| Metric | SPY | FTMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 192.93% | 34.38% |
| CAGR﹪ | 15.66% | 4.08% |
| Sharpe | 0.7 | 0.3 |
| Prob. Sharpe Ratio | 96.99% | 77.78% |
| Smart Sharpe | 0.6 | 0.28 |
| Sortino | 0.98 | 0.36 |
| Smart Sortino | 0.85 | 0.34 |
| Sortino/√2 | 0.69 | 0.26 |
| Smart Sortino/√2 | 0.6 | 0.24 |
| Omega | 1.18 | 1.27 |
| Max Drawdown | -33.72% | -18.71% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-01-08 |
| Max DD Period End | 2020-08-07 | 2020-11-30 |
| Longest DD Days | 708 | 739 |
| Volatility (ann.) | 19.45% | 4.05% |
| R^2 | 0.43 | 0.43 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.46 | 0.22 |
| Skew | -0.28 | -6.21 |
| Kurtosis | 13.97 | 116.7 |
| Ulcer Performance Index | 24.24 | 10.16 |
| Risk-Adjusted Return | 15.66% | 4.64% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.87% | 0.16% |
| Avg. Loss | -1.09% | -0.2% |
| Win/Loss Ratio | 0.8 | 0.79 |
| Profit Ratio | 0.78 | 0.34 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.2% | 0.33% |
| Expected Yearly | 14.38% | 3.76% |
| Kelly Criterion | -1.06% | 11.76% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.4% |
| Expected Shortfall (cVaR) | -3.2% | -0.85% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.27 |
| Gain/Pain (1M) | 1.08 | 1.04 |
| Payoff Ratio | 0.8 | 0.79 |
| Profit Factor | 1.18 | 1.27 |
| Common Sense Ratio | 1.12 | 1.39 |
| CPC Index | 0.52 | 0.61 |
| Tail Ratio | 0.95 | 1.1 |
| Outlier Win Ratio | 3.7 | 4.72 |
| Outlier Loss Ratio | 4.12 | 3.44 |
| 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.) | 15.66% | 4.08% |
| All-time (ann.) | 15.66% | 4.08% |
| Best Day | 10.5% | 2.25% |
| Worst Day | -10.94% | -5.19% |
| Best Month | 12.7% | 5.05% |
| Worst Month | -12.49% | -11.47% |
| Best Year | 28.73% | 7.86% |
| Worst Year | -18.18% | -5.38% |
| Avg. Drawdown | -1.81% | -0.46% |
| Avg. Drawdown Days | 17 | 16 |
| Recovery Factor | 3.6 | 1.61 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.99 | 0.23 |
| Avg. Up Month | 4.13% | 1.0% |
| Avg. Down Month | -4.14% | -1.22% |
| Win Days | 55.05% | 61.17% |
| Win Month | 64.44% | 73.33% |
| Win Quarter | 77.42% | 80.65% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.14 |
| Alpha | - | 0.02 |
| Correlation | - | 65.69% |
| Treynor Ratio | - | 251.19% |
| Year | SPY | FTMAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 5.12 | 0.31 | - |
| 2020 | 18.33 | 2.30 | 0.13 | - |
| 2021 | 28.73 | 6.87 | 0.24 | - |
| 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 |
|---|---|---|---|
| 2020-01-08 | 2020-11-30 | -18.71 | 328 |
| 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 |
| 2019-11-06 | 2019-12-06 | -0.88 | 31 |
| 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 |