| Metric | SPY | MBXIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 74.99% | 50.66% |
| CAGR﹪ | 11.91% | 8.59% |
| Sharpe | 0.52 | 0.45 |
| Prob. Sharpe Ratio | 87.6% | 83.86% |
| Smart Sharpe | 0.5 | 0.42 |
| Sortino | 0.74 | 0.62 |
| Smart Sortino | 0.72 | 0.58 |
| Sortino/√2 | 0.53 | 0.44 |
| Smart Sortino/√2 | 0.51 | 0.41 |
| Omega | 1.14 | 1.15 |
| 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.) | 17.19% | 11.21% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.55 |
| Skew | 0.33 | -0.51 |
| Kurtosis | 8.98 | 5.7 |
| Ulcer Performance Index | 8.86 | 11.54 |
| Risk-Adjusted Return | 11.91% | 8.77% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.83% | 0.53% |
| Avg. Loss | -0.96% | -0.63% |
| Win/Loss Ratio | 0.87 | 0.85 |
| Profit Ratio | 0.86 | 0.7 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.92% | 0.67% |
| Expected Yearly | 9.77% | 7.07% |
| Kelly Criterion | -0.3% | 2.34% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.13% |
| Expected Shortfall (cVaR) | -2.58% | -1.67% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | 0.15 |
| Gain/Pain (1M) | 0.79 | 0.99 |
| Payoff Ratio | 0.87 | 0.85 |
| Profit Factor | 1.14 | 1.15 |
| Common Sense Ratio | 1.15 | 1.14 |
| CPC Index | 0.53 | 0.54 |
| Tail Ratio | 1.0 | 0.99 |
| Outlier Win Ratio | 3.4 | 3.42 |
| Outlier Loss Ratio | 3.8 | 3.49 |
| MTD | 1.47% | -1.36% |
| 3M | 1.46% | 5.73% |
| 6M | 6.94% | 5.5% |
| YTD | 13.33% | 19.72% |
| 1Y | 13.43% | 20.83% |
| 3Y (ann.) | 20.78% | 11.79% |
| 5Y (ann.) | 12.86% | 8.99% |
| 10Y (ann.) | 11.91% | 8.59% |
| All-time (ann.) | 11.91% | 8.59% |
| 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% | 19.72% |
| Worst Year | -18.18% | -0.71% |
| Avg. Drawdown | -1.94% | -2.02% |
| Avg. Drawdown Days | 21 | 30 |
| Recovery Factor | 2.58 | 2.83 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.43 | 0.71 |
| Avg. Up Month | 3.92% | 2.48% |
| Avg. Down Month | -3.57% | -2.33% |
| Win Days | 53.48% | 55.22% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.31 |
| Alpha | - | 0.05 |
| Correlation | - | 48.22% |
| Treynor Ratio | - | 161.04% |
| Year | SPY | MBXIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.71 | -0.41 | - |
| 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 | 13.33 | 19.72 | 1.48 | + |
| 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 |