| Metric | SPY | MBXIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 6.48% | 4.8% |
| CAGR﹪ | 13.27% | 9.74% |
| Sharpe | 0.78 | 0.83 |
| Prob. Sharpe Ratio | 70.87% | 72.35% |
| Smart Sharpe | 0.75 | 0.75 |
| Sortino | 1.14 | 1.3 |
| Smart Sortino | 1.09 | 1.18 |
| Sortino/√2 | 0.8 | 0.92 |
| Smart Sortino/√2 | 0.77 | 0.83 |
| Omega | 1.19 | 1.24 |
| 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.) | 12.4% | 7.24% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.95 | 3.27 |
| Skew | -0.15 | 0.57 |
| Kurtosis | 0.59 | 2.05 |
| Ulcer Performance Index | 3.89 | 3.71 |
| Risk-Adjusted Return | 13.27% | 9.74% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.66% | 0.35% |
| Avg. Loss | -0.56% | -0.3% |
| Win/Loss Ratio | 1.18 | 1.17 |
| Profit Ratio | 1.15 | 1.13 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 0.9% | 0.67% |
| Expected Yearly | 6.48% | 4.8% |
| Kelly Criterion | 8.48% | 8.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.71% |
| Expected Shortfall (cVaR) | -1.63% | -0.91% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.19 | 0.24 |
| Gain/Pain (1M) | 3.26 | 1.01 |
| Payoff Ratio | 1.18 | 1.17 |
| Profit Factor | 1.19 | 1.24 |
| Common Sense Ratio | 1.47 | 1.51 |
| CPC Index | 0.71 | 0.74 |
| Tail Ratio | 1.23 | 1.21 |
| Outlier Win Ratio | 2.66 | 3.18 |
| Outlier Loss Ratio | 3.07 | 3.17 |
| MTD | 1.47% | -1.36% |
| 3M | 1.46% | 5.73% |
| 6M | 6.48% | 4.8% |
| YTD | 6.48% | 4.8% |
| 1Y | 6.48% | 4.8% |
| 3Y (ann.) | 13.27% | 9.74% |
| 5Y (ann.) | 13.27% | 9.74% |
| 10Y (ann.) | 13.27% | 9.74% |
| All-time (ann.) | 13.27% | 9.74% |
| Best Day | 1.8% | 1.97% |
| Worst Day | -2.58% | -1.12% |
| Best Month | 4.52% | 5.41% |
| Worst Month | -1.03% | -1.96% |
| Best Year | 6.48% | 4.8% |
| Worst Year | 6.48% | 4.8% |
| Avg. Drawdown | -1.57% | -1.14% |
| Avg. Drawdown Days | 17 | 15 |
| Recovery Factor | 1.48 | 1.62 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.91 | 0.66 |
| Avg. Up Month | - | - |
| Avg. Down Month | - | - |
| Win Days | 50.39% | 50.79% |
| Win Month | 57.14% | 42.86% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.05 |
| Alpha | - | 0.1 |
| Correlation | - | -8.65% |
| Treynor Ratio | - | -94.95% |
| Year | SPY | MBXIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 4.80 | 0.74 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-01 | 2026-09-09 | -2.98 | 71 |
| 2026-10-29 | 2026-11-04 | -2.43 | 7 |
| 2026-10-13 | 2026-10-27 | -1.80 | 15 |
| 2026-05-06 | 2026-06-11 | -1.25 | 37 |
| 2026-09-21 | 2026-09-22 | -0.85 | 2 |
| 2026-06-16 | 2026-06-17 | -0.54 | 2 |
| 2026-09-25 | 2026-09-30 | -0.49 | 6 |
| 2026-10-06 | 2026-10-08 | -0.47 | 3 |
| 2026-09-16 | 2026-09-17 | -0.44 | 2 |
| 2026-06-25 | 2026-06-26 | -0.17 | 2 |