| Metric | SPY | MFLDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 14.39% | 7.71% |
| CAGR﹪ | 14.51% | 7.77% |
| Sharpe | 0.83 | 0.38 |
| Prob. Sharpe Ratio | 79.61% | 64.85% |
| Smart Sharpe | 0.82 | 0.38 |
| Sortino | 1.22 | 0.54 |
| Smart Sortino | 1.2 | 0.54 |
| Sortino/√2 | 0.86 | 0.39 |
| Smart Sortino/√2 | 0.85 | 0.38 |
| Omega | 1.2 | 1.12 |
| 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.) | 12.86% | 11.74% |
| R^2 | 0.87 | 0.87 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 1.63 | 1.05 |
| Skew | -0.02 | -0.07 |
| Kurtosis | 0.78 | 1.01 |
| Ulcer Performance Index | 6.68 | 3.9 |
| Risk-Adjusted Return | 14.51% | 7.93% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.71% | 0.64% |
| Avg. Loss | -0.65% | -0.61% |
| Win/Loss Ratio | 1.09 | 1.04 |
| Profit Ratio | 1.02 | 0.87 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.57% |
| Expected Yearly | 6.95% | 3.78% |
| Kelly Criterion | 7.9% | 6.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.18% |
| Expected Shortfall (cVaR) | -1.66% | -1.67% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.12 |
| Gain/Pain (1M) | 1.83 | 0.99 |
| Payoff Ratio | 1.09 | 1.04 |
| Profit Factor | 1.2 | 1.12 |
| Common Sense Ratio | 1.19 | 0.99 |
| CPC Index | 0.68 | 0.61 |
| Tail Ratio | 0.99 | 0.88 |
| Outlier Win Ratio | 2.84 | 3.54 |
| Outlier Loss Ratio | 3.01 | 3.19 |
| MTD | 1.47% | 0.34% |
| 3M | 1.46% | -1.15% |
| 6M | 6.94% | 2.6% |
| YTD | 13.33% | 7.64% |
| 1Y | 14.39% | 7.71% |
| 3Y (ann.) | 14.51% | 7.77% |
| 5Y (ann.) | 14.51% | 7.77% |
| 10Y (ann.) | 14.51% | 7.77% |
| All-time (ann.) | 14.51% | 7.77% |
| Best Day | 2.91% | 2.49% |
| Worst Day | -2.58% | -2.36% |
| Best Month | 10.51% | 8.27% |
| Worst Month | -4.94% | -3.71% |
| Best Year | 13.33% | 7.64% |
| Worst Year | 0.94% | 0.06% |
| Avg. Drawdown | -1.74% | -1.94% |
| Avg. Drawdown Days | 14 | 14 |
| Recovery Factor | 1.61 | 1.09 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 0.65 |
| Avg. Up Month | 3.71% | 2.31% |
| Avg. Down Month | -2.24% | -2.33% |
| Win Days | 52.0% | 52.24% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.85 |
| Alpha | - | -0.04 |
| Correlation | - | 93.37% |
| Treynor Ratio | - | 9.04% |
| Year | SPY | MFLDX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.06 | 0.07 | - |
| 2026 | 13.33 | 7.64 | 0.57 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-29 | 2026-04-13 | -7.41 | 75 |
| 2026-10-07 | 2026-11-04 | -4.90 | 29 |
| 2026-07-16 | 2026-07-31 | -4.24 | 16 |
| 2025-11-13 | 2025-12-10 | -3.74 | 28 |
| 2026-06-03 | 2026-06-18 | -3.65 | 16 |
| 2026-08-14 | 2026-10-01 | -3.16 | 49 |
| 2025-12-12 | 2025-12-23 | -2.67 | 12 |
| 2026-01-13 | 2026-01-26 | -2.51 | 14 |
| 2026-05-15 | 2026-06-01 | -1.92 | 18 |
| 2026-06-23 | 2026-06-29 | -1.91 | 7 |