| Metric | SPY | MFTTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 86.58% | 78.1% |
| CAGR﹪ | 13.36% | 12.31% |
| Sharpe | 0.59 | 0.47 |
| Prob. Sharpe Ratio | 90.85% | 84.8% |
| Smart Sharpe | 0.58 | 0.43 |
| Sortino | 0.86 | 0.62 |
| Smart Sortino | 0.83 | 0.56 |
| Sortino/√2 | 0.61 | 0.44 |
| Smart Sortino/√2 | 0.59 | 0.4 |
| Omega | 1.16 | 1.12 |
| 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.) | 17.2% | 21.62% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.55 | 0.37 |
| Skew | 0.32 | -1.38 |
| Kurtosis | 8.95 | 8.79 |
| Ulcer Performance Index | 10.24 | 5.38 |
| Risk-Adjusted Return | 13.36% | 12.96% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.04% | 0.06% |
| Avg. Win | 0.73% | 1.07% |
| Avg. Loss | -0.8% | -1.34% |
| Win/Loss Ratio | 0.92 | 0.8 |
| Profit Ratio | 0.83 | 0.54 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.03% | 0.95% |
| Expected Yearly | 10.95% | 10.1% |
| Kelly Criterion | 3.9% | 2.29% |
| 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 | 0.16 | 0.12 |
| Gain/Pain (1M) | 0.87 | 0.51 |
| Payoff Ratio | 0.92 | 0.8 |
| Profit Factor | 1.16 | 1.12 |
| Common Sense Ratio | 1.17 | 1.0 |
| CPC Index | 0.57 | 0.51 |
| Tail Ratio | 1.01 | 0.89 |
| Outlier Win Ratio | 3.41 | 3.28 |
| Outlier Loss Ratio | 3.77 | 3.02 |
| MTD | 1.08% | 2.07% |
| 3M | 3.82% | 4.73% |
| 6M | 19.85% | 12.63% |
| YTD | 14.3% | 18.01% |
| 1Y | 17.78% | 34.59% |
| 3Y (ann.) | 24.86% | 5.66% |
| 5Y (ann.) | 13.06% | 10.77% |
| 10Y (ann.) | 13.36% | 12.31% |
| All-time (ann.) | 13.36% | 12.31% |
| Best Day | 10.5% | 3.8% |
| Worst Day | -5.85% | -11.87% |
| Best Month | 10.51% | 17.93% |
| Worst Month | -9.24% | -15.4% |
| Best Year | 26.18% | 56.67% |
| Worst Year | -18.18% | -14.23% |
| Avg. Drawdown | -1.89% | -4.72% |
| Avg. Drawdown Days | 20 | 51 |
| Recovery Factor | 2.85 | 2.09 |
| Ulcer Index | 0.08 | 0.15 |
| Serenity Index | 0.47 | 0.22 |
| Avg. Up Month | 3.52% | 5.75% |
| Avg. Down Month | -2.32% | -5.95% |
| Win Days | 54.04% | 56.53% |
| Win Month | 63.93% | 59.02% |
| Win Quarter | 66.67% | 52.38% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.17 |
| Alpha | - | 0.12 |
| Correlation | - | 13.14% |
| Treynor Ratio | - | 472.76% |
| Year | SPY | MFTTX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -2.14 | -0.28 | - |
| 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 | 14.30 | 18.01 | 1.26 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-12 | 2026-05-12 | -33.23 | 761 |
| 2023-03-09 | 2024-02-14 | -21.32 | 343 |
| 2021-11-02 | 2022-02-03 | -16.56 | 94 |
| 2022-10-21 | 2023-03-07 | -16.53 | 138 |
| 2022-06-15 | 2022-09-02 | -13.53 | 80 |
| 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 |
| 2026-05-14 | 2026-06-01 | -3.30 | 19 |