| Metric | SPY | MBXIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | 7.88% |
| CAGR﹪ | 40.67% | 16.37% |
| Sharpe | 2.32 | 1.71 |
| Prob. Sharpe Ratio | 95.04% | 89.7% |
| Smart Sharpe | 2.3 | 1.6 |
| Sortino | 3.78 | 2.91 |
| Smart Sortino | 3.75 | 2.72 |
| Sortino/√2 | 2.67 | 2.06 |
| Smart Sortino/√2 | 2.65 | 1.92 |
| Omega | 1.54 | 1.47 |
| Max Drawdown | -4.49% | -2.98% |
| Max DD Date | 2026-06-10 | 2026-08-25 |
| Max DD Period Start | 2026-06-03 | 2026-07-01 |
| Max DD Period End | 2026-07-31 | 2026-09-09 |
| Longest DD Days | 59 | 71 |
| Volatility (ann.) | 13.55% | 6.88% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 9.05 | 5.5 |
| Skew | 0.1 | 0.95 |
| Kurtosis | 1.12 | 3.82 |
| Ulcer Performance Index | 11.86 | 6.49 |
| Risk-Adjusted Return | 40.67% | 16.37% |
| Risk-Return Ratio | 0.16 | 0.14 |
| Avg. Return | 0.14% | 0.06% |
| Avg. Win | 0.78% | 0.35% |
| Avg. Loss | -0.56% | -0.26% |
| Win/Loss Ratio | 1.4 | 1.36 |
| Profit Ratio | 1.12 | 1.07 |
| Expected Daily | 0.14% | 0.06% |
| Expected Monthly | 2.47% | 1.09% |
| Expected Yearly | 18.6% | 7.88% |
| Kelly Criterion | 21.13% | 19.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.65% |
| Expected Shortfall (cVaR) | -1.77% | -0.88% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.54 | 0.47 |
| Gain/Pain (1M) | 10.92 | 2.9 |
| Payoff Ratio | 1.4 | 1.36 |
| Profit Factor | 1.54 | 1.47 |
| Common Sense Ratio | 2.01 | 1.7 |
| CPC Index | 1.16 | 1.07 |
| Tail Ratio | 1.3 | 1.16 |
| Outlier Win Ratio | 3.21 | 4.36 |
| Outlier Loss Ratio | 3.16 | 2.88 |
| MTD | 1.08% | 3.63% |
| 3M | 3.82% | 2.38% |
| 6M | 18.6% | 7.88% |
| YTD | 18.6% | 7.88% |
| 1Y | 18.6% | 7.88% |
| 3Y (ann.) | 40.67% | 16.37% |
| 5Y (ann.) | 40.67% | 16.37% |
| 10Y (ann.) | 40.67% | 16.37% |
| All-time (ann.) | 40.67% | 16.37% |
| Best Day | 2.91% | 1.97% |
| Worst Day | -2.58% | -1.08% |
| Best Month | 10.51% | 3.63% |
| Worst Month | -1.03% | -1.96% |
| Best Year | 18.6% | 7.88% |
| Worst Year | 18.6% | 7.88% |
| Avg. Drawdown | -1.13% | -0.81% |
| Avg. Drawdown Days | 9 | 12 |
| Recovery Factor | 3.9 | 2.59 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 1.08 |
| Avg. Up Month | 5.79% | 3.4% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 53.6% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.15 |
| Correlation | - | 2.53% |
| Treynor Ratio | - | 612.72% |
| Year | SPY | MBXIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 7.88 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-01 | 2026-09-09 | -2.98 | 71 |
| 2026-03-26 | 2026-03-30 | -1.64 | 5 |
| 2026-05-06 | 2026-06-11 | -1.25 | 37 |
| 2026-09-21 | 2026-09-22 | -0.85 | 2 |
| 2026-04-30 | 2026-05-01 | -0.63 | 2 |
| 2026-06-16 | 2026-06-17 | -0.54 | 2 |
| 2026-09-16 | 2026-09-17 | -0.44 | 2 |
| 2026-04-17 | 2026-04-21 | -0.35 | 5 |
| 2026-06-25 | 2026-06-26 | -0.17 | 2 |
| 2026-04-24 | 2026-04-27 | -0.04 | 4 |