| Metric | SPY | DBMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 74.99% | 51.25% |
| CAGR﹪ | 11.91% | 8.68% |
| Sharpe | 0.52 | 0.42 |
| Prob. Sharpe Ratio | 87.6% | 82.44% |
| Smart Sharpe | 0.5 | 0.4 |
| Sortino | 0.74 | 0.57 |
| Smart Sortino | 0.72 | 0.55 |
| Sortino/√2 | 0.53 | 0.41 |
| Smart Sortino/√2 | 0.51 | 0.39 |
| Omega | 1.14 | 1.14 |
| Max Drawdown | -24.5% | -20.39% |
| Max DD Date | 2022-10-12 | 2023-03-24 |
| Max DD Period Start | 2022-01-04 | 2022-10-21 |
| Max DD Period End | 2023-12-12 | 2025-12-18 |
| Longest DD Days | 708 | 1155 |
| Volatility (ann.) | 17.19% | 12.42% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.49 | 0.43 |
| Skew | 0.33 | -0.58 |
| Kurtosis | 8.98 | 3.41 |
| Ulcer Performance Index | 8.86 | 5.28 |
| Risk-Adjusted Return | 11.91% | 8.77% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.71% | 0.54% |
| Avg. Loss | -0.79% | -0.66% |
| Win/Loss Ratio | 0.9 | 0.82 |
| Profit Ratio | 0.86 | 0.67 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.92% | 0.68% |
| Expected Yearly | 9.77% | 7.14% |
| Kelly Criterion | 1.59% | 1.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.25% |
| Expected Shortfall (cVaR) | -2.58% | -1.89% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.14 |
| Gain/Pain (1M) | 0.79 | 0.76 |
| Payoff Ratio | 0.9 | 0.82 |
| Profit Factor | 1.14 | 1.14 |
| Common Sense Ratio | 1.15 | 1.07 |
| CPC Index | 0.55 | 0.52 |
| Tail Ratio | 1.0 | 0.95 |
| Outlier Win Ratio | 3.4 | 3.7 |
| Outlier Loss Ratio | 3.8 | 3.65 |
| MTD | 1.47% | -2.96% |
| 3M | 1.46% | 3.27% |
| 6M | 6.94% | 4.13% |
| YTD | 13.33% | 13.75% |
| 1Y | 13.43% | 16.97% |
| 3Y (ann.) | 20.78% | 11.37% |
| 5Y (ann.) | 12.86% | 9.86% |
| 10Y (ann.) | 11.91% | 8.68% |
| All-time (ann.) | 11.91% | 8.68% |
| Best Day | 10.5% | 3.29% |
| Worst Day | -5.85% | -4.13% |
| Best Month | 10.51% | 10.59% |
| Worst Month | -9.24% | -8.84% |
| Best Year | 26.18% | 21.61% |
| Worst Year | -18.18% | -8.94% |
| Avg. Drawdown | -1.94% | -2.51% |
| Avg. Drawdown Days | 21 | 46 |
| Recovery Factor | 2.58 | 2.22 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 0.43 | 0.2 |
| Avg. Up Month | 3.45% | 2.36% |
| Avg. Down Month | -2.44% | -1.8% |
| Win Days | 53.48% | 55.66% |
| Win Month | 62.3% | 62.3% |
| Win Quarter | 71.43% | 61.9% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.04 |
| Alpha | - | 0.09 |
| Correlation | - | 4.89% |
| Treynor Ratio | - | 1451.03% |
| Year | SPY | DBMF | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -1.65 | -0.95 | - |
| 2022 | -18.18 | 21.61 | -1.19 | + |
| 2023 | 26.18 | -8.94 | -0.34 | - |
| 2024 | 24.89 | 7.24 | 0.29 | - |
| 2025 | 17.72 | 13.85 | 0.78 | - |
| 2026 | 13.33 | 13.75 | 1.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-21 | 2025-12-18 | -20.39 | 1155 |
| 2022-06-14 | 2022-09-20 | -7.38 | 99 |
| 2021-11-17 | 2022-02-10 | -6.18 | 86 |
| 2026-03-02 | 2026-06-01 | -6.10 | 92 |
| 2026-10-13 | 2026-11-04 | -5.46 | 23 |
| 2022-09-28 | 2022-10-13 | -4.75 | 16 |
| 2022-05-09 | 2022-06-07 | -3.89 | 30 |
| 2026-01-30 | 2026-02-06 | -3.71 | 8 |
| 2026-06-04 | 2026-07-20 | -3.69 | 47 |
| 2022-03-09 | 2022-03-18 | -3.55 | 10 |