| Metric | SPY | MSTVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 73.0% |
| Cumulative Return | 8.62% | 3.61% |
| CAGR﹪ | 12.2% | 5.05% |
| Sharpe | 0.67 | 0.5 |
| Prob. Sharpe Ratio | 71.42% | 66.27% |
| Smart Sharpe | 0.66 | 0.46 |
| Sortino | 1.0 | 0.72 |
| Smart Sortino | 0.98 | 0.68 |
| Sortino/√2 | 0.71 | 0.51 |
| Smart Sortino/√2 | 0.69 | 0.48 |
| Omega | 1.17 | 1.46 |
| Max Drawdown | -8.94% | -1.29% |
| Max DD Date | 2026-03-24 | 2026-03-24 |
| Max DD Period Start | 2025-10-16 | 2026-03-05 |
| Max DD Period End | 2026-04-15 | 2026-06-15 |
| Longest DD Days | 182 | 103 |
| Volatility (ann.) | 12.7% | 2.25% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.36 | 3.91 |
| Skew | 0.18 | 0.02 |
| Kurtosis | 1.12 | 1.24 |
| Ulcer Performance Index | 2.64 | 8.68 |
| Risk-Adjusted Return | 12.2% | 6.92% |
| Risk-Return Ratio | 0.06 | 0.14 |
| Avg. Return | 0.01% | 0.03% |
| Avg. Win | 0.77% | 0.15% |
| Avg. Loss | -0.61% | -0.15% |
| Win/Loss Ratio | 1.26 | 1.01 |
| Profit Ratio | 1.15 | 0.28 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 0.64% | 0.27% |
| Expected Yearly | 4.22% | 1.79% |
| Kelly Criterion | 10.88% | 17.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -0.21% |
| Expected Shortfall (cVaR) | -1.64% | -0.31% |
| Max Consecutive Wins | 11 | 6 |
| Max Consecutive Losses | 8 | 4 |
| Gain/Pain Ratio | 0.17 | 0.46 |
| Gain/Pain (1M) | 0.91 | 2.57 |
| Payoff Ratio | 1.26 | 1.01 |
| Profit Factor | 1.17 | 1.46 |
| Common Sense Ratio | 1.31 | 2.17 |
| CPC Index | 0.74 | 0.86 |
| Tail Ratio | 1.11 | 1.48 |
| Outlier Win Ratio | 2.97 | 4.4 |
| Outlier Loss Ratio | 2.81 | 2.13 |
| MTD | 1.08% | -0.28% |
| 3M | 3.82% | 0.46% |
| 6M | 18.52% | 1.41% |
| YTD | 13.12% | 2.08% |
| 1Y | 8.62% | 3.61% |
| 3Y (ann.) | 12.2% | 5.05% |
| 5Y (ann.) | 12.2% | 5.05% |
| 10Y (ann.) | 12.2% | 5.05% |
| All-time (ann.) | 12.2% | 5.05% |
| Best Day | 2.91% | 0.47% |
| Worst Day | -2.58% | -0.46% |
| Best Month | 8.48% | 1.03% |
| Worst Month | -3.62% | -1.11% |
| Best Year | 13.12% | 2.08% |
| Worst Year | -3.98% | 1.5% |
| Avg. Drawdown | -1.67% | -0.25% |
| Avg. Drawdown Days | 24 | 12 |
| Recovery Factor | 0.99 | 2.76 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.31 | 1.29 |
| Avg. Up Month | 2.94% | 0.44% |
| Avg. Down Month | -0.69% | -0.55% |
| Win Days | 50.28% | 58.33% |
| Win Month | 53.85% | 76.92% |
| Win Quarter | 40.0% | 80.0% |
| Win Year | 50.0% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.04 |
| Correlation | - | 36.44% |
| Treynor Ratio | - | 55.92% |
| Year | SPY | MSTVX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -3.98 | 1.50 | -0.38 | + |
| 2026 | 13.12 | 2.08 | 0.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-05 | 2026-06-15 | -1.29 | 103 |
| 2026-08-26 | 2026-09-22 | -0.74 | 28 |
| 2026-07-07 | 2026-07-29 | -0.37 | 23 |
| 2025-10-28 | 2025-11-04 | -0.37 | 8 |
| 2026-06-17 | 2026-06-23 | -0.28 | 7 |
| 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 |