| Metric | SPY | MFTTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 6.48% | -4.23% |
| CAGR﹪ | 13.27% | -8.23% |
| Sharpe | 0.78 | -0.68 |
| Prob. Sharpe Ratio | 70.87% | 31.39% |
| Smart Sharpe | 0.75 | -0.63 |
| Sortino | 1.14 | -0.9 |
| Smart Sortino | 1.09 | -0.83 |
| Sortino/√2 | 0.8 | -0.63 |
| Smart Sortino/√2 | 0.77 | -0.59 |
| Omega | 1.19 | 0.93 |
| Max Drawdown | -4.49% | -9.68% |
| Max DD Date | 2026-06-10 | 2026-11-04 |
| Max DD Period Start | 2026-06-03 | 2026-09-25 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 99 |
| Volatility (ann.) | 12.4% | 15.96% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 2.95 | -0.85 |
| Skew | -0.15 | -0.27 |
| Kurtosis | 0.59 | 0.64 |
| Ulcer Performance Index | 3.89 | -0.96 |
| Risk-Adjusted Return | 13.27% | -8.75% |
| Risk-Return Ratio | 0.07 | -0.03 |
| Avg. Return | 0.04% | -0.03% |
| Avg. Win | 0.6% | 0.79% |
| Avg. Loss | -0.72% | -1.03% |
| Win/Loss Ratio | 0.84 | 0.77 |
| Profit Ratio | 1.15 | 0.58 |
| Expected Daily | 0.05% | -0.03% |
| Expected Monthly | 0.9% | -0.62% |
| Expected Yearly | 6.48% | -4.23% |
| Kelly Criterion | -8.83% | -8.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.68% |
| Expected Shortfall (cVaR) | -1.63% | -2.19% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.19 | -0.07 |
| Gain/Pain (1M) | 3.26 | -0.3 |
| Payoff Ratio | 0.84 | 0.77 |
| Profit Factor | 1.19 | 0.93 |
| Common Sense Ratio | 1.47 | 0.74 |
| CPC Index | 0.5 | 0.38 |
| Tail Ratio | 1.23 | 0.79 |
| Outlier Win Ratio | 2.66 | 3.51 |
| Outlier Loss Ratio | 3.07 | 2.93 |
| MTD | 1.47% | -4.55% |
| 3M | 1.46% | -0.34% |
| 6M | 6.48% | -4.23% |
| YTD | 6.48% | -4.23% |
| 1Y | 6.48% | -4.23% |
| 3Y (ann.) | 13.27% | -8.23% |
| 5Y (ann.) | 13.27% | -8.23% |
| 10Y (ann.) | 13.27% | -8.23% |
| All-time (ann.) | 13.27% | -8.23% |
| Best Day | 1.8% | 2.91% |
| Worst Day | -2.58% | -2.85% |
| Best Month | 4.52% | 6.61% |
| Worst Month | -1.03% | -4.55% |
| Best Year | 6.48% | -4.23% |
| Worst Year | 6.48% | -4.23% |
| Avg. Drawdown | -1.57% | -4.02% |
| Avg. Drawdown Days | 17 | 29 |
| Recovery Factor | 1.48 | 0.38 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.91 | -0.1 |
| Avg. Up Month | 3.6% | 3.71% |
| Avg. Down Month | -0.97% | -3.58% |
| Win Days | 50.39% | 52.94% |
| Win Month | 57.14% | 42.86% |
| Win Quarter | 100.0% | 33.33% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.36 |
| Alpha | - | -0.12 |
| Correlation | - | 28.02% |
| Treynor Ratio | - | -11.74% |
| Year | SPY | MFTTX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | -4.23 | -0.65 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-25 | 2026-11-04 | -9.68 | 41 |
| 2026-06-03 | 2026-09-09 | -8.79 | 99 |
| 2026-05-14 | 2026-06-01 | -3.30 | 19 |
| 2026-09-16 | 2026-09-23 | -0.93 | 8 |
| 2026-05-06 | 2026-05-07 | -0.81 | 2 |
| 2026-09-11 | 2026-09-14 | -0.62 | 4 |