| Metric | SPY | MERVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 58.0% |
| Cumulative Return | 14.39% | 3.5% |
| CAGR﹪ | 14.51% | 3.53% |
| Sharpe | 0.83 | -0.1 |
| Prob. Sharpe Ratio | 79.61% | 46.24% |
| Smart Sharpe | 0.82 | -0.08 |
| Sortino | 1.22 | -0.16 |
| Smart Sortino | 1.2 | -0.13 |
| Sortino/√2 | 0.86 | -0.11 |
| Smart Sortino/√2 | 0.85 | -0.09 |
| Omega | 1.2 | 1.5 |
| Max Drawdown | -8.88% | -0.69% |
| Max DD Date | 2026-03-30 | 2026-09-18 |
| Max DD Period Start | 2026-01-28 | 2026-08-28 |
| Max DD Period End | 2026-04-13 | 2026-09-18 |
| Longest DD Days | 76 | 22 |
| Volatility (ann.) | 12.86% | 1.83% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.63 | 5.13 |
| Skew | -0.02 | 2.71 |
| Kurtosis | 0.78 | 24.64 |
| Ulcer Performance Index | 6.68 | 21.05 |
| Risk-Adjusted Return | 14.51% | 6.09% |
| Risk-Return Ratio | 0.07 | 0.12 |
| Avg. Return | 0.04% | 0.02% |
| Avg. Win | 0.72% | 0.13% |
| Avg. Loss | -0.8% | -0.12% |
| Win/Loss Ratio | 0.89 | 1.14 |
| Profit Ratio | 1.02 | 0.15 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.04% | 0.27% |
| Expected Yearly | 6.95% | 1.74% |
| Kelly Criterion | -1.81% | 21.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.18% |
| Expected Shortfall (cVaR) | -1.66% | -0.23% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.2 | 0.5 |
| Gain/Pain (1M) | 1.83 | 20.15 |
| Payoff Ratio | 0.89 | 1.14 |
| Profit Factor | 1.2 | 1.5 |
| Common Sense Ratio | 1.19 | 1.5 |
| CPC Index | 0.56 | 0.99 |
| Tail Ratio | 0.99 | 1.0 |
| Outlier Win Ratio | 2.84 | 4.79 |
| Outlier Loss Ratio | 3.01 | 1.87 |
| MTD | 1.47% | -0.17% |
| 3M | 1.46% | 1.04% |
| 6M | 6.94% | 1.93% |
| YTD | 13.33% | 2.83% |
| 1Y | 14.39% | 3.5% |
| 3Y (ann.) | 14.51% | 3.53% |
| 5Y (ann.) | 14.51% | 3.53% |
| 10Y (ann.) | 14.51% | 3.53% |
| All-time (ann.) | 14.51% | 3.53% |
| Best Day | 2.91% | 1.04% |
| Worst Day | -2.58% | -0.35% |
| Best Month | 10.51% | 0.78% |
| Worst Month | -4.94% | -0.17% |
| Best Year | 13.33% | 2.83% |
| Worst Year | 0.94% | 0.65% |
| Avg. Drawdown | -1.74% | -0.23% |
| Avg. Drawdown Days | 14 | 8 |
| Recovery Factor | 1.61 | 5.03 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.94 | 5.91 |
| Avg. Up Month | 1.73% | 0.33% |
| Avg. Down Month | - | - |
| Win Days | 52.0% | 58.33% |
| Win Month | 61.54% | 84.62% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.03 |
| Correlation | - | 32.46% |
| Treynor Ratio | - | 75.72% |
| Year | SPY | MERVX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.65 | 0.70 | - |
| 2026 | 13.33 | 2.83 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-28 | 2026-09-18 | -0.69 | 22 |
| 2026-03-03 | 2026-03-20 | -0.44 | 18 |
| 2026-10-23 | 2026-11-04 | -0.43 | 13 |
| 2026-01-26 | 2026-02-06 | -0.35 | 12 |
| 2026-06-05 | 2026-06-10 | -0.35 | 6 |
| 2026-07-02 | 2026-07-10 | -0.35 | 9 |
| 2026-07-17 | 2026-07-30 | -0.35 | 14 |
| 2026-10-12 | 2026-10-20 | -0.34 | 9 |
| 2026-02-12 | 2026-02-24 | -0.26 | 13 |
| 2026-04-27 | 2026-05-18 | -0.26 | 22 |