| Metric | SPY | MGINX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 74.64% | 27.93% |
| CAGR﹪ | 11.89% | 5.09% |
| Sharpe | 0.51 | 0.19 |
| Prob. Sharpe Ratio | 87.51% | 66.51% |
| Smart Sharpe | 0.5 | 0.19 |
| Sortino | 0.74 | 0.27 |
| Smart Sortino | 0.72 | 0.27 |
| Sortino/√2 | 0.52 | 0.19 |
| Smart Sortino/√2 | 0.51 | 0.19 |
| Omega | 1.14 | 1.13 |
| 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.) | 17.2% | 7.07% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.42 |
| Skew | 0.33 | 0.09 |
| Kurtosis | 8.97 | 3.56 |
| Ulcer Performance Index | 8.81 | 7.49 |
| Risk-Adjusted Return | 11.89% | 5.59% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.9% | 0.4% |
| Avg. Loss | -0.93% | -0.42% |
| Win/Loss Ratio | 0.97 | 0.96 |
| Profit Ratio | 0.86 | 0.58 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.4% |
| Expected Yearly | 9.74% | 4.19% |
| Kelly Criterion | 5.32% | 5.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.71% |
| Expected Shortfall (cVaR) | -2.58% | -0.97% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.13 |
| Gain/Pain (1M) | 0.78 | 0.6 |
| Payoff Ratio | 0.97 | 0.96 |
| Profit Factor | 1.14 | 1.13 |
| Common Sense Ratio | 1.15 | 1.11 |
| CPC Index | 0.59 | 0.58 |
| Tail Ratio | 1.01 | 0.98 |
| Outlier Win Ratio | 3.4 | 3.64 |
| Outlier Loss Ratio | 3.79 | 3.05 |
| MTD | 1.47% | 1.91% |
| 3M | 1.46% | 0.19% |
| 6M | 6.94% | 0.87% |
| YTD | 13.1% | 6.04% |
| 1Y | 13.2% | 7.81% |
| 3Y (ann.) | 20.76% | 9.02% |
| 5Y (ann.) | 12.83% | 5.72% |
| 10Y (ann.) | 11.89% | 5.09% |
| All-time (ann.) | 11.89% | 5.09% |
| Best Day | 10.5% | 3.13% |
| 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 | -1.94% | -1.11% |
| Avg. Drawdown Days | 21 | 30 |
| Recovery Factor | 2.58 | 2.14 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.43 | 0.36 |
| Avg. Up Month | 3.88% | 1.86% |
| Avg. Down Month | -3.91% | -2.02% |
| Win Days | 53.48% | 53.72% |
| Win Month | 62.3% | 60.66% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.32 |
| Alpha | - | 0.01 |
| Correlation | - | 77.98% |
| Treynor Ratio | - | 87.12% |
| Year | SPY | MGINX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.13 | -0.07 | - |
| 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 | 13.10 | 6.04 | 0.46 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-18 | 2023-12-18 | -12.07 | 700 |
| 2026-03-02 | 2026-11-04 | -7.41 | 248 |
| 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 |
| 2024-04-01 | 2024-05-08 | -2.36 | 38 |
| 2024-01-30 | 2024-03-06 | -1.90 | 37 |
| 2024-05-21 | 2024-07-03 | -1.75 | 44 |
| 2025-07-24 | 2025-08-12 | -1.29 | 20 |