| Metric | SPY | DBMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 17.93% |
| CAGR﹪ | 14.51% | 18.08% |
| Sharpe | 0.83 | 1.11 |
| Prob. Sharpe Ratio | 79.61% | 86.0% |
| Smart Sharpe | 0.82 | 1.06 |
| Sortino | 1.22 | 1.56 |
| Smart Sortino | 1.2 | 1.49 |
| Sortino/√2 | 0.86 | 1.1 |
| Smart Sortino/√2 | 0.85 | 1.05 |
| Omega | 1.2 | 1.27 |
| Max Drawdown | -8.88% | -6.1% |
| Max DD Date | 2026-03-30 | 2026-03-23 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-06-01 |
| Longest DD Days | 76 | 92 |
| Volatility (ann.) | 12.86% | 12.42% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.63 | 2.96 |
| Skew | -0.02 | -0.47 |
| Kurtosis | 0.78 | 3.12 |
| Ulcer Performance Index | 6.68 | 9.51 |
| Risk-Adjusted Return | 14.51% | 18.08% |
| Risk-Return Ratio | 0.07 | 0.09 |
| Avg. Return | 0.06% | 0.07% |
| Avg. Win | 0.61% | 0.6% |
| Avg. Loss | -0.68% | -0.68% |
| Win/Loss Ratio | 0.9 | 0.89 |
| Profit Ratio | 1.02 | 0.67 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.04% | 1.28% |
| Expected Yearly | 6.95% | 8.59% |
| Kelly Criterion | -1.45% | 9.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.22% |
| Expected Shortfall (cVaR) | -1.66% | -1.88% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.27 |
| Gain/Pain (1M) | 1.83 | 2.26 |
| Payoff Ratio | 0.9 | 0.89 |
| Profit Factor | 1.2 | 1.27 |
| Common Sense Ratio | 1.19 | 1.28 |
| CPC Index | 0.56 | 0.65 |
| Tail Ratio | 0.99 | 1.0 |
| Outlier Win Ratio | 2.84 | 3.38 |
| Outlier Loss Ratio | 3.01 | 3.58 |
| MTD | 1.47% | -2.96% |
| 3M | 1.46% | 3.27% |
| 6M | 6.94% | 4.13% |
| YTD | 13.33% | 13.75% |
| 1Y | 14.39% | 17.93% |
| 3Y (ann.) | 14.51% | 18.08% |
| 5Y (ann.) | 14.51% | 18.08% |
| 10Y (ann.) | 14.51% | 18.08% |
| All-time (ann.) | 14.51% | 18.08% |
| Best Day | 2.91% | 3.29% |
| Worst Day | -2.58% | -3.31% |
| Best Month | 10.51% | 7.81% |
| Worst Month | -4.94% | -3.82% |
| Best Year | 13.33% | 13.75% |
| Worst Year | 0.94% | 3.67% |
| Avg. Drawdown | -1.74% | -1.53% |
| Avg. Drawdown Days | 14 | 12 |
| Recovery Factor | 1.61 | 2.83 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 1.66 |
| Avg. Up Month | 2.98% | 1.85% |
| Avg. Down Month | -2.29% | -1.61% |
| Win Days | 52.0% | 57.66% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.18 |
| Alpha | - | 0.15 |
| Correlation | - | 18.38% |
| Treynor Ratio | - | 100.98% |
| Year | SPY | DBMF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 3.67 | 3.92 | + |
| 2026 | 13.33 | 13.75 | 1.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-06-01 | -6.10 | 92 |
| 2026-10-13 | 2026-11-04 | -5.46 | 23 |
| 2026-01-30 | 2026-02-06 | -3.71 | 8 |
| 2026-06-04 | 2026-07-20 | -3.69 | 47 |
| 2026-07-24 | 2026-08-14 | -2.73 | 22 |
| 2025-11-13 | 2025-11-25 | -2.01 | 13 |
| 2026-08-18 | 2026-08-31 | -1.90 | 14 |
| 2026-02-12 | 2026-02-19 | -1.53 | 8 |
| 2025-12-29 | 2026-01-08 | -1.36 | 11 |
| 2026-09-02 | 2026-09-09 | -1.36 | 8 |