| Metric | SPY | MGINX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 204.37% | 50.1% |
| CAGR﹪ | 16.24% | 5.64% |
| Sharpe | 0.72 | 0.38 |
| Prob. Sharpe Ratio | 97.43% | 84.92% |
| Smart Sharpe | 0.62 | 0.35 |
| Sortino | 1.02 | 0.52 |
| Smart Sortino | 0.88 | 0.47 |
| Sortino/√2 | 0.72 | 0.37 |
| Smart Sortino/√2 | 0.62 | 0.34 |
| Omega | 1.18 | 1.15 |
| Max Drawdown | -33.72% | -15.12% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-13 |
| Max DD Period End | 2020-08-07 | 2020-12-07 |
| Longest DD Days | 708 | 837 |
| Volatility (ann.) | 19.46% | 7.56% |
| R^2 | 0.7 | 0.7 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.37 |
| Skew | -0.29 | -0.91 |
| Kurtosis | 13.93 | 11.53 |
| Ulcer Performance Index | 25.81 | 13.32 |
| Risk-Adjusted Return | 16.24% | 6.27% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.94% | 0.39% |
| Avg. Loss | -1.01% | -0.43% |
| Win/Loss Ratio | 0.93 | 0.92 |
| Profit Ratio | 0.78 | 0.52 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.24% | 0.45% |
| Expected Yearly | 14.93% | 5.21% |
| Kelly Criterion | 6.88% | 5.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.76% |
| Expected Shortfall (cVaR) | -3.2% | -1.2% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.15 |
| Gain/Pain (1M) | 1.15 | 0.73 |
| Payoff Ratio | 0.93 | 0.92 |
| Profit Factor | 1.18 | 1.15 |
| Common Sense Ratio | 1.13 | 1.17 |
| CPC Index | 0.61 | 0.58 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.69 | 3.87 |
| Outlier Loss Ratio | 4.11 | 3.29 |
| 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.) | 16.24% | 5.64% |
| All-time (ann.) | 16.24% | 5.64% |
| Best Day | 10.5% | 3.13% |
| Worst Day | -10.94% | -4.44% |
| Best Month | 12.7% | 5.35% |
| Worst Month | -12.49% | -7.01% |
| Best Year | 28.73% | 14.72% |
| Worst Year | -18.18% | -6.86% |
| Avg. Drawdown | -1.8% | -1.05% |
| Avg. Drawdown Days | 16 | 27 |
| Recovery Factor | 3.72 | 2.83 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 1.03 | 0.59 |
| Avg. Up Month | 4.1% | 1.77% |
| Avg. Down Month | -4.14% | -2.15% |
| Win Days | 55.16% | 54.81% |
| Win Month | 65.56% | 65.56% |
| Win Quarter | 77.42% | 77.42% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.33 |
| Alpha | - | 0.0 |
| Correlation | - | 83.94% |
| Treynor Ratio | - | 153.63% |
| Year | SPY | MGINX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 7.73 | 0.47 | - |
| 2020 | 18.33 | 2.27 | 0.12 | - |
| 2021 | 28.73 | 6.36 | 0.22 | - |
| 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 |
|---|---|---|---|
| 2020-02-13 | 2020-12-07 | -15.12 | 299 |
| 2021-09-03 | 2023-12-18 | -12.15 | 837 |
| 2026-03-02 | 2026-11-04 | -7.41 | 248 |
| 2024-09-30 | 2025-05-01 | -5.55 | 214 |
| 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 |
| 2021-01-22 | 2021-02-04 | -2.04 | 14 |
| 2024-01-30 | 2024-03-06 | -1.90 | 37 |
| 2019-07-30 | 2019-09-03 | -1.84 | 36 |