| Metric | SPY | MRGR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 204.97% | 35.61% |
| CAGR﹪ | 16.25% | 4.2% |
| Sharpe | 0.72 | 0.27 |
| Prob. Sharpe Ratio | 97.45% | 76.37% |
| Smart Sharpe | 0.63 | 0.25 |
| Sortino | 1.02 | 0.36 |
| Smart Sortino | 0.88 | 0.33 |
| Sortino/√2 | 0.72 | 0.26 |
| Smart Sortino/√2 | 0.62 | 0.23 |
| Omega | 1.18 | 1.19 |
| Max Drawdown | -33.72% | -13.22% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2020-02-21 |
| Max DD Period End | 2020-08-07 | 2020-11-02 |
| Longest DD Days | 708 | 842 |
| Volatility (ann.) | 19.45% | 5.07% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.32 |
| Skew | -0.29 | -2.47 |
| Kurtosis | 13.94 | 62.2 |
| Ulcer Performance Index | 25.91 | 12.85 |
| Risk-Adjusted Return | 16.25% | 4.2% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.88% | 0.21% |
| Avg. Loss | -0.97% | -0.22% |
| Win/Loss Ratio | 0.9 | 0.95 |
| Profit Ratio | 0.78 | 0.86 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.34% |
| Expected Yearly | 14.96% | 3.88% |
| Kelly Criterion | 5.5% | 5.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.51% |
| Expected Shortfall (cVaR) | -3.2% | -1.04% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.19 |
| Gain/Pain (1M) | 1.15 | 1.48 |
| Payoff Ratio | 0.9 | 0.95 |
| Profit Factor | 1.18 | 1.19 |
| Common Sense Ratio | 1.13 | 1.38 |
| CPC Index | 0.59 | 0.61 |
| Tail Ratio | 0.96 | 1.16 |
| Outlier Win Ratio | 3.69 | 3.81 |
| Outlier Loss Ratio | 4.12 | 3.93 |
| 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.) | 16.25% | 4.2% |
| All-time (ann.) | 16.25% | 4.2% |
| Best Day | 10.5% | 3.75% |
| Worst Day | -10.94% | -5.08% |
| Best Month | 12.7% | 3.27% |
| Worst Month | -12.49% | -4.21% |
| Best Year | 28.73% | 11.99% |
| Worst Year | -18.18% | -4.81% |
| Avg. Drawdown | -1.79% | -0.54% |
| Avg. Drawdown Days | 16 | 19 |
| Recovery Factor | 3.72 | 2.38 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 1.03 | 0.53 |
| Avg. Up Month | 4.11% | 0.89% |
| Avg. Down Month | -4.55% | -0.76% |
| Win Days | 55.15% | 53.92% |
| Win Month | 65.56% | 67.78% |
| Win Quarter | 77.42% | 70.97% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.12 |
| Alpha | - | 0.02 |
| Correlation | - | 44.65% |
| Treynor Ratio | - | 305.67% |
| Year | SPY | MRGR | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.86 | 0.17 | - |
| 2020 | 18.33 | 1.99 | 0.11 | - |
| 2021 | 28.73 | 6.58 | 0.23 | - |
| 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 |
|---|---|---|---|
| 2020-02-21 | 2020-11-02 | -13.22 | 256 |
| 2021-11-10 | 2024-02-29 | -8.40 | 842 |
| 2021-02-17 | 2021-03-31 | -2.31 | 43 |
| 2025-03-03 | 2025-05-23 | -2.10 | 82 |
| 2021-06-08 | 2021-08-31 | -1.95 | 85 |
| 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 |
| 2021-01-25 | 2021-02-01 | -1.12 | 8 |