| Metric | SPY | DBMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 204.97% | 90.93% |
| CAGR﹪ | 16.25% | 9.13% |
| Sharpe | 0.72 | 0.54 |
| Prob. Sharpe Ratio | 97.45% | 92.55% |
| Smart Sharpe | 0.63 | 0.51 |
| Sortino | 1.02 | 0.73 |
| Smart Sortino | 0.88 | 0.69 |
| Sortino/√2 | 0.72 | 0.52 |
| Smart Sortino/√2 | 0.62 | 0.49 |
| Omega | 1.18 | 1.14 |
| 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.) | 19.45% | 12.37% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.48 | 0.45 |
| Skew | -0.29 | -0.6 |
| Kurtosis | 13.94 | 3.13 |
| Ulcer Performance Index | 25.91 | 10.92 |
| Risk-Adjusted Return | 16.25% | 9.22% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.77% | 0.56% |
| Avg. Loss | -0.89% | -0.69% |
| Win/Loss Ratio | 0.87 | 0.81 |
| Profit Ratio | 0.78 | 0.68 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.72% |
| Expected Yearly | 14.96% | 8.42% |
| Kelly Criterion | 3.4% | 0.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.24% |
| Expected Shortfall (cVaR) | -3.2% | -1.85% |
| Max Consecutive Wins | 11 | 14 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.14 |
| Gain/Pain (1M) | 1.15 | 0.91 |
| Payoff Ratio | 0.87 | 0.81 |
| Profit Factor | 1.18 | 1.14 |
| Common Sense Ratio | 1.13 | 1.04 |
| CPC Index | 0.56 | 0.51 |
| Tail Ratio | 0.96 | 0.91 |
| Outlier Win Ratio | 3.69 | 3.65 |
| Outlier Loss Ratio | 4.12 | 3.76 |
| 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.) | 16.25% | 9.13% |
| All-time (ann.) | 16.25% | 9.13% |
| 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 | -1.79% | -2.4% |
| Avg. Drawdown Days | 16 | 42 |
| Recovery Factor | 3.72 | 3.45 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 1.03 | 0.38 |
| Avg. Up Month | 3.99% | 2.34% |
| Avg. Down Month | -2.84% | -1.57% |
| Win Days | 55.15% | 55.71% |
| Win Month | 65.56% | 61.11% |
| Win Quarter | 77.42% | 64.52% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.11 |
| Alpha | - | 0.08 |
| Correlation | - | 17.93% |
| Treynor Ratio | - | 797.65% |
| 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 | 13.33 | 13.75 | 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 |
| 2026-10-13 | 2026-11-04 | -5.46 | 23 |
| 2022-09-28 | 2022-10-18 | -4.75 | 21 |
| 2021-03-18 | 2021-04-16 | -4.03 | 30 |