| Metric | SPY | MSTVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 73.0% |
| Cumulative Return | 58.76% | 19.55% |
| CAGR﹪ | 10.68% | 4.0% |
| Sharpe | 0.45 | 0.08 |
| Prob. Sharpe Ratio | 83.47% | 56.47% |
| Smart Sharpe | 0.44 | 0.07 |
| Sortino | 0.65 | 0.11 |
| Smart Sortino | 0.64 | 0.09 |
| Sortino/√2 | 0.46 | 0.07 |
| Smart Sortino/√2 | 0.45 | 0.07 |
| Omega | 1.13 | 1.3 |
| Max Drawdown | -24.5% | -5.89% |
| Max DD Date | 2022-10-12 | 2022-09-26 |
| Max DD Period Start | 2022-01-04 | 2021-12-31 |
| Max DD Period End | 2023-12-12 | 2023-11-21 |
| Longest DD Days | 708 | 691 |
| Volatility (ann.) | 17.51% | 3.18% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.44 | 0.68 |
| Skew | 0.36 | -0.73 |
| Kurtosis | 9.04 | 31.85 |
| Ulcer Performance Index | 6.55 | 8.36 |
| Risk-Adjusted Return | 10.68% | 5.48% |
| Risk-Return Ratio | 0.04 | 0.08 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.95% | 0.17% |
| Avg. Loss | -1.03% | -0.18% |
| Win/Loss Ratio | 0.92 | 0.94 |
| Profit Ratio | 0.85 | 0.26 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.76% | 0.29% |
| Expected Yearly | 8.01% | 3.02% |
| Kelly Criterion | 2.99% | 11.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.77% | -0.31% |
| Expected Shortfall (cVaR) | -2.64% | -0.61% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 8 | 6 |
| Gain/Pain Ratio | 0.13 | 0.3 |
| Gain/Pain (1M) | 0.63 | 1.52 |
| Payoff Ratio | 0.92 | 0.94 |
| Profit Factor | 1.13 | 1.3 |
| Common Sense Ratio | 1.14 | 1.78 |
| CPC Index | 0.55 | 0.7 |
| Tail Ratio | 1.02 | 1.37 |
| Outlier Win Ratio | 3.4 | 4.73 |
| Outlier Loss Ratio | 3.75 | 2.75 |
| MTD | 1.08% | -0.28% |
| 3M | 3.82% | 0.46% |
| 6M | 18.52% | 1.41% |
| YTD | 13.12% | 2.08% |
| 1Y | 8.03% | 3.61% |
| 3Y (ann.) | 21.44% | 7.02% |
| 5Y (ann.) | 10.3% | 4.01% |
| 10Y (ann.) | 10.68% | 4.0% |
| All-time (ann.) | 10.68% | 4.0% |
| Best Day | 10.5% | 2.05% |
| Worst Day | -5.85% | -2.28% |
| Best Month | 9.21% | 2.31% |
| Worst Month | -9.24% | -1.79% |
| Best Year | 26.18% | 6.86% |
| Worst Year | -18.18% | -2.69% |
| Avg. Drawdown | -2.25% | -0.43% |
| Avg. Drawdown Days | 30 | 23 |
| Recovery Factor | 2.17 | 3.07 |
| Ulcer Index | 0.09 | 0.02 |
| Serenity Index | 0.33 | 0.3 |
| Avg. Up Month | 4.02% | 0.81% |
| Avg. Down Month | -4.19% | -0.7% |
| Win Days | 53.49% | 57.19% |
| Win Month | 60.66% | 69.49% |
| Win Quarter | 61.9% | 76.19% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.08 |
| Alpha | - | 0.03 |
| Correlation | - | 43.4% |
| Treynor Ratio | - | 247.94% |
| Year | SPY | MSTVX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 1.00 | 0.13 | - |
| 2022 | -18.18 | -2.69 | 0.15 | + |
| 2023 | 26.18 | 6.86 | 0.26 | - |
| 2024 | 24.89 | 6.37 | 0.26 | - |
| 2025 | 1.21 | 4.83 | 4.01 | + |
| 2026 | 13.12 | 2.08 | 0.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-31 | 2023-11-21 | -5.89 | 691 |
| 2025-03-04 | 2025-04-24 | -3.40 | 52 |
| 2024-12-09 | 2025-01-17 | -1.59 | 40 |
| 2024-10-21 | 2024-11-22 | -1.50 | 33 |
| 2026-03-05 | 2026-06-15 | -1.29 | 103 |
| 2024-04-04 | 2024-06-12 | -1.08 | 70 |
| 2026-08-26 | 2026-09-22 | -0.74 | 28 |
| 2025-04-28 | 2025-05-08 | -0.66 | 11 |
| 2025-05-12 | 2025-08-12 | -0.56 | 93 |
| 2025-02-03 | 2025-02-06 | -0.48 | 4 |