| Metric | SPY | MFTTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 14.39% | 18.31% |
| CAGR﹪ | 14.51% | 18.47% |
| Sharpe | 0.83 | 0.84 |
| Prob. Sharpe Ratio | 79.61% | 79.7% |
| Smart Sharpe | 0.82 | 0.76 |
| Sortino | 1.22 | 1.18 |
| Smart Sortino | 1.2 | 1.07 |
| Sortino/√2 | 0.86 | 0.84 |
| Smart Sortino/√2 | 0.85 | 0.75 |
| Omega | 1.2 | 1.19 |
| 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.) | 12.86% | 17.61% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.63 | 1.86 |
| Skew | -0.02 | -0.32 |
| Kurtosis | 0.78 | 0.61 |
| Ulcer Performance Index | 6.68 | 4.48 |
| Risk-Adjusted Return | 14.51% | 19.44% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.05% | 0.08% |
| Avg. Win | 0.63% | 0.99% |
| Avg. Loss | -0.73% | -1.16% |
| Win/Loss Ratio | 0.86 | 0.85 |
| Profit Ratio | 1.02 | 0.55 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.04% | 1.3% |
| Expected Yearly | 6.95% | 8.77% |
| Kelly Criterion | -3.67% | 6.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.75% |
| Expected Shortfall (cVaR) | -1.66% | -2.34% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.19 |
| Gain/Pain (1M) | 1.83 | 0.97 |
| Payoff Ratio | 0.86 | 0.85 |
| Profit Factor | 1.2 | 1.19 |
| Common Sense Ratio | 1.19 | 1.12 |
| CPC Index | 0.54 | 0.58 |
| Tail Ratio | 0.99 | 0.94 |
| Outlier Win Ratio | 2.84 | 3.52 |
| Outlier Loss Ratio | 3.01 | 2.96 |
| MTD | 1.47% | -4.55% |
| 3M | 1.46% | -0.34% |
| 6M | 6.94% | -4.08% |
| YTD | 13.33% | 8.09% |
| 1Y | 14.39% | 18.31% |
| 3Y (ann.) | 14.51% | 18.47% |
| 5Y (ann.) | 14.51% | 18.47% |
| 10Y (ann.) | 14.51% | 18.47% |
| All-time (ann.) | 14.51% | 18.47% |
| Best Day | 2.91% | 3.23% |
| Worst Day | -2.58% | -3.48% |
| Best Month | 10.51% | 7.17% |
| Worst Month | -4.94% | -6.33% |
| Best Year | 13.33% | 9.46% |
| Worst Year | 0.94% | 8.09% |
| Avg. Drawdown | -1.74% | -3.57% |
| Avg. Drawdown Days | 14 | 21 |
| Recovery Factor | 1.61 | 1.85 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.94 | 0.6 |
| Avg. Up Month | 3.48% | 5.04% |
| Avg. Down Month | -2.29% | -4.5% |
| Win Days | 52.0% | 57.2% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.43 |
| Alpha | - | 0.12 |
| Correlation | - | 31.47% |
| Treynor Ratio | - | 42.5% |
| Year | SPY | MFTTX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 9.46 | 10.08 | + |
| 2026 | 13.33 | 8.09 | 0.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-05-08 | -9.94 | 72 |
| 2026-09-25 | 2026-11-04 | -9.68 | 41 |
| 2026-06-03 | 2026-09-09 | -8.79 | 99 |
| 2025-11-13 | 2025-12-16 | -6.67 | 34 |
| 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 |