| Metric | SPY | SMFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 19.95% | 18.42% |
| CAGR﹪ | 20.48% | 18.91% |
| Sharpe | 1.19 | 1.47 |
| Prob. Sharpe Ratio | 87.88% | 92.32% |
| Smart Sharpe | 1.16 | 1.47 |
| Sortino | 1.74 | 2.13 |
| Smart Sortino | 1.7 | 2.13 |
| Sortino/√2 | 1.23 | 1.51 |
| Smart Sortino/√2 | 1.2 | 1.51 |
| Omega | 1.28 | 1.37 |
| Max Drawdown | -8.88% | -5.51% |
| Max DD Date | 2026-03-30 | 2026-03-20 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-05-12 |
| Longest DD Days | 76 | 110 |
| Volatility (ann.) | 13.03% | 9.38% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.31 | 3.43 |
| Skew | -0.17 | -0.39 |
| Kurtosis | 1.05 | 0.87 |
| Ulcer Performance Index | 9.25 | 8.58 |
| Risk-Adjusted Return | 20.48% | 20.78% |
| Risk-Return Ratio | 0.09 | 0.12 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 0.7% | 0.5% |
| Avg. Loss | -0.76% | -0.53% |
| Win/Loss Ratio | 0.93 | 0.94 |
| Profit Ratio | 0.89 | 0.52 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.41% | 1.31% |
| Expected Yearly | 9.52% | 8.82% |
| Kelly Criterion | 5.28% | 12.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -0.9% |
| Expected Shortfall (cVaR) | -1.72% | -1.32% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.28 | 0.37 |
| Gain/Pain (1M) | 2.87 | 2.56 |
| Payoff Ratio | 0.93 | 0.94 |
| Profit Factor | 1.28 | 1.37 |
| Common Sense Ratio | 1.27 | 1.41 |
| CPC Index | 0.65 | 0.74 |
| Tail Ratio | 0.99 | 1.04 |
| Outlier Win Ratio | 2.88 | 3.07 |
| Outlier Loss Ratio | 3.18 | 3.36 |
| MTD | 1.08% | 3.01% |
| 3M | 3.82% | 4.58% |
| 6M | 19.85% | 8.79% |
| YTD | 14.3% | 9.96% |
| 1Y | 19.95% | 18.42% |
| 3Y (ann.) | 20.48% | 18.91% |
| 5Y (ann.) | 20.48% | 18.91% |
| 10Y (ann.) | 20.48% | 18.91% |
| All-time (ann.) | 20.48% | 18.91% |
| Best Day | 2.91% | 1.74% |
| Worst Day | -2.7% | -1.81% |
| Best Month | 10.51% | 3.63% |
| Worst Month | -4.94% | -5.01% |
| Best Year | 14.3% | 9.96% |
| Worst Year | 4.94% | 7.69% |
| Avg. Drawdown | -1.63% | -1.41% |
| Avg. Drawdown Days | 13 | 15 |
| Recovery Factor | 2.14 | 3.15 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.28 | 1.01 |
| Avg. Up Month | 2.87% | 2.28% |
| Avg. Down Month | -2.98% | -2.7% |
| Win Days | 54.47% | 57.66% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.27 |
| Alpha | - | 0.12 |
| Correlation | - | 38.05% |
| Treynor Ratio | - | 67.23% |
| Year | SPY | SMFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 4.94 | 7.69 | 1.56 | + |
| 2026 | 14.30 | 9.96 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 2025-10-28 | 2025-11-11 | -2.52 | 15 |
| 2025-10-09 | 2025-10-15 | -2.02 | 7 |
| 2025-10-17 | 2025-10-23 | -1.80 | 7 |
| 2026-01-07 | 2026-01-09 | -1.67 | 3 |
| 2026-02-10 | 2026-02-24 | -1.41 | 15 |
| 2026-01-28 | 2026-02-02 | -1.23 | 6 |
| 2026-02-05 | 2026-02-05 | -1.23 | 1 |