| Metric | SPY | MBXIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 86.58% | 54.58% |
| CAGR﹪ | 13.36% | 9.15% |
| Sharpe | 0.59 | 0.5 |
| Prob. Sharpe Ratio | 90.85% | 86.37% |
| Smart Sharpe | 0.58 | 0.47 |
| Sortino | 0.86 | 0.69 |
| Smart Sortino | 0.83 | 0.65 |
| Sortino/√2 | 0.61 | 0.49 |
| Smart Sortino/√2 | 0.59 | 0.46 |
| Omega | 1.16 | 1.16 |
| Max Drawdown | -24.5% | -15.59% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2025-01-16 |
| Max DD Period End | 2023-12-12 | 2025-10-14 |
| Longest DD Days | 708 | 323 |
| Volatility (ann.) | 17.2% | 11.29% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.55 | 0.59 |
| Skew | 0.32 | -0.52 |
| Kurtosis | 8.95 | 5.53 |
| Ulcer Performance Index | 10.24 | 12.43 |
| Risk-Adjusted Return | 13.36% | 9.34% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.83% | 0.54% |
| Avg. Loss | -0.96% | -0.63% |
| Win/Loss Ratio | 0.86 | 0.85 |
| Profit Ratio | 0.83 | 0.7 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.03% | 0.72% |
| Expected Yearly | 10.95% | 7.53% |
| Kelly Criterion | 0.64% | 2.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.13% |
| Expected Shortfall (cVaR) | -2.58% | -1.66% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.16 | 0.16 |
| Gain/Pain (1M) | 0.87 | 1.03 |
| Payoff Ratio | 0.86 | 0.85 |
| Profit Factor | 1.16 | 1.16 |
| Common Sense Ratio | 1.17 | 1.12 |
| CPC Index | 0.54 | 0.54 |
| Tail Ratio | 1.01 | 0.97 |
| Outlier Win Ratio | 3.41 | 3.39 |
| Outlier Loss Ratio | 3.77 | 3.48 |
| MTD | 1.08% | 3.63% |
| 3M | 3.82% | 2.38% |
| 6M | 19.85% | 9.21% |
| YTD | 14.3% | 17.65% |
| 1Y | 17.78% | 20.2% |
| 3Y (ann.) | 24.86% | 10.42% |
| 5Y (ann.) | 13.06% | 8.5% |
| 10Y (ann.) | 13.36% | 9.15% |
| All-time (ann.) | 13.36% | 9.15% |
| Best Day | 10.5% | 4.5% |
| Worst Day | -5.85% | -4.9% |
| Best Month | 10.51% | 7.1% |
| Worst Month | -9.24% | -5.43% |
| Best Year | 26.18% | 17.65% |
| Worst Year | -18.18% | -0.67% |
| Avg. Drawdown | -1.89% | -2.04% |
| Avg. Drawdown Days | 20 | 30 |
| Recovery Factor | 2.85 | 3.0 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.47 | 0.75 |
| Avg. Up Month | 3.93% | 2.71% |
| Avg. Down Month | -3.31% | -2.29% |
| Win Days | 54.04% | 55.27% |
| Win Month | 63.93% | 59.02% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.32 |
| Alpha | - | 0.05 |
| Correlation | - | 48.75% |
| Treynor Ratio | - | 170.64% |
| Year | SPY | MBXIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 3.67 | 0.49 | - |
| 2022 | -18.18 | 7.72 | -0.43 | + |
| 2023 | 26.18 | -0.67 | -0.03 | - |
| 2024 | 24.89 | 13.51 | 0.54 | - |
| 2025 | 17.72 | 4.35 | 0.25 | - |
| 2026 | 14.30 | 17.65 | 1.23 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-01-16 | 2025-10-14 | -15.59 | 272 |
| 2022-11-04 | 2023-09-22 | -11.70 | 323 |
| 2022-05-17 | 2022-10-04 | -8.46 | 141 |
| 2024-07-02 | 2025-01-08 | -8.40 | 191 |
| 2023-09-29 | 2024-02-12 | -7.99 | 137 |
| 2021-11-26 | 2022-03-15 | -7.54 | 110 |
| 2025-10-22 | 2025-12-22 | -3.85 | 62 |
| 2022-04-21 | 2022-05-11 | -3.32 | 21 |
| 2026-07-01 | 2026-09-09 | -2.98 | 71 |
| 2024-05-30 | 2024-06-27 | -2.97 | 29 |