| Metric | SPY | MERVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 55.0% |
| Cumulative Return | 17.87% | 5.07% |
| CAGR﹪ | 18.02% | 5.11% |
| Sharpe | 1.04 | 0.57 |
| Prob. Sharpe Ratio | 84.73% | 72.36% |
| Smart Sharpe | 1.01 | 0.47 |
| Sortino | 1.51 | 1.0 |
| Smart Sortino | 1.47 | 0.82 |
| Sortino/√2 | 1.07 | 0.71 |
| Smart Sortino/√2 | 1.04 | 0.58 |
| Omega | 1.25 | 1.84 |
| 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 | 28 |
| Volatility (ann.) | 12.99% | 1.83% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.03 | 7.42 |
| Skew | -0.15 | 2.84 |
| Kurtosis | 1.05 | 24.69 |
| Ulcer Performance Index | 8.3 | 33.1 |
| Risk-Adjusted Return | 18.02% | 9.29% |
| Risk-Return Ratio | 0.08 | 0.17 |
| Avg. Return | 0.03% | 0.04% |
| Avg. Win | 0.73% | 0.14% |
| Avg. Loss | -0.91% | -0.12% |
| Win/Loss Ratio | 0.8 | 1.14 |
| Profit Ratio | 0.94 | 0.12 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.27% | 0.38% |
| Expected Yearly | 8.57% | 2.5% |
| Kelly Criterion | -4.08% | 29.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.17% |
| Expected Shortfall (cVaR) | -1.72% | -0.2% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.25 | 0.84 |
| Gain/Pain (1M) | 2.6 | - |
| Payoff Ratio | 0.8 | 1.14 |
| Profit Factor | 1.25 | 1.84 |
| Common Sense Ratio | 1.24 | 1.89 |
| CPC Index | 0.54 | 1.31 |
| Tail Ratio | 0.99 | 1.03 |
| Outlier Win Ratio | 2.88 | 5.62 |
| Outlier Loss Ratio | 3.19 | 1.52 |
| MTD | 1.08% | 0.52% |
| 3M | 3.82% | 2.01% |
| 6M | 19.85% | 2.46% |
| YTD | 14.3% | 3.09% |
| 1Y | 17.87% | 5.07% |
| 3Y (ann.) | 18.02% | 5.11% |
| 5Y (ann.) | 18.02% | 5.11% |
| 10Y (ann.) | 18.02% | 5.11% |
| All-time (ann.) | 18.02% | 5.11% |
| Best Day | 2.91% | 1.04% |
| Worst Day | -2.7% | -0.35% |
| Best Month | 10.51% | 0.78% |
| Worst Month | -4.94% | -0.0% |
| Best Year | 14.3% | 3.09% |
| Worst Year | 3.13% | 1.92% |
| Avg. Drawdown | -1.71% | -0.22% |
| Avg. Drawdown Days | 13 | 9 |
| Recovery Factor | 1.94 | 7.21 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.16 | 8.96 |
| Avg. Up Month | 1.51% | 0.41% |
| Avg. Down Month | - | - |
| Win Days | 53.6% | 62.5% |
| Win Month | 76.92% | 92.31% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.04 |
| Correlation | - | 32.68% |
| Treynor Ratio | - | 110.2% |
| Year | SPY | MERVX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.92 | 0.61 | - |
| 2026 | 14.30 | 3.09 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-28 | 2026-09-18 | -0.69 | 22 |
| 2026-03-03 | 2026-03-30 | -0.44 | 28 |
| 2026-01-26 | 2026-02-06 | -0.35 | 12 |
| 2026-06-05 | 2026-06-10 | -0.35 | 6 |
| 2026-06-30 | 2026-07-13 | -0.35 | 14 |
| 2026-07-17 | 2026-07-30 | -0.35 | 14 |
| 2026-02-12 | 2026-02-27 | -0.26 | 16 |
| 2026-04-27 | 2026-05-19 | -0.26 | 23 |
| 2026-06-12 | 2026-06-18 | -0.26 | 7 |
| 2025-11-13 | 2025-11-26 | -0.25 | 14 |