| Metric | SPY | MFLDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 74.99% | 40.77% |
| CAGR﹪ | 11.91% | 7.12% |
| Sharpe | 0.52 | 0.31 |
| Prob. Sharpe Ratio | 87.6% | 75.48% |
| Smart Sharpe | 0.5 | 0.3 |
| Sortino | 0.74 | 0.43 |
| Smart Sortino | 0.72 | 0.43 |
| Sortino/√2 | 0.53 | 0.31 |
| Smart Sortino/√2 | 0.51 | 0.3 |
| Omega | 1.14 | 1.12 |
| 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.) | 17.19% | 12.15% |
| R^2 | 0.5 | 0.5 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.44 |
| Skew | 0.33 | 0.14 |
| Kurtosis | 8.98 | 8.66 |
| Ulcer Performance Index | 8.86 | 7.98 |
| Risk-Adjusted Return | 11.91% | 7.26% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.83% | 0.6% |
| Avg. Loss | -0.85% | -0.63% |
| Win/Loss Ratio | 0.97 | 0.96 |
| Profit Ratio | 0.86 | 0.78 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.92% | 0.56% |
| Expected Yearly | 9.77% | 5.86% |
| Kelly Criterion | 5.68% | 4.76% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.23% |
| Expected Shortfall (cVaR) | -2.58% | -1.85% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.12 |
| Gain/Pain (1M) | 0.79 | 0.71 |
| Payoff Ratio | 0.97 | 0.96 |
| Profit Factor | 1.14 | 1.12 |
| Common Sense Ratio | 1.15 | 1.0 |
| CPC Index | 0.59 | 0.57 |
| Tail Ratio | 1.0 | 0.9 |
| Outlier Win Ratio | 3.4 | 3.39 |
| Outlier Loss Ratio | 3.8 | 3.72 |
| MTD | 1.47% | 0.34% |
| 3M | 1.46% | -1.15% |
| 6M | 6.94% | 2.6% |
| YTD | 13.33% | 7.64% |
| 1Y | 13.43% | 7.47% |
| 3Y (ann.) | 20.78% | 11.22% |
| 5Y (ann.) | 12.86% | 7.49% |
| 10Y (ann.) | 11.91% | 7.12% |
| All-time (ann.) | 11.91% | 7.12% |
| 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 | -1.94% | -2.16% |
| Avg. Drawdown Days | 21 | 28 |
| Recovery Factor | 2.58 | 2.36 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.43 | 0.45 |
| Avg. Up Month | 4.25% | 2.69% |
| Avg. Down Month | -3.85% | -2.24% |
| Win Days | 53.48% | 53.35% |
| Win Month | 62.3% | 57.38% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.5 |
| Alpha | - | 0.01 |
| Correlation | - | 70.56% |
| Treynor Ratio | - | 81.76% |
| Year | SPY | MFLDX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 1.99 | 1.15 | + |
| 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 | 13.33 | 7.64 | 0.57 | - |
| 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 |
| 2026-10-07 | 2026-11-04 | -4.90 | 29 |
| 2024-12-05 | 2025-01-21 | -4.32 | 48 |
| 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 |
| 2021-11-17 | 2021-12-06 | -3.63 | 20 |