| Metric | SPY | FTMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 68.08% | 16.3% |
| CAGR﹪ | 11.04% | 3.09% |
| Sharpe | 0.47 | -0.28 |
| Prob. Sharpe Ratio | 85.37% | 26.37% |
| Smart Sharpe | 0.46 | -0.25 |
| Sortino | 0.68 | -0.37 |
| Smart Sortino | 0.66 | -0.33 |
| Sortino/√2 | 0.48 | -0.26 |
| Smart Sortino/√2 | 0.47 | -0.24 |
| Omega | 1.13 | 1.22 |
| Max Drawdown | -24.5% | -7.11% |
| Max DD Date | 2022-10-12 | 2022-11-03 |
| Max DD Period Start | 2022-01-04 | 2021-11-16 |
| Max DD Period End | 2023-12-12 | 2023-11-24 |
| Longest DD Days | 708 | 739 |
| Volatility (ann.) | 17.18% | 2.76% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.45 | 0.44 |
| Skew | 0.33 | -0.61 |
| Kurtosis | 9.03 | 2.94 |
| Ulcer Performance Index | 7.98 | 6.47 |
| Risk-Adjusted Return | 11.04% | 3.56% |
| Risk-Return Ratio | 0.04 | 0.07 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.83% | 0.14% |
| Avg. Loss | -0.99% | -0.17% |
| Win/Loss Ratio | 0.84 | 0.83 |
| Profit Ratio | 0.86 | 0.33 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.85% | 0.25% |
| Expected Yearly | 9.04% | 2.55% |
| Kelly Criterion | -2.04% | 12.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.27% |
| Expected Shortfall (cVaR) | -2.58% | -0.44% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.13 | 0.22 |
| Gain/Pain (1M) | 0.71 | 1.17 |
| Payoff Ratio | 0.84 | 0.83 |
| Profit Factor | 1.13 | 1.22 |
| Common Sense Ratio | 1.13 | 1.22 |
| CPC Index | 0.51 | 0.61 |
| Tail Ratio | 1.0 | 1.0 |
| Outlier Win Ratio | 3.41 | 4.59 |
| Outlier Loss Ratio | 3.8 | 3.23 |
| MTD | 1.47% | 0.17% |
| 3M | 1.46% | 0.1% |
| 6M | 6.94% | 1.63% |
| YTD | 10.66% | 2.2% |
| 1Y | 8.95% | 2.38% |
| 3Y (ann.) | 19.24% | 5.28% |
| 5Y (ann.) | 11.97% | 3.37% |
| 10Y (ann.) | 11.04% | 3.09% |
| All-time (ann.) | 11.04% | 3.09% |
| Best Day | 10.5% | 0.65% |
| Worst Day | -5.85% | -0.83% |
| Best Month | 10.51% | 1.91% |
| Worst Month | -9.24% | -2.07% |
| Best Year | 26.18% | 7.86% |
| Worst Year | -18.18% | -5.38% |
| Avg. Drawdown | -1.98% | -0.41% |
| Avg. Drawdown Days | 24 | 20 |
| Recovery Factor | 2.42 | 2.15 |
| Ulcer Index | 0.09 | 0.03 |
| Serenity Index | 0.4 | 0.18 |
| Avg. Up Month | 3.98% | 0.78% |
| Avg. Down Month | -3.9% | -0.63% |
| Win Days | 53.33% | 60.17% |
| Win Month | 60.66% | 67.21% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.12 |
| Alpha | - | 0.02 |
| Correlation | - | 73.23% |
| Treynor Ratio | - | 138.84% |
| Year | SPY | FTMAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.54 | -0.31 | - |
| 2022 | -18.18 | -5.38 | 0.30 | + |
| 2023 | 26.18 | 7.32 | 0.28 | - |
| 2024 | 24.89 | 7.86 | 0.32 | - |
| 2025 | 15.80 | 4.47 | 0.28 | - |
| 2026 | 10.66 | 2.20 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-16 | 2023-11-24 | -7.11 | 739 |
| 2025-02-20 | 2025-06-27 | -3.93 | 128 |
| 2026-02-04 | 2026-05-05 | -1.48 | 91 |
| 2024-07-17 | 2024-08-16 | -1.16 | 31 |
| 2025-10-29 | 2025-12-22 | -1.08 | 55 |
| 2024-04-16 | 2024-05-08 | -0.83 | 23 |
| 2026-10-08 | 2026-11-04 | -0.81 | 28 |
| 2026-06-22 | 2026-07-09 | -0.67 | 18 |
| 2026-09-23 | 2026-10-06 | -0.64 | 14 |
| 2026-06-03 | 2026-06-17 | -0.63 | 15 |