| Metric | SPY | MERVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 57.0% |
| Cumulative Return | 18.6% | 2.37% |
| CAGR﹪ | 40.67% | 4.8% |
| Sharpe | 2.32 | 0.5 |
| Prob. Sharpe Ratio | 95.04% | 64.56% |
| Smart Sharpe | 2.3 | 0.41 |
| Sortino | 3.78 | 0.94 |
| Smart Sortino | 3.75 | 0.76 |
| Sortino/√2 | 2.67 | 0.66 |
| Smart Sortino/√2 | 2.65 | 0.54 |
| Omega | 1.54 | 1.64 |
| 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.) | 13.55% | 2.19% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.15 | -0.15 |
| Calmar | 9.05 | 6.97 |
| Skew | 0.1 | 3.2 |
| Kurtosis | 1.12 | 23.5 |
| Ulcer Performance Index | 11.86 | 12.99 |
| Risk-Adjusted Return | 40.67% | 8.42% |
| Risk-Return Ratio | 0.16 | 0.14 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.88% | 0.17% |
| Avg. Loss | -0.77% | -0.12% |
| Win/Loss Ratio | 1.14 | 1.41 |
| Profit Ratio | 1.12 | 0.16 |
| Expected Daily | 0.14% | 0.02% |
| Expected Monthly | 2.47% | 0.34% |
| Expected Yearly | 18.6% | 2.37% |
| Kelly Criterion | 13.5% | 27.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.21% |
| Expected Shortfall (cVaR) | -1.77% | -0.31% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.54 | 0.64 |
| Gain/Pain (1M) | 10.92 | - |
| Payoff Ratio | 1.14 | 1.41 |
| Profit Factor | 1.54 | 1.64 |
| Common Sense Ratio | 2.01 | 1.65 |
| CPC Index | 0.95 | 1.34 |
| Tail Ratio | 1.3 | 1.0 |
| Outlier Win Ratio | 3.21 | 5.25 |
| Outlier Loss Ratio | 3.16 | 1.96 |
| MTD | 1.08% | 0.52% |
| 3M | 3.82% | 2.01% |
| 6M | 18.6% | 2.37% |
| YTD | 18.6% | 2.37% |
| 1Y | 18.6% | 2.37% |
| 3Y (ann.) | 40.67% | 4.8% |
| 5Y (ann.) | 40.67% | 4.8% |
| 10Y (ann.) | 40.67% | 4.8% |
| All-time (ann.) | 40.67% | 4.8% |
| Best Day | 2.91% | 1.04% |
| Worst Day | -2.58% | -0.35% |
| Best Month | 10.51% | 0.78% |
| Worst Month | -1.03% | -0.0% |
| Best Year | 18.6% | 2.37% |
| Worst Year | 18.6% | 2.37% |
| Avg. Drawdown | -1.13% | -0.25% |
| Avg. Drawdown Days | 9 | 9 |
| Recovery Factor | 3.9 | 3.42 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.75 | 4.05 |
| Avg. Up Month | 2.26% | 0.43% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 57.75% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.03 |
| Correlation | - | 32.37% |
| Treynor Ratio | - | 45.25% |
| Year | SPY | MERVX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 2.37 | 0.13 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-28 | 2026-09-18 | -0.69 | 22 |
| 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 |
| 2026-04-27 | 2026-05-18 | -0.26 | 22 |
| 2026-06-12 | 2026-06-18 | -0.26 | 7 |
| 2026-03-24 | 2026-03-30 | -0.18 | 7 |
| 2026-05-21 | 2026-06-03 | -0.17 | 14 |
| 2026-04-09 | 2026-04-10 | -0.09 | 2 |
| 2026-04-23 | 2026-04-23 | -0.09 | 1 |