| Metric | SPY | FTMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 79.21% | 16.9% |
| CAGR﹪ | 12.49% | 3.2% |
| Sharpe | 0.55 | -0.22 |
| Prob. Sharpe Ratio | 89.05% | 30.92% |
| Smart Sharpe | 0.53 | -0.2 |
| Sortino | 0.79 | -0.29 |
| Smart Sortino | 0.77 | -0.27 |
| Sortino/√2 | 0.56 | -0.21 |
| Smart Sortino/√2 | 0.54 | -0.19 |
| Omega | 1.15 | 1.23 |
| 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.) | 17.19% | 2.74% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.51 | 0.45 |
| Skew | 0.32 | -0.63 |
| Kurtosis | 9.0 | 3.09 |
| Ulcer Performance Index | 9.29 | 6.71 |
| Risk-Adjusted Return | 12.49% | 3.68% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.07% | 0.01% |
| Avg. Win | 0.83% | 0.14% |
| Avg. Loss | -1.0% | -0.17% |
| Win/Loss Ratio | 0.84 | 0.83 |
| Profit Ratio | 0.83 | 0.34 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 0.96% | 0.26% |
| Expected Yearly | 10.21% | 2.64% |
| Kelly Criterion | -1.17% | 12.4% |
| 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 | 0.15 | 0.23 |
| Gain/Pain (1M) | 0.78 | 1.21 |
| Payoff Ratio | 0.84 | 0.83 |
| Profit Factor | 1.15 | 1.23 |
| Common Sense Ratio | 1.15 | 1.18 |
| CPC Index | 0.52 | 0.62 |
| Tail Ratio | 1.01 | 0.96 |
| Outlier Win Ratio | 3.42 | 4.63 |
| Outlier Loss Ratio | 3.78 | 3.29 |
| MTD | 1.08% | 0.37% |
| 3M | 3.82% | -0.1% |
| 6M | 19.85% | 2.46% |
| YTD | 11.61% | 1.75% |
| 1Y | 13.13% | 2.86% |
| 3Y (ann.) | 23.27% | 5.7% |
| 5Y (ann.) | 12.17% | 3.12% |
| 10Y (ann.) | 12.49% | 3.2% |
| All-time (ann.) | 12.49% | 3.2% |
| 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 | -1.93% | -0.39% |
| Avg. Drawdown Days | 23 | 19 |
| Recovery Factor | 2.68 | 2.22 |
| Ulcer Index | 0.09 | 0.03 |
| Serenity Index | 0.44 | 0.19 |
| Avg. Up Month | 4.17% | 0.79% |
| Avg. Down Month | -4.12% | -0.65% |
| Win Days | 53.89% | 60.2% |
| Win Month | 62.3% | 66.67% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.12 |
| Alpha | - | 0.02 |
| Correlation | - | 72.81% |
| Treynor Ratio | - | 145.75% |
| Year | SPY | FTMAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.41 | 0.05 | - |
| 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 | 11.61 | 1.75 | 0.15 | - |
| 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 |
| 2026-07-16 | 2026-08-06 | -1.05 | 22 |
| 2024-04-16 | 2024-05-08 | -0.83 | 23 |
| 2026-08-18 | 2026-09-22 | -0.80 | 36 |
| 2026-06-22 | 2026-07-09 | -0.67 | 18 |
| 2026-06-03 | 2026-06-17 | -0.63 | 15 |