| Metric | SPY | DBMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 207.58% | 92.55% |
| CAGR﹪ | 16.68% | 9.41% |
| Sharpe | 0.74 | 0.56 |
| Prob. Sharpe Ratio | 97.6% | 93.15% |
| Smart Sharpe | 0.64 | 0.53 |
| Sortino | 1.04 | 0.76 |
| Smart Sortino | 0.9 | 0.72 |
| Sortino/√2 | 0.74 | 0.54 |
| Smart Sortino/√2 | 0.64 | 0.51 |
| Omega | 1.19 | 1.15 |
| Max Drawdown | -33.72% | -20.39% |
| Max DD Date | 2020-03-23 | 2023-03-24 |
| Max DD Period Start | 2020-02-20 | 2022-10-21 |
| Max DD Period End | 2020-08-07 | 2025-12-18 |
| Longest DD Days | 708 | 1155 |
| Volatility (ann.) | 19.56% | 12.36% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.46 |
| Skew | -0.29 | -0.61 |
| Kurtosis | 13.84 | 3.18 |
| Ulcer Performance Index | 26.03 | 11.03 |
| Risk-Adjusted Return | 16.68% | 9.51% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.78% | 0.56% |
| Avg. Loss | -0.89% | -0.69% |
| Win/Loss Ratio | 0.87 | 0.81 |
| Profit Ratio | 0.77 | 0.68 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.28% | 0.75% |
| Expected Yearly | 15.08% | 8.53% |
| Kelly Criterion | 3.74% | 0.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.24% |
| Expected Shortfall (cVaR) | -3.2% | -1.85% |
| Max Consecutive Wins | 11 | 14 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.19 | 0.15 |
| Gain/Pain (1M) | 1.17 | 0.96 |
| Payoff Ratio | 0.87 | 0.81 |
| Profit Factor | 1.19 | 1.15 |
| Common Sense Ratio | 1.14 | 1.06 |
| CPC Index | 0.57 | 0.52 |
| Tail Ratio | 0.96 | 0.92 |
| Outlier Win Ratio | 3.69 | 3.67 |
| Outlier Loss Ratio | 4.1 | 3.74 |
| MTD | 1.08% | 1.66% |
| 3M | 3.82% | 3.69% |
| 6M | 19.85% | 7.98% |
| YTD | 14.3% | 14.71% |
| 1Y | 17.78% | 24.08% |
| 3Y (ann.) | 24.86% | 8.98% |
| 5Y (ann.) | 13.06% | 9.21% |
| 10Y (ann.) | 16.68% | 9.41% |
| All-time (ann.) | 16.68% | 9.41% |
| Best Day | 10.5% | 3.29% |
| Worst Day | -10.94% | -4.13% |
| Best Month | 12.7% | 10.59% |
| Worst Month | -12.49% | -8.84% |
| Best Year | 28.73% | 21.61% |
| Worst Year | -18.18% | -8.94% |
| Avg. Drawdown | -1.78% | -2.39% |
| Avg. Drawdown Days | 16 | 43 |
| Recovery Factor | 3.75 | 3.49 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 1.03 | 0.38 |
| Avg. Up Month | 3.92% | 2.33% |
| Avg. Down Month | -2.99% | -1.67% |
| Win Days | 55.26% | 55.78% |
| Win Month | 67.05% | 62.07% |
| Win Quarter | 76.67% | 66.67% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.11 |
| Alpha | - | 0.08 |
| Correlation | - | 18.12% |
| Treynor Ratio | - | 808.53% |
| Year | SPY | DBMF | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 9.38 | 0.57 | - |
| 2020 | 18.33 | 1.81 | 0.10 | - |
| 2021 | 28.73 | 11.49 | 0.40 | - |
| 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 | 14.30 | 14.71 | 1.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-21 | 2025-12-18 | -20.39 | 1155 |
| 2020-02-21 | 2021-02-05 | -10.43 | 351 |
| 2022-06-14 | 2022-09-20 | -7.38 | 99 |
| 2019-09-05 | 2020-01-15 | -6.74 | 133 |
| 2021-11-17 | 2022-02-10 | -6.18 | 86 |
| 2026-03-02 | 2026-06-01 | -6.10 | 92 |
| 2021-06-16 | 2021-11-08 | -5.50 | 146 |
| 2022-09-28 | 2022-10-13 | -4.75 | 16 |
| 2021-03-18 | 2021-04-16 | -4.03 | 30 |
| 2022-05-09 | 2022-06-07 | -3.89 | 30 |