| Metric | SPY | MERIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 77.0% |
| Cumulative Return | 204.97% | 33.84% |
| CAGR﹪ | 16.25% | 4.01% |
| Sharpe | 0.72 | 0.28 |
| Prob. Sharpe Ratio | 97.45% | 76.94% |
| Smart Sharpe | 0.63 | 0.23 |
| Sortino | 1.02 | 0.37 |
| Smart Sortino | 0.88 | 0.3 |
| Sortino/√2 | 0.72 | 0.26 |
| Smart Sortino/√2 | 0.62 | 0.21 |
| Omega | 1.18 | 1.31 |
| Max Drawdown | -33.72% | -9.33% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2020-02-24 |
| Max DD Period End | 2020-08-07 | 2020-07-14 |
| Longest DD Days | 708 | 814 |
| Volatility (ann.) | 19.45% | 4.13% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.43 |
| Skew | -0.29 | -2.71 |
| Kurtosis | 13.94 | 98.46 |
| Ulcer Performance Index | 25.91 | 20.44 |
| Risk-Adjusted Return | 16.25% | 5.21% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.93% | 0.16% |
| Avg. Loss | -1.17% | -0.2% |
| Win/Loss Ratio | 0.8 | 0.79 |
| Profit Ratio | 0.78 | 0.27 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.32% |
| Expected Yearly | 14.96% | 3.71% |
| Kelly Criterion | -1.18% | 8.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.41% |
| Expected Shortfall (cVaR) | -3.2% | -1.07% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.31 |
| Gain/Pain (1M) | 1.15 | 2.34 |
| Payoff Ratio | 0.8 | 0.79 |
| Profit Factor | 1.18 | 1.31 |
| Common Sense Ratio | 1.13 | 1.38 |
| CPC Index | 0.52 | 0.61 |
| Tail Ratio | 0.96 | 1.06 |
| Outlier Win Ratio | 3.69 | 5.3 |
| Outlier Loss Ratio | 4.12 | 4.22 |
| 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.) | 16.25% | 4.01% |
| All-time (ann.) | 16.25% | 4.01% |
| Best Day | 10.5% | 3.65% |
| Worst Day | -10.94% | -4.39% |
| Best Month | 12.7% | 2.22% |
| Worst Month | -12.49% | -2.45% |
| Best Year | 28.73% | 8.41% |
| Worst Year | -18.18% | 0.1% |
| Avg. Drawdown | -1.79% | -0.36% |
| Avg. Drawdown Days | 16 | 16 |
| Recovery Factor | 3.72 | 3.19 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.03 | 1.2 |
| Avg. Up Month | 4.24% | 0.65% |
| Avg. Down Month | -6.71% | -0.69% |
| Win Days | 55.15% | 59.4% |
| Win Month | 65.56% | 77.53% |
| Win Quarter | 77.42% | 87.1% |
| Win Year | 87.5% | 100.0% |
| Beta | - | 0.09 |
| Alpha | - | 0.02 |
| Correlation | - | 42.28% |
| Treynor Ratio | - | 376.96% |
| Year | SPY | MERIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 4.27 | 0.26 | - |
| 2020 | 18.33 | 5.15 | 0.28 | - |
| 2021 | 28.73 | 0.10 | 0.00 | - |
| 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 |
|---|---|---|---|
| 2020-02-24 | 2020-07-14 | -9.33 | 142 |
| 2021-06-14 | 2023-09-05 | -5.69 | 814 |
| 2024-12-19 | 2025-04-22 | -3.85 | 125 |
| 2021-02-22 | 2021-05-27 | -1.86 | 95 |
| 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 |
| 2021-01-26 | 2021-02-02 | -0.91 | 8 |
| 2023-10-17 | 2023-11-20 | -0.81 | 35 |
| 2024-08-01 | 2024-08-07 | -0.69 | 7 |