| Metric | SPY | MERVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 67.0% |
| Cumulative Return | 74.99% | 21.66% |
| CAGR﹪ | 11.91% | 4.02% |
| Sharpe | 0.52 | 0.04 |
| Prob. Sharpe Ratio | 87.6% | 53.78% |
| Smart Sharpe | 0.5 | 0.04 |
| Sortino | 0.74 | 0.06 |
| Smart Sortino | 0.72 | 0.05 |
| Sortino/√2 | 0.53 | 0.04 |
| Smart Sortino/√2 | 0.51 | 0.04 |
| Omega | 1.14 | 1.36 |
| Max Drawdown | -24.5% | -3.47% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| Max DD Period Start | 2022-01-04 | 2022-04-06 |
| Max DD Period End | 2023-12-12 | 2022-08-09 |
| Longest DD Days | 708 | 126 |
| Volatility (ann.) | 17.19% | 3.0% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 1.16 |
| Skew | 0.33 | 0.02 |
| Kurtosis | 8.98 | 62.25 |
| Ulcer Performance Index | 8.86 | 28.41 |
| Risk-Adjusted Return | 11.91% | 6.0% |
| Risk-Return Ratio | 0.05 | 0.08 |
| Avg. Return | 0.04% | 0.02% |
| Avg. Win | 0.92% | 0.16% |
| Avg. Loss | -1.11% | -0.17% |
| Win/Loss Ratio | 0.82 | 0.92 |
| Profit Ratio | 0.86 | 0.19 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.32% |
| Expected Yearly | 9.77% | 3.32% |
| Kelly Criterion | -3.1% | 13.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.3% |
| Expected Shortfall (cVaR) | -2.58% | -0.59% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.36 |
| Gain/Pain (1M) | 0.79 | 2.99 |
| Payoff Ratio | 0.82 | 0.92 |
| Profit Factor | 1.14 | 1.36 |
| Common Sense Ratio | 1.15 | 1.96 |
| CPC Index | 0.5 | 0.73 |
| Tail Ratio | 1.0 | 1.45 |
| Outlier Win Ratio | 3.4 | 5.24 |
| Outlier Loss Ratio | 3.8 | 3.24 |
| MTD | 1.47% | -0.17% |
| 3M | 1.46% | 1.04% |
| 6M | 6.94% | 1.93% |
| YTD | 13.33% | 2.83% |
| 1Y | 13.43% | 3.67% |
| 3Y (ann.) | 20.78% | 5.39% |
| 5Y (ann.) | 12.86% | 4.1% |
| 10Y (ann.) | 11.91% | 4.02% |
| All-time (ann.) | 11.91% | 4.02% |
| Best Day | 10.5% | 2.72% |
| Worst Day | -5.85% | -2.53% |
| Best Month | 10.51% | 1.8% |
| Worst Month | -9.24% | -2.13% |
| Best Year | 26.18% | 8.63% |
| Worst Year | -18.18% | 0.1% |
| Avg. Drawdown | -1.94% | -0.42% |
| Avg. Drawdown Days | 21 | 16 |
| Recovery Factor | 2.58 | 5.72 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.43 | 2.38 |
| Avg. Up Month | 3.85% | 0.56% |
| Avg. Down Month | -5.87% | -0.5% |
| Win Days | 53.48% | 58.87% |
| Win Month | 62.3% | 78.33% |
| Win Quarter | 71.43% | 85.71% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.03 |
| Correlation | - | 30.72% |
| Treynor Ratio | - | 403.88% |
| Year | SPY | MERVX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.10 | 0.06 | - |
| 2022 | -18.18 | 0.88 | -0.05 | + |
| 2023 | 26.18 | 4.34 | 0.17 | - |
| 2024 | 24.89 | 3.36 | 0.14 | - |
| 2025 | 17.72 | 8.63 | 0.49 | - |
| 2026 | 13.33 | 2.83 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-04-06 | 2022-08-09 | -3.47 | 126 |
| 2024-12-06 | 2025-02-10 | -2.79 | 67 |
| 2023-04-21 | 2023-08-24 | -2.46 | 126 |
| 2023-02-27 | 2023-04-18 | -1.78 | 51 |
| 2024-10-22 | 2024-12-04 | -1.30 | 44 |
| 2024-04-04 | 2024-06-27 | -1.25 | 85 |
| 2024-08-19 | 2024-09-19 | -1.22 | 32 |
| 2022-11-02 | 2022-12-30 | -1.18 | 59 |
| 2025-02-14 | 2025-03-28 | -1.13 | 43 |
| 2022-08-18 | 2022-10-27 | -1.01 | 71 |