| Metric | SPY | MFLDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 86.61% | 48.56% |
| CAGR﹪ | 13.38% | 8.29% |
| Sharpe | 0.6 | 0.4 |
| Prob. Sharpe Ratio | 90.86% | 81.68% |
| Smart Sharpe | 0.58 | 0.4 |
| Sortino | 0.86 | 0.57 |
| Smart Sortino | 0.83 | 0.56 |
| Sortino/√2 | 0.61 | 0.4 |
| Smart Sortino/√2 | 0.59 | 0.4 |
| Omega | 1.16 | 1.14 |
| Max Drawdown | -24.5% | -16.02% |
| Max DD Date | 2022-10-12 | 2022-09-26 |
| Max DD Period Start | 2022-01-04 | 2022-04-19 |
| Max DD Period End | 2023-12-12 | 2024-03-26 |
| Longest DD Days | 708 | 708 |
| Volatility (ann.) | 17.21% | 12.11% |
| R^2 | 0.49 | 0.49 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.52 |
| Skew | 0.32 | 0.15 |
| Kurtosis | 8.94 | 8.76 |
| Ulcer Performance Index | 10.24 | 9.52 |
| Risk-Adjusted Return | 13.38% | 8.46% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.83% | 0.6% |
| Avg. Loss | -0.86% | -0.63% |
| Win/Loss Ratio | 0.96 | 0.96 |
| Profit Ratio | 0.83 | 0.77 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.03% | 0.65% |
| Expected Yearly | 10.96% | 6.82% |
| Kelly Criterion | 6.41% | 5.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.22% |
| Expected Shortfall (cVaR) | -2.58% | -1.83% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.14 |
| Gain/Pain (1M) | 0.87 | 0.85 |
| Payoff Ratio | 0.96 | 0.96 |
| Profit Factor | 1.16 | 1.14 |
| Common Sense Ratio | 1.17 | 1.05 |
| CPC Index | 0.6 | 0.58 |
| Tail Ratio | 1.01 | 0.93 |
| Outlier Win Ratio | 3.41 | 3.4 |
| Outlier Loss Ratio | 3.77 | 3.7 |
| MTD | 1.09% | 1.08% |
| 3M | 3.84% | 1.77% |
| 6M | 19.87% | 13.86% |
| YTD | 14.32% | 10.08% |
| 1Y | 17.8% | 12.64% |
| 3Y (ann.) | 24.9% | 12.15% |
| 5Y (ann.) | 13.12% | 7.68% |
| 10Y (ann.) | 13.38% | 8.29% |
| All-time (ann.) | 13.38% | 8.29% |
| Best Day | 10.5% | 7.23% |
| Worst Day | -5.85% | -4.59% |
| Best Month | 10.51% | 8.27% |
| Worst Month | -9.24% | -7.94% |
| Best Year | 26.18% | 17.66% |
| Worst Year | -18.18% | -0.1% |
| Avg. Drawdown | -1.89% | -2.0% |
| Avg. Drawdown Days | 20 | 26 |
| Recovery Factor | 2.85 | 2.7 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.47 | 0.52 |
| Avg. Up Month | 4.32% | 2.73% |
| Avg. Down Month | -3.86% | -2.12% |
| Win Days | 54.08% | 53.76% |
| Win Month | 63.93% | 57.38% |
| Win Quarter | 66.67% | 57.14% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.49 |
| Alpha | - | 0.02 |
| Correlation | - | 70.31% |
| Treynor Ratio | - | 98.17% |
| Year | SPY | MFLDX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 5.26 | 0.70 | - |
| 2022 | -18.18 | 3.09 | -0.17 | + |
| 2023 | 26.18 | -0.10 | -0.00 | - |
| 2024 | 24.89 | 5.82 | 0.23 | - |
| 2025 | 17.72 | 17.66 | 1.00 | - |
| 2026 | 14.32 | 10.08 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-04-19 | 2024-03-26 | -16.02 | 708 |
| 2025-02-20 | 2025-06-09 | -14.54 | 110 |
| 2024-04-10 | 2024-10-10 | -8.79 | 184 |
| 2026-01-29 | 2026-04-13 | -7.41 | 75 |
| 2024-12-05 | 2025-01-21 | -4.32 | 48 |
| 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 |
| 2021-11-17 | 2021-12-06 | -3.63 | 20 |
| 2026-08-14 | 2026-09-21 | -3.16 | 39 |