| Metric | SPY | MRGR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 74.99% | 20.93% |
| CAGR﹪ | 11.91% | 3.9% |
| Sharpe | 0.52 | 0.01 |
| Prob. Sharpe Ratio | 87.6% | 50.82% |
| Smart Sharpe | 0.5 | 0.01 |
| Sortino | 0.74 | 0.01 |
| Smart Sortino | 0.72 | 0.01 |
| Sortino/√2 | 0.53 | 0.01 |
| Smart Sortino/√2 | 0.51 | 0.01 |
| Omega | 1.14 | 1.19 |
| Max Drawdown | -24.5% | -8.4% |
| Max DD Date | 2022-10-12 | 2023-03-13 |
| Max DD Period Start | 2022-01-04 | 2021-11-10 |
| Max DD Period End | 2023-12-12 | 2024-02-29 |
| Longest DD Days | 708 | 842 |
| Volatility (ann.) | 17.19% | 3.82% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.46 |
| Skew | 0.33 | -0.11 |
| Kurtosis | 8.98 | 3.38 |
| Ulcer Performance Index | 8.86 | 6.6 |
| Risk-Adjusted Return | 11.91% | 3.9% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.84% | 0.19% |
| Avg. Loss | -0.87% | -0.19% |
| Win/Loss Ratio | 0.96 | 1.0 |
| Profit Ratio | 0.86 | 0.86 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.31% |
| Expected Yearly | 9.77% | 3.22% |
| Kelly Criterion | 4.8% | 7.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.38% |
| Expected Shortfall (cVaR) | -2.58% | -0.57% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.19 |
| Gain/Pain (1M) | 0.79 | 1.28 |
| Payoff Ratio | 0.96 | 1.0 |
| Profit Factor | 1.14 | 1.19 |
| Common Sense Ratio | 1.15 | 1.29 |
| CPC Index | 0.58 | 0.64 |
| Tail Ratio | 1.0 | 1.08 |
| Outlier Win Ratio | 3.4 | 3.83 |
| Outlier Loss Ratio | 3.8 | 4.18 |
| MTD | 1.47% | 0.33% |
| 3M | 1.46% | 0.36% |
| 6M | 6.94% | 1.54% |
| YTD | 13.33% | 2.94% |
| 1Y | 13.43% | 4.8% |
| 3Y (ann.) | 20.78% | 7.64% |
| 5Y (ann.) | 12.86% | 4.12% |
| 10Y (ann.) | 11.91% | 3.9% |
| All-time (ann.) | 11.91% | 3.9% |
| Best Day | 10.5% | 1.25% |
| Worst Day | -5.85% | -1.23% |
| Best Month | 10.51% | 3.27% |
| Worst Month | -9.24% | -2.26% |
| Best Year | 26.18% | 11.99% |
| Worst Year | -18.18% | -4.81% |
| Avg. Drawdown | -1.94% | -0.5% |
| Avg. Drawdown Days | 21 | 25 |
| Recovery Factor | 2.58 | 2.31 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.43 | 0.21 |
| Avg. Up Month | 3.84% | 0.86% |
| Avg. Down Month | -4.29% | -0.61% |
| Win Days | 53.48% | 53.89% |
| Win Month | 62.3% | 65.57% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.08 |
| Alpha | - | 0.03 |
| Correlation | - | 36.16% |
| Treynor Ratio | - | 260.77% |
| Year | SPY | MRGR | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.30 | -0.17 | - |
| 2022 | -18.18 | -4.81 | 0.26 | + |
| 2023 | 26.18 | 4.94 | 0.19 | - |
| 2024 | 24.89 | 5.32 | 0.21 | - |
| 2025 | 17.72 | 11.99 | 0.68 | - |
| 2026 | 13.33 | 2.94 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-10 | 2024-02-29 | -8.40 | 842 |
| 2025-03-03 | 2025-05-23 | -2.10 | 82 |
| 2026-08-05 | 2026-11-04 | -1.78 | 92 |
| 2024-03-06 | 2024-07-05 | -1.69 | 122 |
| 2026-01-15 | 2026-03-30 | -1.29 | 75 |
| 2024-11-01 | 2025-01-02 | -1.13 | 63 |
| 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 |
| 2025-09-03 | 2025-09-25 | -0.93 | 23 |