| Metric | SPY | MFTTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 74.99% | 52.98% |
| CAGR﹪ | 11.91% | 8.93% |
| Sharpe | 0.52 | 0.33 |
| Prob. Sharpe Ratio | 87.6% | 76.34% |
| Smart Sharpe | 0.5 | 0.3 |
| Sortino | 0.74 | 0.43 |
| Smart Sortino | 0.72 | 0.39 |
| Sortino/√2 | 0.53 | 0.3 |
| Smart Sortino/√2 | 0.51 | 0.27 |
| Omega | 1.14 | 1.09 |
| Max Drawdown | -24.5% | -33.23% |
| Max DD Date | 2022-10-12 | 2025-05-14 |
| Max DD Period Start | 2022-01-04 | 2024-04-12 |
| Max DD Period End | 2023-12-12 | 2026-05-12 |
| Longest DD Days | 708 | 761 |
| Volatility (ann.) | 17.19% | 21.6% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.49 | 0.27 |
| Skew | 0.33 | -1.37 |
| Kurtosis | 8.98 | 8.81 |
| Ulcer Performance Index | 8.86 | 3.65 |
| Risk-Adjusted Return | 11.91% | 9.4% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.04% | 0.04% |
| Avg. Win | 0.73% | 1.06% |
| Avg. Loss | -0.79% | -1.32% |
| Win/Loss Ratio | 0.92 | 0.8 |
| Profit Ratio | 0.86 | 0.54 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.92% | 0.7% |
| Expected Yearly | 9.77% | 7.34% |
| Kelly Criterion | 3.14% | 1.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.19% |
| Expected Shortfall (cVaR) | -2.58% | -3.19% |
| Max Consecutive Wins | 10 | 15 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.09 |
| Gain/Pain (1M) | 0.79 | 0.38 |
| Payoff Ratio | 0.92 | 0.8 |
| Profit Factor | 1.14 | 1.09 |
| Common Sense Ratio | 1.15 | 0.97 |
| CPC Index | 0.56 | 0.49 |
| Tail Ratio | 1.0 | 0.89 |
| Outlier Win Ratio | 3.4 | 3.31 |
| Outlier Loss Ratio | 3.8 | 3.02 |
| MTD | 1.47% | -4.55% |
| 3M | 1.46% | -0.34% |
| 6M | 6.94% | -4.08% |
| YTD | 13.33% | 8.09% |
| 1Y | 13.43% | 16.67% |
| 3Y (ann.) | 20.78% | 7.46% |
| 5Y (ann.) | 12.86% | 12.28% |
| 10Y (ann.) | 11.91% | 8.93% |
| All-time (ann.) | 11.91% | 8.93% |
| Best Day | 10.5% | 3.8% |
| Worst Day | -5.85% | -11.87% |
| Best Month | 10.51% | 17.93% |
| Worst Month | -9.24% | -14.45% |
| Best Year | 26.18% | 56.67% |
| Worst Year | -18.18% | -14.23% |
| Avg. Drawdown | -1.94% | -5.29% |
| Avg. Drawdown Days | 21 | 57 |
| Recovery Factor | 2.58 | 1.63 |
| Ulcer Index | 0.08 | 0.15 |
| Serenity Index | 0.43 | 0.17 |
| Avg. Up Month | 3.47% | 5.8% |
| Avg. Down Month | -2.37% | -5.52% |
| Win Days | 53.48% | 56.1% |
| Win Month | 62.3% | 55.74% |
| Win Quarter | 71.43% | 47.62% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.16 |
| Alpha | - | 0.09 |
| Correlation | - | 12.88% |
| Treynor Ratio | - | 327.29% |
| Year | SPY | MFTTX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -8.23 | -4.76 | - |
| 2022 | -18.18 | 56.67 | -3.12 | + |
| 2023 | 26.18 | -14.23 | -0.54 | - |
| 2024 | 24.89 | 5.91 | 0.24 | - |
| 2025 | 17.72 | 8.37 | 0.47 | - |
| 2026 | 13.33 | 8.09 | 0.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-12 | 2026-05-12 | -33.23 | 761 |
| 2023-03-09 | 2024-02-14 | -21.32 | 343 |
| 2022-10-21 | 2023-03-07 | -16.53 | 138 |
| 2021-11-17 | 2022-02-02 | -15.79 | 78 |
| 2022-06-15 | 2022-09-02 | -13.53 | 80 |
| 2026-09-25 | 2026-11-04 | -9.68 | 41 |
| 2026-06-03 | 2026-09-09 | -8.79 | 99 |
| 2024-03-04 | 2024-03-18 | -5.88 | 15 |
| 2022-05-06 | 2022-06-08 | -5.05 | 34 |
| 2022-09-28 | 2022-10-07 | -3.84 | 10 |