| Metric | SPY | SMFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 61.94% | 7.76% |
| CAGR﹪ | 22.65% | 3.22% |
| Sharpe | 1.06 | -0.1 |
| Prob. Sharpe Ratio | 95.24% | 43.79% |
| Smart Sharpe | 0.97 | -0.1 |
| Sortino | 1.57 | -0.14 |
| Smart Sortino | 1.44 | -0.13 |
| Sortino/√2 | 1.11 | -0.1 |
| Smart Sortino/√2 | 1.02 | -0.09 |
| Omega | 1.29 | 1.06 |
| Max Drawdown | -18.76% | -20.64% |
| Max DD Date | 2025-04-08 | 2025-05-15 |
| Max DD Period Start | 2025-02-20 | 2024-05-21 |
| Max DD Period End | 2025-06-25 | 2026-02-06 |
| Longest DD Days | 126 | 627 |
| Volatility (ann.) | 16.11% | 9.54% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 1.21 | 0.16 |
| Skew | 0.99 | -0.48 |
| Kurtosis | 21.63 | 1.02 |
| Ulcer Performance Index | 17.6 | 0.74 |
| Risk-Adjusted Return | 22.65% | 3.5% |
| Risk-Return Ratio | 0.08 | 0.02 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.7% | 0.49% |
| Avg. Loss | -0.81% | -0.59% |
| Win/Loss Ratio | 0.86 | 0.84 |
| Profit Ratio | 0.7 | 0.57 |
| Expected Daily | 0.08% | 0.01% |
| Expected Monthly | 1.68% | 0.26% |
| Expected Yearly | 17.43% | 2.52% |
| Kelly Criterion | 8.48% | -1.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.58% | -0.97% |
| Expected Shortfall (cVaR) | -2.42% | -1.44% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.29 | 0.06 |
| Gain/Pain (1M) | 3.09 | 0.29 |
| Payoff Ratio | 0.86 | 0.84 |
| Profit Factor | 1.29 | 1.06 |
| Common Sense Ratio | 1.26 | 1.0 |
| CPC Index | 0.64 | 0.48 |
| Tail Ratio | 0.98 | 0.94 |
| Outlier Win Ratio | 3.52 | 3.13 |
| Outlier Loss Ratio | 3.84 | 3.33 |
| MTD | 1.08% | 3.01% |
| 3M | 3.82% | 4.58% |
| 6M | 19.85% | 8.79% |
| YTD | 14.3% | 9.96% |
| 1Y | 19.86% | 20.67% |
| 3Y (ann.) | 22.65% | 3.22% |
| 5Y (ann.) | 22.65% | 3.22% |
| 10Y (ann.) | 22.65% | 3.22% |
| All-time (ann.) | 22.65% | 3.22% |
| Best Day | 10.5% | 1.74% |
| Worst Day | -5.85% | -2.52% |
| Best Month | 10.51% | 5.9% |
| Worst Month | -5.57% | -5.01% |
| Best Year | 19.79% | 9.96% |
| Worst Year | 14.3% | -8.4% |
| Avg. Drawdown | -1.68% | -3.38% |
| Avg. Drawdown Days | 13 | 94 |
| Recovery Factor | 2.73 | 0.41 |
| Ulcer Index | 0.04 | 0.1 |
| Serenity Index | 1.48 | 0.03 |
| Avg. Up Month | 3.17% | 2.22% |
| Avg. Down Month | -2.43% | -3.01% |
| Win Days | 57.65% | 53.93% |
| Win Month | 72.41% | 58.62% |
| Win Quarter | 80.0% | 50.0% |
| Win Year | 100.0% | 66.67% |
| Beta | - | 0.14 |
| Alpha | - | 0.01 |
| Correlation | - | 23.92% |
| Treynor Ratio | - | 54.81% |
| Year | SPY | SMFIX | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 18.27 | -8.40 | -0.46 | - |
| 2025 | 19.79 | 6.99 | 0.35 | - |
| 2026 | 14.30 | 9.96 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-21 | 2026-02-06 | -20.64 | 627 |
| 2026-03-02 | 2026-08-31 | -5.51 | 183 |
| 2026-02-10 | 2026-02-24 | -1.41 | 15 |
| 2024-05-02 | 2024-05-06 | -0.70 | 5 |
| 2026-09-03 | 2026-09-08 | -0.60 | 6 |
| 2026-09-16 | 2026-09-22 | -0.58 | 7 |
| 2024-05-15 | 2024-05-16 | -0.49 | 2 |
| 2026-09-14 | 2026-09-14 | -0.29 | 1 |
| 2024-05-13 | 2024-05-13 | -0.20 | 1 |