| Metric | SPY | MSTVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 74.0% |
| Cumulative Return | 9.82% | 4.27% |
| CAGR﹪ | 13.01% | 5.62% |
| Sharpe | 0.74 | 0.86 |
| Prob. Sharpe Ratio | 74.2% | 77.3% |
| Smart Sharpe | 0.72 | 0.78 |
| Sortino | 1.11 | 1.29 |
| Smart Sortino | 1.07 | 1.18 |
| Sortino/√2 | 0.78 | 0.91 |
| Smart Sortino/√2 | 0.76 | 0.83 |
| Omega | 1.18 | 1.5 |
| Max Drawdown | -6.98% | -1.29% |
| Max DD Date | 2026-03-24 | 2026-03-24 |
| Max DD Period Start | 2026-01-28 | 2026-03-05 |
| Max DD Period End | 2026-04-08 | 2026-06-15 |
| Longest DD Days | 78 | 103 |
| Volatility (ann.) | 12.82% | 2.3% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.86 | 4.35 |
| Skew | 0.13 | 0.05 |
| Kurtosis | 0.96 | 0.87 |
| Ulcer Performance Index | 4.3 | 8.82 |
| Risk-Adjusted Return | 13.01% | 7.59% |
| Risk-Return Ratio | 0.06 | 0.15 |
| Avg. Return | 0.02% | 0.03% |
| Avg. Win | 0.79% | 0.15% |
| Avg. Loss | -0.61% | -0.15% |
| Win/Loss Ratio | 1.3 | 1.03 |
| Profit Ratio | 1.16 | 0.31 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 0.72% | 0.32% |
| Expected Yearly | 4.79% | 2.11% |
| Kelly Criterion | 11.99% | 16.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.22% |
| Expected Shortfall (cVaR) | -1.66% | -0.31% |
| Max Consecutive Wins | 11 | 3 |
| Max Consecutive Losses | 8 | 4 |
| Gain/Pain Ratio | 0.18 | 0.5 |
| Gain/Pain (1M) | 1.12 | 2.16 |
| Payoff Ratio | 1.3 | 1.03 |
| Profit Factor | 1.18 | 1.5 |
| Common Sense Ratio | 1.27 | 2.24 |
| CPC Index | 0.77 | 0.89 |
| Tail Ratio | 1.07 | 1.49 |
| Outlier Win Ratio | 2.77 | 4.04 |
| Outlier Loss Ratio | 2.91 | 2.06 |
| MTD | 1.47% | 0.28% |
| 3M | 1.46% | 0.92% |
| 6M | 5.62% | 2.25% |
| YTD | 12.16% | 3.12% |
| 1Y | 9.82% | 4.27% |
| 3Y (ann.) | 13.01% | 5.62% |
| 5Y (ann.) | 13.01% | 5.62% |
| 10Y (ann.) | 13.01% | 5.62% |
| All-time (ann.) | 13.01% | 5.62% |
| Best Day | 2.91% | 0.47% |
| Worst Day | -2.58% | -0.46% |
| Best Month | 8.48% | 1.3% |
| Worst Month | -3.14% | -1.11% |
| Best Year | 12.16% | 3.12% |
| Worst Year | -2.09% | 1.12% |
| Avg. Drawdown | -2.16% | -0.26% |
| Avg. Drawdown Days | 26 | 13 |
| Recovery Factor | 1.43 | 3.26 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.68 | 1.21 |
| Avg. Up Month | 2.73% | 0.41% |
| Avg. Down Month | -0.65% | -0.97% |
| Win Days | 50.26% | 57.45% |
| Win Month | 53.85% | 84.62% |
| Win Quarter | 60.0% | 80.0% |
| Win Year | 50.0% | 100.0% |
| Beta | - | 0.07 |
| Alpha | - | 0.05 |
| Correlation | - | 36.7% |
| Treynor Ratio | - | 64.98% |
| Year | SPY | MSTVX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -2.09 | 1.12 | -0.54 | + |
| 2026 | 12.16 | 3.12 | 0.26 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-05 | 2026-06-15 | -1.29 | 103 |
| 2026-08-26 | 2026-10-23 | -1.10 | 59 |
| 2026-07-07 | 2026-07-24 | -0.37 | 18 |
| 2026-06-17 | 2026-06-25 | -0.28 | 9 |
| 2026-08-10 | 2026-08-18 | -0.28 | 9 |
| 2026-06-29 | 2026-06-30 | -0.19 | 2 |
| 2025-11-13 | 2025-11-20 | -0.18 | 8 |
| 2025-12-31 | 2025-12-31 | -0.09 | 1 |
| 2026-01-29 | 2026-01-29 | -0.09 | 1 |
| 2026-02-04 | 2026-02-04 | -0.09 | 1 |