| Metric | SPY | MERVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 67.0% |
| Cumulative Return | 86.58% | 22.17% |
| CAGR﹪ | 13.36% | 4.11% |
| Sharpe | 0.59 | 0.09 |
| Prob. Sharpe Ratio | 90.85% | 58.13% |
| Smart Sharpe | 0.58 | 0.08 |
| Sortino | 0.86 | 0.13 |
| Smart Sortino | 0.83 | 0.11 |
| Sortino/√2 | 0.61 | 0.09 |
| Smart Sortino/√2 | 0.59 | 0.08 |
| Omega | 1.16 | 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.) | 17.2% | 3.01% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 1.18 |
| Skew | 0.32 | 0.02 |
| Kurtosis | 8.95 | 61.5 |
| Ulcer Performance Index | 10.24 | 28.97 |
| Risk-Adjusted Return | 13.36% | 6.13% |
| Risk-Return Ratio | 0.05 | 0.09 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.92% | 0.16% |
| Avg. Loss | -1.12% | -0.17% |
| Win/Loss Ratio | 0.82 | 0.91 |
| Profit Ratio | 0.83 | 0.19 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.33% |
| Expected Yearly | 10.95% | 3.39% |
| Kelly Criterion | -1.99% | 13.65% |
| 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 | 0.16 | 0.36 |
| Gain/Pain (1M) | 0.87 | 3.17 |
| Payoff Ratio | 0.82 | 0.91 |
| Profit Factor | 1.16 | 1.36 |
| Common Sense Ratio | 1.17 | 1.97 |
| CPC Index | 0.51 | 0.73 |
| Tail Ratio | 1.01 | 1.45 |
| Outlier Win Ratio | 3.41 | 5.2 |
| Outlier Loss Ratio | 3.77 | 3.23 |
| MTD | 1.08% | 0.52% |
| 3M | 3.82% | 2.01% |
| 6M | 19.85% | 2.46% |
| YTD | 14.3% | 3.09% |
| 1Y | 17.78% | 5.33% |
| 3Y (ann.) | 24.86% | 5.98% |
| 5Y (ann.) | 13.06% | 4.19% |
| 10Y (ann.) | 13.36% | 4.11% |
| All-time (ann.) | 13.36% | 4.11% |
| 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% | 0.26% |
| Avg. Drawdown | -1.89% | -0.43% |
| Avg. Drawdown Days | 20 | 16 |
| Recovery Factor | 2.85 | 5.84 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.47 | 2.43 |
| Avg. Up Month | 3.76% | 0.55% |
| Avg. Down Month | -5.55% | -0.49% |
| Win Days | 54.04% | 58.87% |
| Win Month | 63.93% | 78.33% |
| Win Quarter | 66.67% | 90.48% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.03 |
| Correlation | - | 30.59% |
| Treynor Ratio | - | 414.31% |
| Year | SPY | MERVX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.26 | 0.03 | - |
| 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 | 14.30 | 3.09 | 0.22 | - |
| 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 | 2023-08-22 | -2.46 | 124 |
| 2023-02-27 | 2023-04-18 | -1.78 | 51 |
| 2024-10-22 | 2024-12-04 | -1.30 | 44 |
| 2024-04-04 | 2024-06-28 | -1.25 | 86 |
| 2024-08-30 | 2024-09-19 | -1.22 | 21 |
| 2022-11-02 | 2022-12-30 | -1.18 | 59 |
| 2025-02-14 | 2025-03-25 | -1.13 | 40 |
| 2022-08-18 | 2022-10-27 | -1.01 | 71 |