| Metric | SPY | FSMMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 77.0% |
| Cumulative Return | 207.58% | 34.08% |
| CAGR﹪ | 16.68% | 4.11% |
| Sharpe | 0.74 | 0.27 |
| Prob. Sharpe Ratio | 97.6% | 76.3% |
| Smart Sharpe | 0.64 | 0.23 |
| Sortino | 1.04 | 0.37 |
| Smart Sortino | 0.9 | 0.32 |
| Sortino/√2 | 0.74 | 0.26 |
| Smart Sortino/√2 | 0.64 | 0.22 |
| Omega | 1.19 | 1.21 |
| 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.) | 19.56% | 4.73% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.49 | 0.43 |
| Skew | -0.29 | -0.41 |
| Kurtosis | 13.84 | 48.12 |
| Ulcer Performance Index | 26.03 | 14.56 |
| Risk-Adjusted Return | 16.68% | 5.34% |
| Risk-Return Ratio | 0.06 | 0.06 |
| Avg. Return | 0.1% | 0.02% |
| Avg. Win | 0.93% | 0.24% |
| Avg. Loss | -1.06% | -0.25% |
| Win/Loss Ratio | 0.88 | 0.95 |
| Profit Ratio | 0.77 | 0.31 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.28% | 0.33% |
| Expected Yearly | 15.08% | 3.73% |
| Kelly Criterion | 4.58% | 10.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.47% |
| Expected Shortfall (cVaR) | -3.2% | -0.84% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.19 | 0.21 |
| Gain/Pain (1M) | 1.17 | 1.5 |
| Payoff Ratio | 0.88 | 0.95 |
| Profit Factor | 1.19 | 1.21 |
| Common Sense Ratio | 1.14 | 1.22 |
| CPC Index | 0.58 | 0.65 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.69 | 4.32 |
| Outlier Loss Ratio | 4.1 | 3.53 |
| 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.) | 16.68% | 4.11% |
| All-time (ann.) | 16.68% | 4.11% |
| 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 | -1.78% | -0.74% |
| Avg. Drawdown Days | 16 | 31 |
| Recovery Factor | 3.75 | 3.18 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.03 | 0.63 |
| Avg. Up Month | 4.22% | 0.93% |
| Avg. Down Month | -4.67% | -1.06% |
| Win Days | 55.26% | 56.24% |
| Win Month | 67.05% | 71.26% |
| Win Quarter | 76.67% | 83.33% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.09 |
| Alpha | - | 0.03 |
| Correlation | - | 37.99% |
| Treynor Ratio | - | 371.0% |
| 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 | 14.30 | 4.24 | 0.30 | - |
| 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 |
| 2026-02-27 | 2026-04-01 | -1.42 | 34 |