| Metric | SPY | MERIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 78.0% |
| Cumulative Return | 74.99% | 22.29% |
| CAGR﹪ | 11.91% | 4.13% |
| Sharpe | 0.52 | 0.07 |
| Prob. Sharpe Ratio | 87.6% | 56.28% |
| Smart Sharpe | 0.5 | 0.06 |
| Sortino | 0.74 | 0.1 |
| Smart Sortino | 0.72 | 0.08 |
| Sortino/√2 | 0.53 | 0.07 |
| Smart Sortino/√2 | 0.51 | 0.05 |
| Omega | 1.14 | 1.35 |
| Max Drawdown | -24.5% | -3.85% |
| Max DD Date | 2022-10-12 | 2024-12-20 |
| Max DD Period Start | 2022-01-04 | 2024-12-19 |
| Max DD Period End | 2023-12-12 | 2025-04-22 |
| Longest DD Days | 708 | 214 |
| Volatility (ann.) | 17.19% | 3.48% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 1.07 |
| Skew | 0.33 | -0.43 |
| Kurtosis | 8.98 | 125.57 |
| Ulcer Performance Index | 8.86 | 23.95 |
| Risk-Adjusted Return | 11.91% | 5.29% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.89% | 0.15% |
| Avg. Loss | -1.05% | -0.17% |
| Win/Loss Ratio | 0.85 | 0.85 |
| Profit Ratio | 0.86 | 0.31 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.33% |
| Expected Yearly | 9.77% | 3.41% |
| Kelly Criterion | -1.19% | 8.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.34% |
| Expected Shortfall (cVaR) | -2.58% | -0.73% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.35 |
| Gain/Pain (1M) | 0.79 | 3.18 |
| Payoff Ratio | 0.85 | 0.85 |
| Profit Factor | 1.14 | 1.35 |
| Common Sense Ratio | 1.15 | 1.79 |
| CPC Index | 0.52 | 0.67 |
| Tail Ratio | 1.0 | 1.33 |
| Outlier Win Ratio | 3.4 | 4.96 |
| Outlier Loss Ratio | 3.8 | 3.96 |
| MTD | 1.47% | -0.11% |
| 3M | 1.46% | 1.1% |
| 6M | 6.94% | 2.1% |
| YTD | 13.33% | 3.06% |
| 1Y | 13.43% | 3.93% |
| 3Y (ann.) | 20.78% | 5.43% |
| 5Y (ann.) | 12.86% | 4.18% |
| 10Y (ann.) | 11.91% | 4.13% |
| All-time (ann.) | 11.91% | 4.13% |
| Best Day | 10.5% | 3.65% |
| Worst Day | -5.85% | -3.67% |
| Best Month | 10.51% | 1.93% |
| Worst Month | -9.24% | -2.14% |
| Best Year | 26.18% | 8.41% |
| Worst Year | -18.18% | 0.27% |
| Avg. Drawdown | -1.94% | -0.4% |
| Avg. Drawdown Days | 21 | 17 |
| Recovery Factor | 2.58 | 5.31 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.43 | 2.01 |
| Avg. Up Month | 4.11% | 0.58% |
| Avg. Down Month | -5.87% | -0.47% |
| Win Days | 53.48% | 58.03% |
| Win Month | 62.3% | 76.67% |
| Win Quarter | 71.43% | 90.48% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.03 |
| Correlation | - | 25.5% |
| Treynor Ratio | - | 431.48% |
| Year | SPY | MERIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.27 | 0.16 | - |
| 2022 | -18.18 | 1.01 | -0.06 | + |
| 2023 | 26.18 | 4.51 | 0.17 | - |
| 2024 | 24.89 | 3.40 | 0.14 | - |
| 2025 | 17.72 | 8.41 | 0.47 | - |
| 2026 | 13.33 | 3.06 | 0.23 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-19 | 2025-04-22 | -3.85 | 125 |
| 2022-04-05 | 2022-08-08 | -3.51 | 126 |
| 2023-01-24 | 2023-08-25 | -3.13 | 214 |
| 2024-10-22 | 2024-12-17 | -1.43 | 57 |
| 2024-04-04 | 2024-06-28 | -1.35 | 86 |
| 2024-08-30 | 2024-09-19 | -1.27 | 21 |
| 2022-11-02 | 2023-01-03 | -1.20 | 63 |
| 2022-08-18 | 2022-10-28 | -0.97 | 72 |
| 2021-12-13 | 2022-01-28 | -0.88 | 47 |
| 2023-10-17 | 2023-11-20 | -0.81 | 35 |