| Metric | SPY | MFTTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 204.97% | 65.15% |
| CAGR﹪ | 16.25% | 7.01% |
| Sharpe | 0.72 | 0.29 |
| Prob. Sharpe Ratio | 97.45% | 78.44% |
| Smart Sharpe | 0.63 | 0.26 |
| Sortino | 1.02 | 0.38 |
| Smart Sortino | 0.88 | 0.34 |
| Sortino/√2 | 0.72 | 0.27 |
| Smart Sortino/√2 | 0.62 | 0.24 |
| Omega | 1.18 | 1.08 |
| Max Drawdown | -33.72% | -33.23% |
| Max DD Date | 2020-03-23 | 2025-05-14 |
| Max DD Period Start | 2020-02-20 | 2024-04-12 |
| Max DD Period End | 2020-08-07 | 2026-05-12 |
| Longest DD Days | 708 | 912 |
| Volatility (ann.) | 19.45% | 20.76% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.48 | 0.21 |
| Skew | -0.29 | -1.32 |
| Kurtosis | 13.94 | 7.85 |
| Ulcer Performance Index | 25.91 | 4.19 |
| Risk-Adjusted Return | 16.25% | 7.46% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.75% | 0.99% |
| Avg. Loss | -0.79% | -1.31% |
| Win/Loss Ratio | 0.95 | 0.76 |
| Profit Ratio | 0.78 | 0.5 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.56% |
| Expected Yearly | 14.96% | 6.47% |
| Kelly Criterion | 7.83% | -0.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -2.12% |
| Expected Shortfall (cVaR) | -3.2% | -3.18% |
| Max Consecutive Wins | 11 | 15 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.08 |
| Gain/Pain (1M) | 1.15 | 0.34 |
| Payoff Ratio | 0.95 | 0.76 |
| Profit Factor | 1.18 | 1.08 |
| Common Sense Ratio | 1.13 | 0.93 |
| CPC Index | 0.62 | 0.46 |
| Tail Ratio | 0.96 | 0.86 |
| Outlier Win Ratio | 3.69 | 3.48 |
| Outlier Loss Ratio | 4.12 | 3.29 |
| 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.) | 16.25% | 7.01% |
| All-time (ann.) | 16.25% | 7.01% |
| Best Day | 10.5% | 4.15% |
| Worst Day | -10.94% | -11.87% |
| Best Month | 12.7% | 17.93% |
| Worst Month | -12.49% | -15.4% |
| Best Year | 28.73% | 56.67% |
| Worst Year | -18.18% | -14.23% |
| Avg. Drawdown | -1.79% | -5.07% |
| Avg. Drawdown Days | 16 | 64 |
| Recovery Factor | 3.72 | 2.0 |
| Ulcer Index | 0.08 | 0.16 |
| Serenity Index | 1.03 | 0.19 |
| Avg. Up Month | 3.94% | 5.22% |
| Avg. Down Month | -2.62% | -5.13% |
| Win Days | 55.15% | 56.66% |
| Win Month | 65.56% | 54.44% |
| Win Quarter | 77.42% | 51.61% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.1 |
| Alpha | - | 0.07 |
| Correlation | - | 9.37% |
| Treynor Ratio | - | 651.56% |
| Year | SPY | MFTTX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.97 | 0.18 | - |
| 2020 | 18.33 | -4.85 | -0.26 | - |
| 2021 | 28.73 | 1.13 | 0.04 | - |
| 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 |
| 2019-09-04 | 2022-03-03 | -27.87 | 912 |
| 2023-09-18 | 2024-02-14 | -21.32 | 150 |
| 2023-03-09 | 2023-09-14 | -20.97 | 190 |
| 2022-11-04 | 2023-03-07 | -16.53 | 124 |
| 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 |