| Metric | SPY | FTMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 195.44% | 33.79% |
| CAGR﹪ | 16.08% | 4.09% |
| Sharpe | 0.71 | 0.3 |
| Prob. Sharpe Ratio | 97.16% | 77.53% |
| Smart Sharpe | 0.62 | 0.28 |
| Sortino | 1.0 | 0.36 |
| Smart Sortino | 0.87 | 0.34 |
| Sortino/√2 | 0.71 | 0.26 |
| Smart Sortino/√2 | 0.61 | 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.) | 19.56% | 4.08% |
| R^2 | 0.43 | 0.43 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.22 |
| Skew | -0.29 | -6.21 |
| Kurtosis | 13.87 | 115.97 |
| Ulcer Performance Index | 24.36 | 9.9 |
| Risk-Adjusted Return | 16.08% | 4.65% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.88% | 0.16% |
| Avg. Loss | -1.1% | -0.2% |
| Win/Loss Ratio | 0.8 | 0.79 |
| Profit Ratio | 0.78 | 0.34 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.24% | 0.33% |
| Expected Yearly | 14.5% | 3.71% |
| Kelly Criterion | -0.79% | 11.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.41% |
| Expected Shortfall (cVaR) | -3.2% | -0.84% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.27 |
| Gain/Pain (1M) | 1.1 | 1.02 |
| Payoff Ratio | 0.8 | 0.79 |
| Profit Factor | 1.18 | 1.27 |
| Common Sense Ratio | 1.13 | 1.37 |
| CPC Index | 0.52 | 0.61 |
| Tail Ratio | 0.96 | 1.08 |
| Outlier Win Ratio | 3.7 | 4.71 |
| Outlier Loss Ratio | 4.1 | 3.51 |
| 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.) | 16.08% | 4.09% |
| All-time (ann.) | 16.08% | 4.09% |
| 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 | -1.8% | -0.46% |
| Avg. Drawdown Days | 17 | 16 |
| Recovery Factor | 3.63 | 1.59 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.99 | 0.22 |
| Avg. Up Month | 4.19% | 1.01% |
| Avg. Down Month | -4.49% | -1.33% |
| Win Days | 55.17% | 61.16% |
| Win Month | 65.91% | 73.56% |
| Win Quarter | 76.67% | 80.0% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.14 |
| Alpha | - | 0.02 |
| Correlation | - | 65.53% |
| Treynor Ratio | - | 247.39% |
| 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 | 11.61 | 1.75 | 0.15 | - |
| 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 |
| 2026-07-16 | 2026-08-06 | -1.05 | 22 |
| 2019-11-06 | 2019-12-06 | -0.88 | 31 |
| 2024-04-16 | 2024-05-08 | -0.83 | 23 |
| 2026-08-18 | 2026-09-22 | -0.80 | 36 |