| Metric | SPY | MBXIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 14.39% | 21.04% |
| CAGR﹪ | 14.51% | 21.22% |
| Sharpe | 0.83 | 2.13 |
| Prob. Sharpe Ratio | 79.61% | 98.46% |
| Smart Sharpe | 0.82 | 1.98 |
| Sortino | 1.22 | 3.45 |
| Smart Sortino | 1.2 | 3.21 |
| Sortino/√2 | 0.86 | 2.44 |
| Smart Sortino/√2 | 0.85 | 2.27 |
| Omega | 1.2 | 1.54 |
| Max Drawdown | -8.88% | -2.98% |
| Max DD Date | 2026-03-30 | 2026-08-25 |
| Max DD Period Start | 2026-01-28 | 2026-07-01 |
| Max DD Period End | 2026-04-13 | 2026-09-09 |
| Longest DD Days | 76 | 71 |
| Volatility (ann.) | 12.86% | 7.46% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 1.63 | 7.12 |
| Skew | -0.02 | 0.34 |
| Kurtosis | 0.78 | 1.32 |
| Ulcer Performance Index | 6.68 | 20.54 |
| Risk-Adjusted Return | 14.51% | 21.44% |
| Risk-Return Ratio | 0.07 | 0.17 |
| Avg. Return | 0.05% | 0.08% |
| Avg. Win | 0.67% | 0.41% |
| Avg. Loss | -0.74% | -0.39% |
| Win/Loss Ratio | 0.91 | 1.04 |
| Profit Ratio | 1.02 | 0.78 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 1.04% | 1.48% |
| Expected Yearly | 6.95% | 10.02% |
| Kelly Criterion | -0.96% | 17.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.7% |
| Expected Shortfall (cVaR) | -1.66% | -0.93% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.2 | 0.54 |
| Gain/Pain (1M) | 1.83 | 4.82 |
| Payoff Ratio | 0.91 | 1.04 |
| Profit Factor | 1.2 | 1.54 |
| Common Sense Ratio | 1.19 | 1.86 |
| CPC Index | 0.57 | 0.93 |
| Tail Ratio | 0.99 | 1.21 |
| Outlier Win Ratio | 2.84 | 3.47 |
| Outlier Loss Ratio | 3.01 | 3.09 |
| MTD | 1.47% | -1.36% |
| 3M | 1.46% | 5.73% |
| 6M | 6.94% | 5.5% |
| YTD | 13.33% | 19.72% |
| 1Y | 14.39% | 21.04% |
| 3Y (ann.) | 14.51% | 21.22% |
| 5Y (ann.) | 14.51% | 21.22% |
| 10Y (ann.) | 14.51% | 21.22% |
| All-time (ann.) | 14.51% | 21.22% |
| Best Day | 2.91% | 1.97% |
| Worst Day | -2.58% | -1.12% |
| Best Month | 10.51% | 5.41% |
| Worst Month | -4.94% | -1.96% |
| Best Year | 13.33% | 19.72% |
| Worst Year | 0.94% | 1.1% |
| Avg. Drawdown | -1.74% | -0.84% |
| Avg. Drawdown Days | 14 | 7 |
| Recovery Factor | 1.61 | 6.5 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 3.92 |
| Avg. Up Month | 3.23% | 2.07% |
| Avg. Down Month | - | - |
| Win Days | 52.0% | 57.89% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.18 |
| Alpha | - | 0.17 |
| Correlation | - | 31.01% |
| Treynor Ratio | - | 117.02% |
| Year | SPY | MBXIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.10 | 1.17 | + |
| 2026 | 13.33 | 19.72 | 1.48 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-01 | 2026-09-09 | -2.98 | 71 |
| 2026-10-29 | 2026-11-04 | -2.43 | 7 |
| 2025-11-13 | 2025-11-25 | -2.36 | 13 |
| 2026-10-13 | 2026-10-27 | -1.80 | 15 |
| 2026-03-26 | 2026-03-30 | -1.64 | 5 |
| 2025-12-12 | 2025-12-19 | -1.38 | 8 |
| 2026-01-15 | 2026-01-30 | -1.28 | 16 |
| 2026-05-06 | 2026-06-11 | -1.25 | 37 |
| 2026-02-12 | 2026-02-17 | -1.06 | 6 |
| 2026-03-03 | 2026-03-09 | -0.97 | 7 |