. Drawdown | -1.94% | -0.7% |
| Avg. Drawdown Days | 21 | 30 |
| Recovery Factor | 2.58 | 5.61 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.43 | 1.6 |
| Avg. Up Month | 3.91% | 0.84% |
| Avg. Down Month | -3.55% | -0.7% |
| Win Days | 53.48% | 57.31% |
| Win Month | 62.3% | 73.77% |
| Win Quarter | 71.43% | 85.71% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.09 |
| Alpha | - | 0.03 |
| Correlation | - | 32.32% |
| Treynor Ratio | - | 292.91% |
| Year | SPY | FSMMX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 3.26 | 1.88 | + |
| 2022 | -18.18 | 2.86 | -0.16 | + |
| 2023 | 26.18 | 4.95 | 0.19 | - |
| 2024 | 24.89 | 4.43 | 0.18 | - |
| 2025 | 17.72 | 3.96 | 0.22 | - |
| 2026 | 13.33 | 3.25 | 0.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-12-09 | 2023-10-26 | -4.06 | 322 |
| 2023-12-12 | 2024-07-12 | -3.83 | 214 |
| 2025-03-04 | 2025-06-30 | -2.86 | 119 |
| 2022-06-10 | 2022-11-22 | -2.81 | 166 |
| 2024-08-01 | 2024-12-03 | -2.12 | 125 |
| 2022-02-11 | 2022-04-20 | -2.09 | 69 |
| 2024-12-12 | 2025-01-24 | -1.70 | 44 |
| 2026-08-26 | 2026-11-04 | -1.64 | 71 |
| 2026-02-27 | 2026-04-01 | -1.42 | 34 |
| 2025-09-09 | 2025-12-31 | -1.39 | 114 |