| Metric | SPY | DBMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 18.6% | 8.93% |
| CAGR﹪ | 40.67% | 18.65% |
| Sharpe | 2.32 | 1.43 |
| Prob. Sharpe Ratio | 95.04% | 83.87% |
| Smart Sharpe | 2.3 | 1.34 |
| Sortino | 3.78 | 2.05 |
| Smart Sortino | 3.75 | 1.91 |
| Sortino/√2 | 2.67 | 1.45 |
| Smart Sortino/√2 | 2.65 | 1.35 |
| Omega | 1.54 | 1.35 |
| Max Drawdown | -4.49% | -3.69% |
| Max DD Date | 2026-06-10 | 2026-06-26 |
| Max DD Period Start | 2026-06-03 | 2026-06-04 |
| Max DD Period End | 2026-07-31 | 2026-07-20 |
| Longest DD Days | 59 | 47 |
| Volatility (ann.) | 13.55% | 9.76% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 9.05 | 5.05 |
| Skew | 0.1 | -0.44 |
| Kurtosis | 1.12 | 1.28 |
| Ulcer Performance Index | 11.86 | 6.74 |
| Risk-Adjusted Return | 40.67% | 18.84% |
| Risk-Return Ratio | 0.16 | 0.11 |
| Avg. Return | 0.14% | 0.07% |
| Avg. Win | 0.63% | 0.45% |
| Avg. Loss | -0.7% | -0.52% |
| Win/Loss Ratio | 0.9 | 0.87 |
| Profit Ratio | 1.12 | 0.58 |
| Expected Daily | 0.14% | 0.07% |
| Expected Monthly | 2.47% | 1.23% |
| Expected Yearly | 18.6% | 8.93% |
| Kelly Criterion | 2.62% | 13.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.94% |
| Expected Shortfall (cVaR) | -1.77% | -1.43% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.35 |
| Gain/Pain (1M) | 10.92 | 12.51 |
| Payoff Ratio | 0.9 | 0.87 |
| Profit Factor | 1.54 | 1.35 |
| Common Sense Ratio | 2.01 | 1.49 |
| CPC Index | 0.75 | 0.7 |
| Tail Ratio | 1.3 | 1.11 |
| Outlier Win Ratio | 3.21 | 2.89 |
| Outlier Loss Ratio | 3.16 | 3.42 |
| MTD | 1.08% | 1.66% |
| 3M | 3.82% | 3.69% |
| 6M | 18.6% | 8.93% |
| YTD | 18.6% | 8.93% |
| 1Y | 18.6% | 8.93% |
| 3Y (ann.) | 40.67% | 18.65% |
| 5Y (ann.) | 40.67% | 18.65% |
| 10Y (ann.) | 40.67% | 18.65% |
| All-time (ann.) | 40.67% | 18.65% |
| Best Day | 2.91% | 1.88% |
| Worst Day | -2.58% | -2.01% |
| Best Month | 10.51% | 2.43% |
| Worst Month | -1.03% | -0.76% |
| Best Year | 18.6% | 8.93% |
| Worst Year | 18.6% | 8.93% |
| Avg. Drawdown | -1.13% | -1.29% |
| Avg. Drawdown Days | 9 | 11 |
| Recovery Factor | 3.9 | 2.38 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 1.43 |
| Avg. Up Month | 3.91% | 1.39% |
| Avg. Down Month | -1.03% | -0.76% |
| Win Days | 53.97% | 59.68% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.03 |
| Alpha | - | 0.19 |
| Correlation | - | -4.75% |
| Treynor Ratio | - | -260.86% |
| Year | SPY | DBMF | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 8.93 | 0.48 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-07-20 | -3.69 | 47 |
| 2026-07-24 | 2026-08-14 | -2.73 | 22 |
| 2026-04-30 | 2026-05-12 | -2.15 | 13 |
| 2026-08-18 | 2026-08-31 | -1.90 | 14 |
| 2026-04-14 | 2026-04-22 | -1.54 | 9 |
| 2026-09-02 | 2026-09-09 | -1.36 | 8 |
| 2026-09-16 | 2026-09-22 | -1.05 | 7 |
| 2026-05-20 | 2026-06-01 | -1.02 | 13 |
| 2026-04-07 | 2026-04-10 | -0.85 | 4 |
| 2026-03-31 | 2026-03-31 | -0.20 | 1 |