| Metric | SPY | MFLDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 17.89% | 12.86% |
| CAGR﹪ | 18.12% | 13.02% |
| Sharpe | 1.04 | 0.77 |
| Prob. Sharpe Ratio | 84.76% | 77.62% |
| Smart Sharpe | 1.01 | 0.73 |
| Sortino | 1.51 | 1.11 |
| Smart Sortino | 1.47 | 1.05 |
| Sortino/√2 | 1.07 | 0.78 |
| Smart Sortino/√2 | 1.04 | 0.74 |
| Omega | 1.25 | 1.2 |
| Max Drawdown | -8.88% | -7.41% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-01-29 |
| Max DD Period End | 2026-04-13 | 2026-04-13 |
| Longest DD Days | 76 | 75 |
| Volatility (ann.) | 13.02% | 11.66% |
| R^2 | 0.89 | 0.89 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.04 | 1.76 |
| Skew | -0.15 | -0.07 |
| Kurtosis | 1.03 | 1.04 |
| Ulcer Performance Index | 8.29 | 7.05 |
| Risk-Adjusted Return | 18.12% | 13.29% |
| Risk-Return Ratio | 0.08 | 0.07 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.71% | 0.63% |
| Avg. Loss | -0.67% | -0.61% |
| Win/Loss Ratio | 1.06 | 1.04 |
| Profit Ratio | 0.92 | 0.8 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.27% | 0.93% |
| Expected Yearly | 8.58% | 6.23% |
| Kelly Criterion | 10.23% | 9.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.16% |
| Expected Shortfall (cVaR) | -1.72% | -1.59% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.2 |
| Gain/Pain (1M) | 2.61 | 2.21 |
| Payoff Ratio | 1.06 | 1.04 |
| Profit Factor | 1.25 | 1.2 |
| Common Sense Ratio | 1.24 | 1.08 |
| CPC Index | 0.71 | 0.67 |
| Tail Ratio | 0.99 | 0.9 |
| Outlier Win Ratio | 2.88 | 3.6 |
| Outlier Loss Ratio | 3.17 | 3.22 |
| MTD | 1.09% | 1.08% |
| 3M | 3.84% | 1.77% |
| 6M | 19.87% | 13.86% |
| YTD | 14.32% | 10.08% |
| 1Y | 17.89% | 12.86% |
| 3Y (ann.) | 18.12% | 13.02% |
| 5Y (ann.) | 18.12% | 13.02% |
| 10Y (ann.) | 18.12% | 13.02% |
| All-time (ann.) | 18.12% | 13.02% |
| Best Day | 2.91% | 2.49% |
| Worst Day | -2.7% | -2.36% |
| Best Month | 10.51% | 8.27% |
| Worst Month | -4.94% | -3.71% |
| Best Year | 14.32% | 10.08% |
| Worst Year | 3.13% | 2.52% |
| Avg. Drawdown | -1.71% | -1.78% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | 1.95 | 1.72 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 1.1 |
| Avg. Up Month | 3.0% | 2.13% |
| Avg. Down Month | -2.9% | -2.29% |
| Win Days | 53.82% | 53.72% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.84 |
| Alpha | - | -0.02 |
| Correlation | - | 94.33% |
| Treynor Ratio | - | 15.22% |
| Year | SPY | MFLDX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 2.52 | 0.81 | - |
| 2026 | 14.32 | 10.08 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-29 | 2026-04-13 | -7.41 | 75 |
| 2026-07-16 | 2026-08-03 | -4.24 | 19 |
| 2025-11-13 | 2025-12-10 | -3.74 | 28 |
| 2026-06-03 | 2026-06-18 | -3.65 | 16 |
| 2026-08-14 | 2026-09-21 | -3.16 | 39 |
| 2025-12-12 | 2025-12-23 | -2.67 | 12 |
| 2026-01-13 | 2026-01-26 | -2.51 | 14 |
| 2025-10-03 | 2025-10-22 | -2.37 | 20 |
| 2026-05-15 | 2026-06-01 | -1.92 | 18 |
| 2026-06-23 | 2026-06-29 | -1.91 | 7 |