| Metric | SPY | MFTTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 17.87% | 30.75% |
| CAGR﹪ | 18.02% | 31.03% |
| Sharpe | 1.04 | 1.33 |
| Prob. Sharpe Ratio | 84.73% | 90.48% |
| Smart Sharpe | 1.01 | 1.32 |
| Sortino | 1.51 | 1.94 |
| Smart Sortino | 1.47 | 1.92 |
| Sortino/√2 | 1.07 | 1.37 |
| Smart Sortino/√2 | 1.04 | 1.36 |
| Omega | 1.25 | 1.29 |
| Max Drawdown | -8.88% | -9.94% |
| Max DD Date | 2026-03-30 | 2026-03-23 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-05-08 |
| Longest DD Days | 76 | 99 |
| Volatility (ann.) | 12.99% | 18.67% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 2.03 | 3.12 |
| Skew | -0.15 | -0.23 |
| Kurtosis | 1.05 | 0.64 |
| Ulcer Performance Index | 8.3 | 7.41 |
| Risk-Adjusted Return | 18.02% | 32.67% |
| Risk-Return Ratio | 0.08 | 0.1 |
| Avg. Return | 0.06% | 0.12% |
| Avg. Win | 0.64% | 1.1% |
| Avg. Loss | -0.75% | -1.18% |
| Win/Loss Ratio | 0.86 | 0.93 |
| Profit Ratio | 0.94 | 0.63 |
| Expected Daily | 0.07% | 0.11% |
| Expected Monthly | 1.27% | 2.08% |
| Expected Yearly | 8.57% | 14.35% |
| Kelly Criterion | -0.46% | 9.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.82% |
| Expected Shortfall (cVaR) | -1.72% | -2.55% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.25 | 0.29 |
| Gain/Pain (1M) | 2.6 | 2.63 |
| Payoff Ratio | 0.86 | 0.93 |
| Profit Factor | 1.25 | 1.29 |
| Common Sense Ratio | 1.24 | 1.42 |
| CPC Index | 0.57 | 0.68 |
| Tail Ratio | 0.99 | 1.1 |
| Outlier Win Ratio | 2.88 | 3.35 |
| Outlier Loss Ratio | 3.19 | 3.0 |
| MTD | 1.08% | 2.07% |
| 3M | 3.82% | 4.73% |
| 6M | 19.85% | 12.63% |
| YTD | 14.3% | 18.01% |
| 1Y | 17.87% | 30.75% |
| 3Y (ann.) | 18.02% | 31.03% |
| 5Y (ann.) | 18.02% | 31.03% |
| 10Y (ann.) | 18.02% | 31.03% |
| All-time (ann.) | 18.02% | 31.03% |
| Best Day | 2.91% | 3.35% |
| Worst Day | -2.7% | -3.48% |
| Best Month | 10.51% | 7.17% |
| Worst Month | -4.94% | -6.33% |
| Best Year | 14.3% | 18.01% |
| Worst Year | 3.13% | 10.79% |
| Avg. Drawdown | -1.71% | -2.98% |
| Avg. Drawdown Days | 13 | 18 |
| Recovery Factor | 1.94 | 2.87 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.16 | 0.98 |
| Avg. Up Month | 2.68% | 3.72% |
| Avg. Down Month | -2.98% | -5.02% |
| Win Days | 53.6% | 56.36% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.52 |
| Alpha | - | 0.2 |
| Correlation | - | 36.45% |
| Treynor Ratio | - | 58.72% |
| Year | SPY | MFTTX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 10.79 | 3.45 | + |
| 2026 | 14.30 | 18.01 | 1.26 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-05-08 | -9.94 | 72 |
| 2026-06-03 | 2026-09-09 | -8.79 | 99 |
| 2025-10-17 | 2025-12-18 | -8.24 | 63 |
| 2025-10-09 | 2025-10-15 | -3.98 | 7 |
| 2026-01-30 | 2026-02-06 | -3.48 | 8 |
| 2026-05-14 | 2026-06-01 | -3.30 | 19 |
| 2026-01-07 | 2026-01-09 | -2.98 | 3 |
| 2025-12-29 | 2026-01-02 | -2.33 | 5 |
| 2026-01-16 | 2026-01-21 | -2.24 | 6 |
| 2026-02-12 | 2026-02-18 | -1.48 | 7 |