| Metric | SPY | MERIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 78.0% |
| Cumulative Return | 207.58% | 34.14% |
| CAGR﹪ | 16.68% | 4.12% |
| Sharpe | 0.74 | 0.3 |
| Prob. Sharpe Ratio | 97.6% | 78.33% |
| Smart Sharpe | 0.64 | 0.25 |
| Sortino | 1.04 | 0.39 |
| Smart Sortino | 0.9 | 0.32 |
| Sortino/√2 | 0.74 | 0.28 |
| Smart Sortino/√2 | 0.64 | 0.23 |
| Omega | 1.19 | 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.) | 19.56% | 4.16% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.49 | 0.44 |
| Skew | -0.29 | -2.7 |
| Kurtosis | 13.84 | 97.2 |
| Ulcer Performance Index | 26.03 | 20.46 |
| Risk-Adjusted Return | 16.68% | 5.28% |
| Risk-Return Ratio | 0.06 | 0.06 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.94% | 0.16% |
| Avg. Loss | -1.18% | -0.2% |
| Win/Loss Ratio | 0.79 | 0.78 |
| Profit Ratio | 0.77 | 0.27 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.28% | 0.33% |
| Expected Yearly | 15.08% | 3.74% |
| Kelly Criterion | -1.23% | 8.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.41% |
| Expected Shortfall (cVaR) | -3.2% | -1.07% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.19 | 0.31 |
| Gain/Pain (1M) | 1.17 | 2.37 |
| Payoff Ratio | 0.79 | 0.78 |
| Profit Factor | 1.19 | 1.31 |
| Common Sense Ratio | 1.14 | 1.6 |
| CPC Index | 0.52 | 0.61 |
| Tail Ratio | 0.96 | 1.22 |
| Outlier Win Ratio | 3.69 | 5.27 |
| Outlier Loss Ratio | 4.1 | 4.22 |
| MTD | 1.08% | 0.57% |
| 3M | 3.82% | 2.03% |
| 6M | 19.85% | 2.69% |
| YTD | 14.3% | 3.3% |
| 1Y | 17.78% | 5.73% |
| 3Y (ann.) | 24.86% | 5.99% |
| 5Y (ann.) | 13.06% | 4.27% |
| 10Y (ann.) | 16.68% | 4.12% |
| All-time (ann.) | 16.68% | 4.12% |
| 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 | -1.78% | -0.36% |
| Avg. Drawdown Days | 16 | 17 |
| Recovery Factor | 3.75 | 3.22 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.03 | 1.2 |
| Avg. Up Month | 4.17% | 0.65% |
| Avg. Down Month | -6.71% | -0.69% |
| Win Days | 55.26% | 59.63% |
| Win Month | 67.05% | 78.16% |
| Win Quarter | 76.67% | 86.67% |
| Win Year | 87.5% | 100.0% |
| Beta | - | 0.09 |
| Alpha | - | 0.03 |
| Correlation | - | 42.34% |
| Treynor Ratio | - | 379.14% |
| 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 | 14.30 | 3.30 | 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 |