| Metric | SPY | SMFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 16.41% | 9.43% |
| CAGR﹪ | 16.84% | 9.68% |
| Sharpe | 0.99 | 0.64 |
| Prob. Sharpe Ratio | 83.49% | 73.48% |
| Smart Sharpe | 0.98 | 0.63 |
| Sortino | 1.45 | 0.87 |
| Smart Sortino | 1.44 | 0.85 |
| Sortino/√2 | 1.03 | 0.62 |
| Smart Sortino/√2 | 1.02 | 0.6 |
| Omega | 1.23 | 1.19 |
| Max Drawdown | -8.88% | -6.9% |
| Max DD Date | 2026-03-30 | 2026-11-04 |
| Max DD Period Start | 2026-01-28 | 2026-10-08 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 110 |
| Volatility (ann.) | 12.9% | 9.36% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.9 | 1.4 |
| Skew | -0.04 | -0.62 |
| Kurtosis | 0.78 | 1.48 |
| Ulcer Performance Index | 7.61 | 4.13 |
| Risk-Adjusted Return | 16.84% | 10.52% |
| Risk-Return Ratio | 0.08 | 0.07 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.69% | 0.47% |
| Avg. Loss | -0.73% | -0.54% |
| Win/Loss Ratio | 0.94 | 0.87 |
| Profit Ratio | 0.98 | 0.49 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.18% | 0.7% |
| Expected Yearly | 7.89% | 4.61% |
| Kelly Criterion | 2.54% | 7.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -0.93% |
| Expected Shortfall (cVaR) | -1.66% | -1.42% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.23 | 0.19 |
| Gain/Pain (1M) | 2.06 | 0.73 |
| Payoff Ratio | 0.94 | 0.87 |
| Profit Factor | 1.23 | 1.19 |
| Common Sense Ratio | 1.22 | 1.08 |
| CPC Index | 0.61 | 0.59 |
| Tail Ratio | 0.99 | 0.91 |
| Outlier Win Ratio | 2.85 | 3.01 |
| Outlier Loss Ratio | 2.98 | 3.24 |
| MTD | 1.47% | -3.77% |
| 3M | 1.46% | 0.41% |
| 6M | 6.94% | 0.1% |
| YTD | 13.33% | 3.96% |
| 1Y | 16.41% | 9.43% |
| 3Y (ann.) | 16.84% | 9.68% |
| 5Y (ann.) | 16.84% | 9.68% |
| 10Y (ann.) | 16.84% | 9.68% |
| All-time (ann.) | 16.84% | 9.68% |
| Best Day | 2.91% | 1.74% |
| Worst Day | -2.58% | -2.22% |
| Best Month | 10.51% | 3.63% |
| Worst Month | -4.94% | -5.01% |
| Best Year | 13.33% | 5.26% |
| Worst Year | 2.72% | 3.96% |
| Avg. Drawdown | -1.66% | -1.46% |
| Avg. Drawdown Days | 13 | 15 |
| Recovery Factor | 1.8 | 1.37 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.06 | 0.49 |
| Avg. Up Month | 3.77% | 2.53% |
| Avg. Down Month | -2.29% | -2.58% |
| Win Days | 52.85% | 57.14% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.2 |
| Alpha | - | 0.06 |
| Correlation | - | 27.73% |
| Treynor Ratio | - | 46.88% |
| Year | SPY | SMFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.72 | 5.26 | 1.94 | + |
| 2026 | 13.33 | 3.96 | 0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-10-08 | 2026-11-04 | -6.90 | 28 |
| 2026-03-02 | 2026-05-12 | -5.51 | 72 |
| 2025-11-13 | 2025-12-09 | -3.56 | 27 |
| 2026-05-14 | 2026-08-31 | -3.20 | 110 |
| 2026-01-07 | 2026-01-09 | -1.67 | 3 |
| 2026-02-10 | 2026-02-24 | -1.41 | 15 |
| 2026-01-30 | 2026-02-02 | -1.23 | 4 |
| 2026-02-05 | 2026-02-05 | -1.23 | 1 |
| 2026-01-16 | 2026-01-21 | -0.62 | 6 |
| 2026-09-03 | 2026-09-08 | -0.60 | 6 |