| Metric | SPY | MFLDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 204.97% | 93.17% |
| CAGR﹪ | 16.25% | 9.3% |
| Sharpe | 0.72 | 0.5 |
| Prob. Sharpe Ratio | 97.45% | 91.3% |
| Smart Sharpe | 0.63 | 0.47 |
| Sortino | 1.02 | 0.7 |
| Smart Sortino | 0.88 | 0.65 |
| Sortino/√2 | 0.72 | 0.5 |
| Smart Sortino/√2 | 0.62 | 0.46 |
| Omega | 1.18 | 1.14 |
| Max Drawdown | -33.72% | -26.36% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2020-01-21 |
| Max DD Period End | 2020-08-07 | 2020-07-07 |
| Longest DD Days | 708 | 708 |
| Volatility (ann.) | 19.45% | 13.89% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.35 |
| Skew | -0.29 | -0.3 |
| Kurtosis | 13.94 | 15.74 |
| Ulcer Performance Index | 25.91 | 17.89 |
| Risk-Adjusted Return | 16.25% | 9.49% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.89% | 0.65% |
| Avg. Loss | -0.95% | -0.7% |
| Win/Loss Ratio | 0.93 | 0.94 |
| Profit Ratio | 0.78 | 0.77 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.25% | 0.73% |
| Expected Yearly | 14.96% | 8.58% |
| Kelly Criterion | 7.17% | 4.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.4% |
| Expected Shortfall (cVaR) | -3.2% | -2.21% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.14 |
| Gain/Pain (1M) | 1.15 | 0.89 |
| Payoff Ratio | 0.93 | 0.94 |
| Profit Factor | 1.18 | 1.14 |
| Common Sense Ratio | 1.13 | 1.09 |
| CPC Index | 0.61 | 0.58 |
| Tail Ratio | 0.96 | 0.95 |
| Outlier Win Ratio | 3.69 | 3.97 |
| Outlier Loss Ratio | 4.12 | 3.61 |
| 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.) | 16.25% | 9.3% |
| All-time (ann.) | 16.25% | 9.3% |
| Best Day | 10.5% | 8.56% |
| Worst Day | -10.94% | -7.09% |
| Best Month | 12.7% | 11.89% |
| Worst Month | -12.49% | -10.28% |
| Best Year | 28.73% | 20.2% |
| Worst Year | -18.18% | -0.1% |
| Avg. Drawdown | -1.79% | -2.2% |
| Avg. Drawdown Days | 16 | 28 |
| Recovery Factor | 3.72 | 2.77 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.03 | 0.89 |
| Avg. Up Month | 4.42% | 3.02% |
| Avg. Down Month | -3.89% | -2.51% |
| Win Days | 55.15% | 53.82% |
| Win Month | 65.56% | 58.89% |
| Win Quarter | 77.42% | 61.29% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.55 |
| Alpha | - | 0.0 |
| Correlation | - | 77.72% |
| Treynor Ratio | - | 167.88% |
| Year | SPY | MFLDX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 7.24 | 0.44 | - |
| 2020 | 18.33 | 20.20 | 1.10 | + |
| 2021 | 28.73 | 8.58 | 0.30 | - |
| 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 |
|---|---|---|---|
| 2020-01-21 | 2020-07-07 | -26.36 | 169 |
| 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 |
| 2021-05-11 | 2022-03-03 | -8.73 | 297 |
| 2026-01-29 | 2026-04-13 | -7.41 | 75 |
| 2019-07-02 | 2019-10-21 | -5.81 | 112 |
| 2020-10-15 | 2020-11-04 | -4.93 | 21 |
| 2026-10-07 | 2026-11-04 | -4.90 | 29 |
| 2021-02-17 | 2021-04-01 | -4.89 | 44 |