| Metric | SPY | SMFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 60.56% | 1.88% |
| CAGR﹪ | 21.0% | 0.75% |
| Sharpe | 1.0 | -0.34 |
| Prob. Sharpe Ratio | 94.53% | 29.61% |
| Smart Sharpe | 0.92 | -0.32 |
| Sortino | 1.47 | -0.44 |
| Smart Sortino | 1.35 | -0.42 |
| Sortino/√2 | 1.04 | -0.31 |
| Smart Sortino/√2 | 0.96 | -0.3 |
| Omega | 1.27 | 1.02 |
| 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.) | 15.91% | 9.67% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 1.12 | 0.04 |
| Skew | 0.98 | -0.56 |
| Kurtosis | 21.69 | 1.17 |
| Ulcer Performance Index | 17.56 | 0.18 |
| Risk-Adjusted Return | 21.0% | 0.81% |
| Risk-Return Ratio | 0.08 | 0.01 |
| Avg. Return | 0.08% | 0.01% |
| Avg. Win | 0.69% | 0.49% |
| Avg. Loss | -0.8% | -0.59% |
| Win/Loss Ratio | 0.87 | 0.83 |
| Profit Ratio | 0.71 | 0.57 |
| Expected Daily | 0.08% | 0.0% |
| Expected Monthly | 1.54% | 0.06% |
| Expected Yearly | 17.1% | 0.62% |
| Kelly Criterion | 7.71% | -2.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.57% | -1.0% |
| Expected Shortfall (cVaR) | -2.36% | -1.48% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.27 | 0.02 |
| Gain/Pain (1M) | 2.85 | 0.09 |
| Payoff Ratio | 0.87 | 0.83 |
| Profit Factor | 1.27 | 1.02 |
| Common Sense Ratio | 1.24 | 0.91 |
| CPC Index | 0.63 | 0.45 |
| Tail Ratio | 0.97 | 0.89 |
| Outlier Win Ratio | 3.45 | 3.14 |
| Outlier Loss Ratio | 3.85 | 3.38 |
| MTD | 1.47% | -3.77% |
| 3M | 1.46% | 0.41% |
| 6M | 6.94% | 0.1% |
| YTD | 13.33% | 3.96% |
| 1Y | 15.42% | 8.73% |
| 3Y (ann.) | 21.0% | 0.75% |
| 5Y (ann.) | 21.0% | 0.75% |
| 10Y (ann.) | 21.0% | 0.75% |
| All-time (ann.) | 21.0% | 0.75% |
| 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% | 6.99% |
| Worst Year | 13.33% | -8.4% |
| Avg. Drawdown | -1.71% | -3.17% |
| Avg. Drawdown Days | 13 | 73 |
| Recovery Factor | 2.69 | 0.15 |
| Ulcer Index | 0.03 | 0.1 |
| Serenity Index | 1.47 | 0.01 |
| Avg. Up Month | 3.32% | 2.16% |
| Avg. Down Month | -2.21% | -2.91% |
| Win Days | 57.19% | 53.63% |
| Win Month | 67.74% | 54.84% |
| Win Quarter | 81.82% | 45.45% |
| Win Year | 100.0% | 66.67% |
| Beta | - | 0.14 |
| Alpha | - | -0.02 |
| Correlation | - | 22.28% |
| Treynor Ratio | - | 13.9% |
| Year | SPY | SMFIX | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 18.27 | -8.40 | -0.46 | - |
| 2025 | 19.79 | 6.99 | 0.35 | - |
| 2026 | 13.33 | 3.96 | 0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-21 | 2026-02-06 | -20.64 | 627 |
| 2026-10-08 | 2026-11-04 | -6.90 | 28 |
| 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 |
| 2026-09-29 | 2026-10-02 | -0.58 | 4 |
| 2024-05-15 | 2024-05-16 | -0.49 | 2 |
| 2026-09-14 | 2026-09-14 | -0.29 | 1 |