| Metric | SPY | MGINX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 14.16% | 8.2% |
| CAGR﹪ | 14.41% | 8.33% |
| Sharpe | 0.82 | 0.56 |
| Prob. Sharpe Ratio | 79.26% | 71.11% |
| Smart Sharpe | 0.81 | 0.56 |
| Sortino | 1.2 | 0.81 |
| Smart Sortino | 1.19 | 0.8 |
| Sortino/√2 | 0.85 | 0.57 |
| Smart Sortino/√2 | 0.84 | 0.57 |
| Omega | 1.2 | 1.18 |
| 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 | 2026-11-04 |
| Longest DD Days | 77 | 248 |
| Volatility (ann.) | 12.9% | 8.34% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.59 | 1.12 |
| Skew | -0.02 | -0.06 |
| Kurtosis | 0.76 | 1.21 |
| Ulcer Performance Index | 6.39 | 3.09 |
| Risk-Adjusted Return | 14.41% | 8.86% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.74% | 0.47% |
| Avg. Loss | -0.71% | -0.48% |
| Win/Loss Ratio | 1.04 | 0.96 |
| Profit Ratio | 1.02 | 0.62 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.02% | 0.61% |
| Expected Yearly | 6.85% | 4.02% |
| Kelly Criterion | 5.78% | 8.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.83% |
| Expected Shortfall (cVaR) | -1.66% | -1.11% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.2 | 0.18 |
| Gain/Pain (1M) | 1.7 | 0.83 |
| Payoff Ratio | 1.04 | 0.96 |
| Profit Factor | 1.2 | 1.18 |
| Common Sense Ratio | 1.19 | 1.1 |
| CPC Index | 0.65 | 0.62 |
| Tail Ratio | 0.99 | 0.93 |
| Outlier Win Ratio | 2.84 | 4.05 |
| Outlier Loss Ratio | 3.0 | 3.1 |
| MTD | 1.47% | 1.91% |
| 3M | 1.46% | 0.19% |
| 6M | 6.94% | 0.87% |
| YTD | 13.1% | 6.04% |
| 1Y | 14.16% | 8.2% |
| 3Y (ann.) | 14.41% | 8.33% |
| 5Y (ann.) | 14.41% | 8.33% |
| 10Y (ann.) | 14.41% | 8.33% |
| All-time (ann.) | 14.41% | 8.33% |
| Best Day | 2.91% | 1.83% |
| Worst Day | -2.58% | -1.75% |
| Best Month | 10.51% | 4.59% |
| Worst Month | -4.94% | -5.66% |
| Best Year | 13.1% | 6.04% |
| Worst Year | 0.94% | 2.03% |
| Avg. Drawdown | -1.75% | -1.21% |
| Avg. Drawdown Days | 14 | 25 |
| Recovery Factor | 1.55 | 1.11 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.88 | 0.27 |
| Avg. Up Month | 2.83% | 1.86% |
| Avg. Down Month | -1.8% | -2.47% |
| Win Days | 52.02% | 54.98% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.52 |
| Alpha | - | 0.01 |
| Correlation | - | 80.05% |
| Treynor Ratio | - | 15.85% |
| Year | SPY | MGINX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 2.03 | 2.16 | + |
| 2026 | 13.10 | 6.04 | 0.46 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-11-04 | -7.41 | 248 |
| 2025-11-13 | 2025-11-25 | -2.38 | 13 |
| 2025-12-12 | 2025-12-19 | -0.88 | 8 |
| 2026-02-04 | 2026-02-06 | -0.86 | 3 |
| 2025-12-29 | 2026-01-02 | -0.79 | 5 |
| 2026-01-13 | 2026-01-21 | -0.69 | 9 |
| 2025-12-01 | 2025-12-09 | -0.44 | 9 |
| 2026-02-12 | 2026-02-12 | -0.42 | 1 |
| 2025-11-06 | 2025-11-06 | -0.18 | 1 |
| 2026-01-07 | 2026-01-08 | -0.17 | 2 |