| Metric | SPY | FSMMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 77.0% |
| Cumulative Return | 204.97% | 32.8% |
| CAGR﹪ | 16.25% | 3.91% |
| Sharpe | 0.72 | 0.23 |
| Prob. Sharpe Ratio | 97.45% | 73.0% |
| Smart Sharpe | 0.63 | 0.19 |
| Sortino | 1.02 | 0.31 |
| Smart Sortino | 0.88 | 0.27 |
| Sortino/√2 | 0.72 | 0.22 |
| Smart Sortino/√2 | 0.62 | 0.19 |
| Omega | 1.18 | 1.2 |
| Max Drawdown | -33.72% | -9.47% |
| Max DD Date | 2020-03-23 | 2020-03-24 |
| Max DD Period Start | 2020-02-20 | 2019-09-05 |
| Max DD Period End | 2020-08-07 | 2021-03-11 |
| Longest DD Days | 708 | 554 |
| Volatility (ann.) | 19.45% | 4.73% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.41 |
| Skew | -0.29 | -0.4 |
| Kurtosis | 13.94 | 47.29 |
| Ulcer Performance Index | 25.91 | 14.11 |
| Risk-Adjusted Return | 16.25% | 5.07% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.09% | 0.02% |
| Avg. Win | 0.93% | 0.24% |
| Avg. Loss | -1.05% | -0.26% |
| Win/Loss Ratio | 0.88 | 0.94 |
| Profit Ratio | 0.78 | 0.31 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.32% |
| Expected Yearly | 14.96% | 3.61% |
| Kelly Criterion | 4.43% | 9.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.47% |
| Expected Shortfall (cVaR) | -3.2% | -0.85% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.2 |
| Gain/Pain (1M) | 1.15 | 1.39 |
| Payoff Ratio | 0.88 | 0.94 |
| Profit Factor | 1.18 | 1.2 |
| Common Sense Ratio | 1.13 | 1.21 |
| CPC Index | 0.58 | 0.63 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.69 | 4.36 |
| Outlier Loss Ratio | 4.12 | 3.54 |
| 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.) | 16.25% | 3.91% |
| All-time (ann.) | 16.25% | 3.91% |
| Best Day | 10.5% | 3.83% |
| Worst Day | -10.94% | -3.7% |
| Best Month | 12.7% | 3.36% |
| Worst Month | -12.49% | -3.12% |
| Best Year | 28.73% | 13.62% |
| Worst Year | -18.18% | -3.99% |
| Avg. Drawdown | -1.79% | -0.74% |
| Avg. Drawdown Days | 16 | 32 |
| Recovery Factor | 3.72 | 3.08 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.03 | 0.61 |
| Avg. Up Month | 4.16% | 0.91% |
| Avg. Down Month | -4.13% | -0.99% |
| Win Days | 55.15% | 56.11% |
| Win Month | 65.56% | 70.0% |
| Win Quarter | 77.42% | 80.65% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.09 |
| Alpha | - | 0.02 |
| Correlation | - | 38.02% |
| Treynor Ratio | - | 354.79% |
| Year | SPY | FSMMX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 0.61 | 0.04 | - |
| 2020 | 18.33 | -3.99 | -0.22 | - |
| 2021 | 28.73 | 13.62 | 0.47 | - |
| 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 |
|---|---|---|---|
| 2019-09-05 | 2021-03-11 | -9.47 | 554 |
| 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 |
| 2021-05-11 | 2021-10-08 | -1.77 | 151 |
| 2024-12-12 | 2025-01-24 | -1.70 | 44 |
| 2026-08-26 | 2026-11-04 | -1.64 | 71 |