| Metric | SPY | MBXIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 204.97% | 91.97% |
| CAGR﹪ | 16.25% | 9.21% |
| Sharpe | 0.72 | 0.5 |
| Prob. Sharpe Ratio | 97.45% | 90.44% |
| Smart Sharpe | 0.63 | 0.46 |
| Sortino | 1.02 | 0.65 |
| Smart Sortino | 0.88 | 0.61 |
| Sortino/√2 | 0.72 | 0.46 |
| Smart Sortino/√2 | 0.62 | 0.43 |
| Omega | 1.18 | 1.15 |
| Max Drawdown | -33.72% | -31.73% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-21 |
| Max DD Period End | 2020-08-07 | 2021-02-04 |
| Longest DD Days | 708 | 350 |
| Volatility (ann.) | 19.45% | 13.94% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.29 |
| Skew | -0.29 | -1.96 |
| Kurtosis | 13.94 | 21.84 |
| Ulcer Performance Index | 25.91 | 13.55 |
| Risk-Adjusted Return | 16.25% | 9.4% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.89% | 0.62% |
| Avg. Loss | -1.03% | -0.76% |
| Win/Loss Ratio | 0.86 | 0.82 |
| Profit Ratio | 0.78 | 0.67 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.73% |
| Expected Yearly | 14.96% | 8.49% |
| Kelly Criterion | 3.01% | 1.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.41% |
| Expected Shortfall (cVaR) | -3.2% | -2.37% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.15 |
| Gain/Pain (1M) | 1.15 | 0.85 |
| Payoff Ratio | 0.86 | 0.82 |
| Profit Factor | 1.18 | 1.15 |
| Common Sense Ratio | 1.13 | 1.13 |
| CPC Index | 0.56 | 0.52 |
| Tail Ratio | 0.96 | 0.99 |
| Outlier Win Ratio | 3.69 | 3.76 |
| Outlier Loss Ratio | 4.12 | 3.69 |
| 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.) | 16.25% | 9.21% |
| All-time (ann.) | 16.25% | 9.21% |
| Best Day | 10.5% | 4.63% |
| Worst Day | -10.94% | -9.92% |
| Best Month | 12.7% | 8.8% |
| Worst Month | -12.49% | -16.35% |
| Best Year | 28.73% | 19.72% |
| Worst Year | -18.18% | -0.67% |
| Avg. Drawdown | -1.79% | -2.2% |
| Avg. Drawdown Days | 16 | 29 |
| Recovery Factor | 3.72 | 2.29 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 1.03 | 0.48 |
| Avg. Up Month | 4.22% | 3.03% |
| Avg. Down Month | -3.79% | -3.84% |
| Win Days | 55.15% | 55.67% |
| Win Month | 65.56% | 62.22% |
| Win Quarter | 77.42% | 74.19% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.49 |
| Alpha | - | 0.02 |
| Correlation | - | 67.72% |
| Treynor Ratio | - | 189.42% |
| Year | SPY | MBXIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 8.77 | 0.54 | - |
| 2020 | 18.33 | -0.49 | -0.03 | - |
| 2021 | 28.73 | 16.89 | 0.59 | - |
| 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 |
|---|---|---|---|
| 2020-02-21 | 2021-02-04 | -31.73 | 350 |
| 2025-01-16 | 2025-10-14 | -15.59 | 272 |
| 2022-11-04 | 2023-09-22 | -11.70 | 323 |
| 2019-07-31 | 2019-11-04 | -9.25 | 97 |
| 2022-05-17 | 2022-10-04 | -8.46 | 141 |
| 2024-07-02 | 2025-01-08 | -8.40 | 191 |
| 2021-06-14 | 2022-03-16 | -8.24 | 276 |
| 2023-09-29 | 2024-02-12 | -7.99 | 137 |
| 2021-03-16 | 2021-04-14 | -5.24 | 30 |
| 2021-05-10 | 2021-05-25 | -3.90 | 16 |