| Metric | SPY | MRGR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 86.58% | 21.37% |
| CAGR﹪ | 13.36% | 3.97% |
| Sharpe | 0.59 | 0.05 |
| Prob. Sharpe Ratio | 90.85% | 54.04% |
| Smart Sharpe | 0.58 | 0.04 |
| Sortino | 0.86 | 0.06 |
| Smart Sortino | 0.83 | 0.06 |
| Sortino/√2 | 0.61 | 0.05 |
| Smart Sortino/√2 | 0.59 | 0.04 |
| Omega | 1.16 | 1.2 |
| 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.) | 17.2% | 3.76% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.47 |
| Skew | 0.32 | -0.14 |
| Kurtosis | 8.95 | 3.33 |
| Ulcer Performance Index | 10.24 | 6.74 |
| Risk-Adjusted Return | 13.36% | 3.97% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.83% | 0.19% |
| Avg. Loss | -0.89% | -0.19% |
| Win/Loss Ratio | 0.94 | 1.0 |
| Profit Ratio | 0.83 | 0.86 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.32% |
| Expected Yearly | 10.95% | 3.28% |
| Kelly Criterion | 5.06% | 7.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.37% |
| Expected Shortfall (cVaR) | -2.58% | -0.55% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.2 |
| Gain/Pain (1M) | 0.87 | 1.36 |
| Payoff Ratio | 0.94 | 1.0 |
| Profit Factor | 1.16 | 1.2 |
| Common Sense Ratio | 1.17 | 1.31 |
| CPC Index | 0.59 | 0.65 |
| Tail Ratio | 1.01 | 1.09 |
| Outlier Win Ratio | 3.41 | 3.8 |
| Outlier Loss Ratio | 3.77 | 3.96 |
| MTD | 1.08% | -0.73% |
| 3M | 3.82% | -0.39% |
| 6M | 19.85% | 0.88% |
| YTD | 14.3% | 1.72% |
| 1Y | 17.78% | 8.56% |
| 3Y (ann.) | 24.86% | 7.4% |
| 5Y (ann.) | 13.06% | 3.79% |
| 10Y (ann.) | 13.36% | 3.97% |
| All-time (ann.) | 13.36% | 3.97% |
| 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 | -1.89% | -0.47% |
| Avg. Drawdown Days | 20 | 21 |
| Recovery Factor | 2.85 | 2.35 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.47 | 0.21 |
| Avg. Up Month | 4.03% | 0.89% |
| Avg. Down Month | -4.47% | -0.55% |
| Win Days | 54.04% | 53.97% |
| Win Month | 63.93% | 65.57% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.08 |
| Alpha | - | 0.03 |
| Correlation | - | 37.14% |
| Treynor Ratio | - | 263.25% |
| Year | SPY | MRGR | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 1.27 | 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 | 14.30 | 1.72 | 0.12 | - |
| 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 | 2026-09-22 | -1.70 | 49 |
| 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 |