| Metric | FULCRUM | ^VIX |
|---|---|---|
| Time in Market | 90.0% | 68.0% |
| Cumulative Return | 50.12% | 35.88% |
| Max Drawdown | -4.72% | -66.89% |
| Sharpe | 3.33 | 0.91 |
| Sortino | 7.89 | 1.81 |
| Payoff Ratio | 1.72 | 1.02 |
| Profit Factor | 1.95 | 1.21 |
| Common Sense Ratio | 3.47 | 1.46 |
| CPC Index | 1.74 | 0.55 |
| Tail Ratio | 1.78 | 1.21 |
| Outlier Win Ratio | 30.65 | 3.81 |
| Outlier Loss Ratio | 26.31 | 1.6 |
| Volatility (ann.) | 13.84% | 161.72% |
| R^2 | 0.05 | 0.05 |
| Calmar | 12.11 | 0.61 |
| Skew | 3.06 | 3.62 |
| Kurtosis | 19.24 | 28.41 |
| Expected Daily % | 0.12% | 0.09% |
| Expected Monthly % | 3.76% | 2.83% |
| Expected Yearly % | 22.52% | 16.57% |
| Kelly Criterion | 23.94% | -10.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.07% | -13.52% |
| Expected Shortfall (cVaR) | -1.07% | -13.52% |
| Year | ^VIX | FULCRUM | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 28.61 | 50.24 | 1.76 | + |
| 2025 | 5.65 | -0.08 | -0.01 | - |
| Metric | FULCRUM | ^VIX |
|---|---|---|
| MTD | 2.57% | -6.62% |
| 3M | -0.26% | 28.45% |
| 6M | 32.4% | 19.1% |
| YTD | -0.08% | 5.65% |
| 1Y | 50.12% | 35.88% |
| 3Y (ann.) | 57.16% | 40.66% |
| 5Y (ann.) | 57.16% | 40.66% |
| Metric | FULCRUM | ^VIX |
|---|---|---|
| Max Drawdown | -4.72% | -66.89% |
| Longest DD Days | 99.0 | 233.0 |
| Avg. Drawdown | -1.09% | -21.07% |
| Avg. Drawdown Days | 13.0 | 52.0 |
| Recovery Factor | 10.61 | 0.54 |
| Ulcer Index | 0.97 | inf |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-22 | 2024-07-16 | -4.72 | 55 |
| 2024-12-18 | 2025-03-27 | -4.22 | 99 |
| 2024-08-26 | 2024-09-19 | -2.80 | 24 |
| 2024-07-23 | 2024-08-08 | -2.36 | 16 |
| 2024-08-10 | 2024-08-24 | -1.28 | 14 |
| 2024-10-22 | 2024-11-06 | -1.27 | 15 |
| 2024-11-23 | 2024-12-05 | -1.14 | 12 |
| 2024-12-06 | 2024-12-12 | -0.74 | 6 |
| 2024-11-17 | 2024-11-19 | -0.62 | 2 |
| 2024-07-18 | 2024-07-19 | -0.60 | 1 |
| Metric | FULCRUM | ^VIX |
|---|---|---|
| Best Day | 6.16% | 74.04% |
| Worst Day | -1.87% | -28.16% |
| Best Week | 11.74% | 49.2% |
| Worst Week | -1.7% | -31.72% |
| Best Month | 26.99% | 38.43% |
| Worst Month | -1.63% | -41.67% |
| Best Year | 50.24% | 28.61% |
| Worst Year | -0.08% | 5.65% |
| Avg. Up Day | 0.52% | 4.01% |
| Avg. Down Day | -0.3% | -3.93% |
| Avg. Up Week | 1.98% | 18.23% |
| Avg. Down Week | -0.69% | -10.22% |
| Avg. Up Month | 3.69% | 27.48% |
| Avg. Down Month | -1.01% | -4.51% |
| Win Days % | 51.86% | 44.34% |
| Win Month % | 72.73% | 45.45% |
| Win Week % | 57.45% | 47.92% |
| Win Quarter % | 75.0% | 75.0% |
| Win Year % | 50.0% | 100.0% |