| Metric | SPY | FSMMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 77.0% |
| Cumulative Return | 86.58% | 27.22% |
| CAGR﹪ | 13.36% | 4.96% |
| Sharpe | 0.59 | 0.25 |
| Prob. Sharpe Ratio | 90.85% | 71.43% |
| Smart Sharpe | 0.58 | 0.19 |
| Sortino | 0.86 | 0.36 |
| Smart Sortino | 0.83 | 0.27 |
| Sortino/√2 | 0.61 | 0.25 |
| Smart Sortino/√2 | 0.59 | 0.19 |
| Omega | 1.16 | 1.29 |
| 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 | 2023-10-23 |
| Longest DD Days | 708 | 319 |
| Volatility (ann.) | 17.2% | 4.5% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 1.22 |
| Skew | 0.32 | -0.17 |
| Kurtosis | 8.95 | 79.67 |
| Ulcer Performance Index | 10.24 | 20.65 |
| Risk-Adjusted Return | 13.36% | 6.44% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.08% | 0.03% |
| Avg. Win | 0.9% | 0.22% |
| Avg. Loss | -0.99% | -0.22% |
| Win/Loss Ratio | 0.9 | 0.98 |
| Profit Ratio | 0.83 | 0.3 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.4% |
| Expected Yearly | 10.95% | 4.09% |
| Kelly Criterion | 3.17% | 14.08% |
| 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 | 0.16 | 0.29 |
| Gain/Pain (1M) | 0.87 | 2.52 |
| Payoff Ratio | 0.9 | 0.98 |
| Profit Factor | 1.16 | 1.29 |
| Common Sense Ratio | 1.17 | 1.67 |
| CPC Index | 0.56 | 0.73 |
| Tail Ratio | 1.01 | 1.29 |
| Outlier Win Ratio | 3.41 | 4.15 |
| Outlier Loss Ratio | 3.77 | 2.97 |
| MTD | 1.08% | 0.0% |
| 3M | 3.82% | 0.61% |
| 6M | 19.85% | 4.24% |
| YTD | 14.3% | 4.24% |
| 1Y | 17.78% | 4.69% |
| 3Y (ann.) | 24.86% | 4.84% |
| 5Y (ann.) | 13.06% | 4.7% |
| 10Y (ann.) | 13.36% | 4.96% |
| All-time (ann.) | 13.36% | 4.96% |
| 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 | -1.89% | -0.65% |
| Avg. Drawdown Days | 20 | 26 |
| Recovery Factor | 2.85 | 6.05 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.47 | 1.72 |
| Avg. Up Month | 4.08% | 0.89% |
| Avg. Down Month | -4.2% | -0.74% |
| Win Days | 54.04% | 57.4% |
| Win Month | 63.93% | 76.67% |
| Win Quarter | 66.67% | 90.48% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.08 |
| Alpha | - | 0.04 |
| Correlation | - | 32.0% |
| Treynor Ratio | - | 325.43% |
| Year | SPY | FSMMX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 4.13 | 0.55 | - |
| 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 | 14.30 | 4.24 | 0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-12-09 | 2023-10-23 | -4.06 | 319 |
| 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 | 2024-11-29 | -2.12 | 121 |
| 2022-02-11 | 2022-05-03 | -2.09 | 82 |
| 2024-12-12 | 2025-01-24 | -1.70 | 44 |
| 2026-02-27 | 2026-04-01 | -1.42 | 34 |
| 2025-09-09 | 2025-12-31 | -1.39 | 114 |
| 2022-05-05 | 2022-06-01 | -1.36 | 28 |