| Metric | SPY | MRGR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 8.87% |
| CAGR﹪ | 18.02% | 8.95% |
| Sharpe | 1.04 | 1.09 |
| Prob. Sharpe Ratio | 84.73% | 86.48% |
| Smart Sharpe | 1.01 | 0.97 |
| Sortino | 1.51 | 1.74 |
| Smart Sortino | 1.47 | 1.56 |
| Sortino/√2 | 1.07 | 1.23 |
| Smart Sortino/√2 | 1.04 | 1.1 |
| Omega | 1.25 | 1.39 |
| Max Drawdown | -8.88% | -1.7% |
| Max DD Date | 2026-03-30 | 2026-09-17 |
| Max DD Period Start | 2026-01-28 | 2026-08-05 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 75 |
| Volatility (ann.) | 12.99% | 4.32% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.03 | 5.27 |
| Skew | -0.15 | 0.51 |
| Kurtosis | 1.05 | 1.42 |
| Ulcer Performance Index | 8.3 | 17.02 |
| Risk-Adjusted Return | 18.02% | 8.95% |
| Risk-Return Ratio | 0.08 | 0.13 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.71% | 0.23% |
| Avg. Loss | -0.68% | -0.18% |
| Win/Loss Ratio | 1.04 | 1.28 |
| Profit Ratio | 0.94 | 1.19 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.27% | 0.66% |
| Expected Yearly | 8.57% | 4.34% |
| Kelly Criterion | 9.01% | 14.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.41% |
| Expected Shortfall (cVaR) | -1.72% | -0.51% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.39 |
| Gain/Pain (1M) | 2.6 | 6.01 |
| Payoff Ratio | 1.04 | 1.28 |
| Profit Factor | 1.25 | 1.39 |
| Common Sense Ratio | 1.24 | 1.77 |
| CPC Index | 0.7 | 0.93 |
| Tail Ratio | 0.99 | 1.27 |
| Outlier Win Ratio | 2.88 | 2.95 |
| Outlier Loss Ratio | 3.19 | 3.01 |
| MTD | 1.08% | -0.73% |
| 3M | 3.82% | -0.39% |
| 6M | 19.85% | 0.88% |
| YTD | 14.3% | 1.72% |
| 1Y | 17.87% | 8.87% |
| 3Y (ann.) | 18.02% | 8.95% |
| 5Y (ann.) | 18.02% | 8.95% |
| 10Y (ann.) | 18.02% | 8.95% |
| All-time (ann.) | 18.02% | 8.95% |
| Best Day | 2.91% | 1.25% |
| Worst Day | -2.7% | -0.73% |
| Best Month | 10.51% | 3.27% |
| Worst Month | -4.94% | -0.73% |
| Best Year | 14.3% | 7.03% |
| Worst Year | 3.13% | 1.72% |
| Avg. Drawdown | -1.71% | -0.46% |
| Avg. Drawdown Days | 13 | 12 |
| Recovery Factor | 1.94 | 5.06 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 3.81 |
| Avg. Up Month | 2.9% | 1.22% |
| Avg. Down Month | -0.86% | -0.35% |
| Win Days | 53.6% | 52.0% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.07 |
| Alpha | - | 0.07 |
| Correlation | - | 21.69% |
| Treynor Ratio | - | 123.02% |
| Year | SPY | MRGR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 7.03 | 2.25 | + |
| 2026 | 14.30 | 1.72 | 0.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-05 | 2026-09-22 | -1.70 | 49 |
| 2026-01-15 | 2026-03-30 | -1.29 | 75 |
| 2025-10-22 | 2025-10-31 | -1.01 | 10 |
| 2025-12-15 | 2026-01-12 | -0.99 | 29 |
| 2026-04-24 | 2026-05-22 | -0.97 | 29 |
| 2025-11-26 | 2025-12-09 | -0.65 | 14 |
| 2025-09-30 | 2025-10-06 | -0.59 | 7 |
| 2026-06-12 | 2026-06-24 | -0.58 | 13 |
| 2026-06-03 | 2026-06-08 | -0.47 | 6 |
| 2026-07-13 | 2026-08-03 | -0.36 | 22 |