| Metric | SPY | Fractional Momentum |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 156.84% | 210.76% |
| CAGR﹪ | 8.48% | 10.28% |
| Sharpe | 0.74 | 0.81 |
| Prob. Sharpe Ratio | 97.92% | 98.8% |
| Smart Sharpe | 0.62 | 0.67 |
| Sortino | 1.02 | 1.16 |
| Smart Sortino | 0.85 | 0.96 |
| Sortino/√2 | 0.72 | 0.82 |
| Smart Sortino/√2 | 0.6 | 0.68 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -33.7% | -38.18% |
| Longest DD Days | 725 | 724 |
| Volatility (ann.) | 18.51% | 20.29% |
| R^2 | 0.89 | 0.89 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.25 | 0.27 |
| Skew | -0.69 | -0.07 |
| Kurtosis | 13.89 | 23.15 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 0.98% | 1.18% |
| Expected Yearly | 11.05% | 13.43% |
| Kelly Criterion | 6.79% | 7.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.86% | -2.04% |
| Expected Shortfall (cVaR) | -1.86% | -2.04% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 8 | 9 |
| Gain/Pain Ratio | 0.16 | 0.18 |
| Gain/Pain (1M) | 0.94 | 1.04 |
| Payoff Ratio | 0.93 | 0.96 |
| Profit Factor | 1.16 | 1.18 |
| Common Sense Ratio | 1.07 | 1.14 |
| CPC Index | 0.59 | 0.62 |
| Tail Ratio | 0.92 | 0.97 |
| Outlier Win Ratio | 3.95 | 3.67 |
| Outlier Loss Ratio | 4.36 | 4.22 |
| MTD | 4.14% | 4.62% |
| 3M | 10.92% | 12.66% |
| 6M | 8.92% | 13.4% |
| YTD | 24.29% | 16.22% |
| 1Y | 26.19% | 17.69% |
| 3Y (ann.) | 5.85% | 5.93% |
| 5Y (ann.) | 9.34% | 10.95% |
| 10Y (ann.) | 8.48% | 10.28% |
| All-time (ann.) | 8.48% | 10.28% |
| Best Day | 9.06% | 14.91% |
| Worst Day | -10.94% | -12.62% |
| Best Month | 12.7% | 14.43% |
| Worst Month | -12.46% | -11.81% |
| Best Year | 31.22% | 33.82% |
| Worst Year | -19.48% | -14.05% |
| Avg. Drawdown | -1.63% | -1.95% |
| Avg. Drawdown Days | 17 | 19 |
| Recovery Factor | 3.2 | 3.4 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 1.03 | 1.42 |
| Avg. Up Month | 3.45% | 3.97% |
| Avg. Down Month | -4.22% | -4.44% |
| Win Days | 55.14% | 54.77% |
| Win Month | 70.1% | 67.01% |
| Win Quarter | 75.76% | 78.79% |
| Win Year | 66.67% | 66.67% |
| Beta | - | 1.04 |
| Alpha | - | 0.02 |
| Correlation | - | 94.54% |
| Treynor Ratio | - | 203.38% |
| Year | SPY | Fractional Momentum | Multiplier | Won |
|---|---|---|---|---|
| 2015 | -1.00 | -0.92 | 0.92 | + |
| 2016 | 12.00 | 14.57 | 1.21 | + |
| 2017 | 21.70 | 28.84 | 1.33 | + |
| 2018 | -4.56 | -4.49 | 0.99 | + |
| 2019 | 31.22 | 33.82 | 1.08 | + |
| 2020 | 18.37 | 31.94 | 1.74 | + |
| 2021 | 28.29 | 26.13 | 0.92 | - |
| 2022 | -19.48 | -14.05 | 0.72 | + |
| 2023 | 24.29 | 16.22 | 0.67 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-20 | 2020-07-01 | -38.18 | 133 |
| 2022-01-05 | 2023-12-29 | -24.00 | 724 |
| 2018-10-04 | 2019-03-29 | -20.76 | 177 |
| 2016-01-04 | 2016-03-16 | -12.13 | 73 |
| 2018-01-29 | 2018-08-24 | -9.76 | 208 |
| 2020-10-13 | 2020-11-04 | -7.62 | 23 |
| 2019-05-01 | 2019-06-19 | -7.51 | 50 |
| 2020-09-03 | 2020-10-09 | -7.32 | 37 |
| 2019-07-30 | 2019-11-05 | -6.18 | 99 |
| 2021-09-03 | 2021-11-02 | -5.97 | 61 |