| Metric | SPY | MERVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 68.0% |
| Cumulative Return | 194.39% | 35.95% |
| CAGR﹪ | 15.75% | 4.25% |
| Sharpe | 0.7 | 0.33 |
| Prob. Sharpe Ratio | 97.05% | 81.02% |
| Smart Sharpe | 0.61 | 0.29 |
| Sortino | 0.99 | 0.44 |
| Smart Sortino | 0.85 | 0.38 |
| Sortino/√2 | 0.7 | 0.31 |
| Smart Sortino/√2 | 0.6 | 0.27 |
| Omega | 1.18 | 1.32 |
| Max Drawdown | -33.72% | -9.74% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2020-02-24 |
| Max DD Period End | 2020-08-11 | 2020-07-15 |
| Longest DD Days | 708 | 963 |
| Volatility (ann.) | 19.46% | 4.08% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.47 | 0.44 |
| Skew | -0.28 | -2.98 |
| Kurtosis | 13.95 | 80.19 |
| Ulcer Performance Index | 24.51 | 16.93 |
| Risk-Adjusted Return | 15.75% | 6.25% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.96% | 0.18% |
| Avg. Loss | -1.24% | -0.22% |
| Win/Loss Ratio | 0.78 | 0.82 |
| Profit Ratio | 0.78 | 0.19 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.21% | 0.34% |
| Expected Yearly | 14.45% | 3.91% |
| Kelly Criterion | -2.72% | 10.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.41% |
| Expected Shortfall (cVaR) | -3.2% | -0.91% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.32 |
| Gain/Pain (1M) | 1.11 | 2.3 |
| Payoff Ratio | 0.78 | 0.82 |
| Profit Factor | 1.18 | 1.32 |
| Common Sense Ratio | 1.13 | 1.43 |
| CPC Index | 0.5 | 0.64 |
| Tail Ratio | 0.96 | 1.09 |
| Outlier Win Ratio | 3.7 | 6.22 |
| Outlier Loss Ratio | 4.12 | 3.6 |
| 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.) | 15.75% | 4.25% |
| All-time (ann.) | 15.75% | 4.25% |
| Best Day | 10.5% | 2.72% |
| Worst Day | -10.94% | -4.52% |
| Best Month | 12.03% | 2.47% |
| Worst Month | -12.49% | -2.72% |
| Best Year | 28.73% | 8.63% |
| Worst Year | -18.18% | 0.88% |
| Avg. Drawdown | -1.81% | -0.43% |
| Avg. Drawdown Days | 16 | 19 |
| Recovery Factor | 3.62 | 3.22 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.0 | 0.79 |
| Avg. Up Month | 4.02% | 0.67% |
| Avg. Down Month | -6.88% | -0.76% |
| Win Days | 55.06% | 59.48% |
| Win Month | 65.56% | 78.65% |
| Win Quarter | 77.42% | 83.87% |
| Win Year | 87.5% | 100.0% |
| Beta | - | 0.1 |
| Alpha | - | 0.03 |
| Correlation | - | 45.67% |
| Treynor Ratio | - | 375.03% |
| Year | SPY | MERVX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 14.71 | 3.70 | 0.25 | - |
| 2020 | 15.90 | 6.71 | 0.42 | - |
| 2021 | 28.73 | 1.08 | 0.04 | - |
| 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 |
|---|---|---|---|
| 2020-02-24 | 2020-07-15 | -9.74 | 143 |
| 2021-02-22 | 2023-10-12 | -6.53 | 963 |
| 2024-12-06 | 2025-02-10 | -2.79 | 67 |
| 2021-01-26 | 2021-02-02 | -1.36 | 8 |
| 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 |
| 2025-02-14 | 2025-03-28 | -1.13 | 43 |
| 2020-12-29 | 2021-01-11 | -0.97 | 14 |
| 2023-10-17 | 2023-11-20 | -0.75 | 35 |