| Metric | SPY | MGINX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 17.64% | 10.37% |
| CAGR﹪ | 17.95% | 10.54% |
| Sharpe | 1.03 | 0.79 |
| Prob. Sharpe Ratio | 84.44% | 78.26% |
| Smart Sharpe | 1.01 | 0.78 |
| Sortino | 1.49 | 1.14 |
| Smart Sortino | 1.46 | 1.12 |
| Sortino/√2 | 1.06 | 0.8 |
| Smart Sortino/√2 | 1.03 | 0.79 |
| Omega | 1.25 | 1.23 |
| Max Drawdown | -9.06% | -7.41% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-14 | 2026-08-24 |
| Longest DD Days | 77 | 176 |
| Volatility (ann.) | 13.03% | 8.06% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.98 | 1.42 |
| Skew | -0.15 | -0.2 |
| Kurtosis | 1.03 | 1.05 |
| Ulcer Performance Index | 7.96 | 4.38 |
| Risk-Adjusted Return | 17.95% | 11.22% |
| Risk-Return Ratio | 0.08 | 0.08 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.74% | 0.46% |
| Avg. Loss | -0.71% | -0.47% |
| Win/Loss Ratio | 1.04 | 0.99 |
| Profit Ratio | 0.93 | 0.64 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.26% | 0.76% |
| Expected Yearly | 8.46% | 5.06% |
| Kelly Criterion | 9.12% | 9.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.79% |
| Expected Shortfall (cVaR) | -1.72% | -1.13% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.25 | 0.23 |
| Gain/Pain (1M) | 2.4 | 1.37 |
| Payoff Ratio | 1.04 | 0.99 |
| Profit Factor | 1.25 | 1.23 |
| Common Sense Ratio | 1.24 | 1.37 |
| CPC Index | 0.7 | 0.67 |
| Tail Ratio | 0.99 | 1.11 |
| Outlier Win Ratio | 2.87 | 3.52 |
| Outlier Loss Ratio | 3.19 | 3.23 |
| MTD | 1.08% | -0.34% |
| 3M | 3.82% | 1.43% |
| 6M | 19.85% | 5.68% |
| YTD | 14.07% | 6.72% |
| 1Y | 17.64% | 10.37% |
| 3Y (ann.) | 17.95% | 10.54% |
| 5Y (ann.) | 17.95% | 10.54% |
| 10Y (ann.) | 17.95% | 10.54% |
| All-time (ann.) | 17.95% | 10.54% |
| Best Day | 2.91% | 1.63% |
| Worst Day | -2.7% | -1.75% |
| Best Month | 10.51% | 4.59% |
| Worst Month | -4.94% | -5.66% |
| Best Year | 14.07% | 6.72% |
| Worst Year | 3.13% | 3.41% |
| Avg. Drawdown | -1.71% | -1.31% |
| Avg. Drawdown Days | 14 | 21 |
| Recovery Factor | 1.88 | 1.37 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.07 | 0.37 |
| Avg. Up Month | 2.6% | 1.59% |
| Avg. Down Month | -2.98% | -3.52% |
| Win Days | 53.63% | 54.98% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.48 |
| Alpha | - | 0.02 |
| Correlation | - | 78.18% |
| Treynor Ratio | - | 21.43% |
| Year | SPY | MGINX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 3.41 | 1.09 | + |
| 2026 | 14.07 | 6.72 | 0.48 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-08-24 | -7.41 | 176 |
| 2025-10-21 | 2025-12-09 | -2.64 | 50 |
| 2026-08-26 | 2026-09-22 | -2.42 | 28 |
| 2025-10-09 | 2025-10-13 | -0.89 | 5 |
| 2025-12-12 | 2025-12-19 | -0.88 | 8 |
| 2026-02-04 | 2026-02-05 | -0.86 | 2 |
| 2025-12-29 | 2026-01-02 | -0.79 | 5 |
| 2026-01-13 | 2026-01-21 | -0.69 | 9 |
| 2025-09-24 | 2025-09-26 | -0.63 | 3 |
| 2026-02-12 | 2026-02-17 | -0.42 | 6 |