| Metric | SPY | DBMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 23.44% |
| CAGR﹪ | 18.02% | 23.65% |
| Sharpe | 1.04 | 1.39 |
| Prob. Sharpe Ratio | 84.73% | 91.15% |
| Smart Sharpe | 1.01 | 1.29 |
| Sortino | 1.51 | 1.99 |
| Smart Sortino | 1.47 | 1.83 |
| Sortino/√2 | 1.07 | 1.4 |
| Smart Sortino/√2 | 1.04 | 1.3 |
| Omega | 1.25 | 1.36 |
| 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.) | 12.99% | 13.01% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 2.03 | 3.88 |
| Skew | -0.15 | -0.52 |
| Kurtosis | 1.05 | 4.14 |
| Ulcer Performance Index | 8.3 | 12.7 |
| Risk-Adjusted Return | 18.02% | 23.65% |
| Risk-Return Ratio | 0.08 | 0.11 |
| Avg. Return | 0.07% | 0.09% |
| Avg. Win | 0.62% | 0.63% |
| Avg. Loss | -0.68% | -0.73% |
| Win/Loss Ratio | 0.91 | 0.87 |
| Profit Ratio | 0.94 | 0.62 |
| Expected Daily | 0.07% | 0.08% |
| Expected Monthly | 1.27% | 1.63% |
| Expected Yearly | 8.57% | 11.1% |
| Kelly Criterion | 2.39% | 12.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.26% |
| Expected Shortfall (cVaR) | -1.72% | -2.1% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.36 |
| Gain/Pain (1M) | 2.6 | 4.91 |
| Payoff Ratio | 0.91 | 0.87 |
| Profit Factor | 1.25 | 1.36 |
| Common Sense Ratio | 1.24 | 1.44 |
| CPC Index | 0.61 | 0.7 |
| Tail Ratio | 0.99 | 1.06 |
| Outlier Win Ratio | 2.88 | 3.51 |
| Outlier Loss Ratio | 3.19 | 4.24 |
| MTD | 1.08% | 1.66% |
| 3M | 3.82% | 3.69% |
| 6M | 19.85% | 7.98% |
| YTD | 14.3% | 14.71% |
| 1Y | 17.87% | 23.44% |
| 3Y (ann.) | 18.02% | 23.65% |
| 5Y (ann.) | 18.02% | 23.65% |
| 10Y (ann.) | 18.02% | 23.65% |
| All-time (ann.) | 18.02% | 23.65% |
| Best Day | 2.91% | 3.29% |
| Worst Day | -2.7% | -3.58% |
| Best Month | 10.51% | 7.81% |
| Worst Month | -4.94% | -3.82% |
| Best Year | 14.3% | 14.71% |
| Worst Year | 3.13% | 7.61% |
| Avg. Drawdown | -1.71% | -1.59% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | 1.94 | 3.59 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 2.31 |
| Avg. Up Month | 2.41% | 1.84% |
| Avg. Down Month | -2.98% | -2.29% |
| Win Days | 53.6% | 59.27% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.29 |
| Alpha | - | 0.17 |
| Correlation | - | 28.86% |
| Treynor Ratio | - | 81.08% |
| Year | SPY | DBMF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 7.61 | 2.44 | + |
| 2026 | 14.30 | 14.71 | 1.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-06-01 | -6.10 | 92 |
| 2025-10-09 | 2025-10-17 | -4.70 | 9 |
| 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 |
| 2025-10-21 | 2025-11-11 | -2.30 | 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 |