| Metric | SPY | MERVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 60.0% |
| Cumulative Return | 6.48% | 1.93% |
| CAGR﹪ | 13.27% | 3.86% |
| Sharpe | 0.78 | 0.11 |
| Prob. Sharpe Ratio | 70.87% | 53.21% |
| Smart Sharpe | 0.75 | 0.09 |
| Sortino | 1.14 | 0.2 |
| Smart Sortino | 1.09 | 0.17 |
| Sortino/√2 | 0.8 | 0.14 |
| Smart Sortino/√2 | 0.77 | 0.12 |
| Omega | 1.19 | 1.45 |
| Max Drawdown | -4.49% | -0.69% |
| Max DD Date | 2026-06-10 | 2026-09-18 |
| Max DD Period Start | 2026-06-03 | 2026-08-28 |
| Max DD Period End | 2026-07-31 | 2026-09-18 |
| Longest DD Days | 59 | 22 |
| Volatility (ann.) | 12.4% | 2.25% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.95 | 5.61 |
| Skew | -0.15 | 2.94 |
| Kurtosis | 0.59 | 21.14 |
| Ulcer Performance Index | 3.89 | 9.97 |
| Risk-Adjusted Return | 13.27% | 6.44% |
| Risk-Return Ratio | 0.07 | 0.11 |
| Avg. Return | -0.07% | 0.03% |
| Avg. Win | 0.62% | 0.17% |
| Avg. Loss | -0.73% | -0.12% |
| Win/Loss Ratio | 0.85 | 1.46 |
| Profit Ratio | 1.15 | 0.19 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 0.9% | 0.27% |
| Expected Yearly | 6.48% | 1.93% |
| Kelly Criterion | -7.92% | 24.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.22% |
| Expected Shortfall (cVaR) | -1.63% | -0.29% |
| Max Consecutive Wins | 4 | 4 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.19 | 0.45 |
| Gain/Pain (1M) | 3.26 | 11.2 |
| Payoff Ratio | 0.85 | 1.46 |
| Profit Factor | 1.19 | 1.45 |
| Common Sense Ratio | 1.47 | 1.45 |
| CPC Index | 0.51 | 1.17 |
| Tail Ratio | 1.23 | 1.0 |
| Outlier Win Ratio | 2.66 | 4.94 |
| Outlier Loss Ratio | 3.07 | 2.08 |
| MTD | 1.47% | -0.17% |
| 3M | 1.46% | 1.04% |
| 6M | 6.48% | 1.93% |
| YTD | 6.48% | 1.93% |
| 1Y | 6.48% | 1.93% |
| 3Y (ann.) | 13.27% | 3.86% |
| 5Y (ann.) | 13.27% | 3.86% |
| 10Y (ann.) | 13.27% | 3.86% |
| All-time (ann.) | 13.27% | 3.86% |
| Best Day | 1.8% | 1.04% |
| Worst Day | -2.58% | -0.35% |
| Best Month | 4.52% | 0.78% |
| Worst Month | -1.03% | -0.17% |
| Best Year | 6.48% | 1.93% |
| Worst Year | 6.48% | 1.93% |
| Avg. Drawdown | -1.57% | -0.27% |
| Avg. Drawdown Days | 17 | 8 |
| Recovery Factor | 1.48 | 2.79 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.91 | 2.8 |
| Avg. Up Month | 2.41% | 0.38% |
| Avg. Down Month | - | - |
| Win Days | 50.39% | 55.26% |
| Win Month | 57.14% | 85.71% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.03 |
| Correlation | - | 30.98% |
| Treynor Ratio | - | 34.28% |
| Year | SPY | MERVX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 1.93 | 0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-28 | 2026-09-18 | -0.69 | 22 |
| 2026-10-23 | 2026-11-04 | -0.43 | 13 |
| 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 |
| 2026-06-12 | 2026-06-18 | -0.26 | 7 |
| 2026-05-21 | 2026-06-03 | -0.17 | 14 |
| 2026-09-23 | 2026-10-01 | -0.17 | 9 |
| 2026-05-15 | 2026-05-15 | -0.09 | 1 |