| Metric | SPY | MGINX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 86.21% | 29.37% |
| CAGR﹪ | 13.34% | 5.32% |
| Sharpe | 0.59 | 0.23 |
| Prob. Sharpe Ratio | 90.78% | 69.93% |
| Smart Sharpe | 0.58 | 0.23 |
| Sortino | 0.86 | 0.33 |
| Smart Sortino | 0.83 | 0.33 |
| Sortino/√2 | 0.6 | 0.24 |
| Smart Sortino/√2 | 0.59 | 0.23 |
| Omega | 1.16 | 1.14 |
| Max Drawdown | -24.5% | -12.07% |
| Max DD Date | 2022-10-12 | 2022-10-12 |
| Max DD Period Start | 2022-01-04 | 2022-01-18 |
| Max DD Period End | 2023-12-12 | 2023-12-18 |
| Longest DD Days | 708 | 700 |
| Volatility (ann.) | 17.21% | 6.98% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.54 | 0.44 |
| Skew | 0.32 | 0.05 |
| Kurtosis | 8.93 | 3.63 |
| Ulcer Performance Index | 10.18 | 7.96 |
| Risk-Adjusted Return | 13.34% | 5.91% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.9% | 0.4% |
| Avg. Loss | -0.94% | -0.41% |
| Win/Loss Ratio | 0.96 | 0.95 |
| Profit Ratio | 0.83 | 0.57 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.02% | 0.42% |
| Expected Yearly | 10.92% | 4.38% |
| Kelly Criterion | 6.25% | 5.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.7% |
| Expected Shortfall (cVaR) | -2.58% | -0.98% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.14 |
| Gain/Pain (1M) | 0.86 | 0.66 |
| Payoff Ratio | 0.96 | 0.95 |
| Profit Factor | 1.16 | 1.14 |
| Common Sense Ratio | 1.17 | 1.13 |
| CPC Index | 0.6 | 0.59 |
| Tail Ratio | 1.01 | 0.99 |
| Outlier Win Ratio | 3.41 | 3.65 |
| Outlier Loss Ratio | 3.77 | 3.09 |
| MTD | 1.08% | -0.34% |
| 3M | 3.82% | 1.43% |
| 6M | 19.85% | 5.68% |
| YTD | 14.07% | 6.72% |
| 1Y | 17.55% | 10.5% |
| 3Y (ann.) | 24.85% | 11.01% |
| 5Y (ann.) | 13.03% | 5.47% |
| 10Y (ann.) | 13.34% | 5.32% |
| All-time (ann.) | 13.34% | 5.32% |
| Best Day | 10.5% | 3.12% |
| Worst Day | -5.85% | -2.33% |
| Best Month | 10.51% | 4.59% |
| Worst Month | -9.24% | -5.66% |
| Best Year | 26.18% | 14.72% |
| Worst Year | -18.18% | -6.86% |
| Avg. Drawdown | -1.89% | -1.11% |
| Avg. Drawdown Days | 20 | 28 |
| Recovery Factor | 2.84 | 2.23 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.47 | 0.37 |
| Avg. Up Month | 4.04% | 1.83% |
| Avg. Down Month | -4.12% | -2.0% |
| Win Days | 54.04% | 53.83% |
| Win Month | 63.93% | 60.66% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.32 |
| Alpha | - | 0.01 |
| Correlation | - | 78.21% |
| Treynor Ratio | - | 92.63% |
| Year | SPY | MGINX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.35 | 0.05 | - |
| 2022 | -18.18 | -6.86 | 0.38 | + |
| 2023 | 26.18 | 9.16 | 0.35 | - |
| 2024 | 24.89 | 3.56 | 0.14 | - |
| 2025 | 17.72 | 14.72 | 0.83 | - |
| 2026 | 14.07 | 6.72 | 0.48 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-18 | 2023-12-18 | -12.07 | 700 |
| 2026-03-02 | 2026-08-24 | -7.41 | 176 |
| 2024-09-30 | 2025-05-01 | -5.55 | 214 |
| 2021-11-15 | 2022-01-03 | -2.92 | 50 |
| 2024-07-17 | 2024-08-16 | -2.79 | 31 |
| 2025-10-21 | 2025-12-09 | -2.64 | 50 |
| 2026-08-26 | 2026-09-22 | -2.42 | 28 |
| 2024-04-01 | 2024-05-08 | -2.36 | 38 |
| 2024-01-30 | 2024-03-06 | -1.90 | 37 |
| 2024-05-21 | 2024-06-05 | -1.75 | 16 |