| Metric | SPY | MSTVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 72.0% |
| Cumulative Return | 48.89% | 20.32% |
| CAGR﹪ | 9.13% | 4.14% |
| Sharpe | 0.37 | 0.1 |
| Prob. Sharpe Ratio | 78.57% | 58.3% |
| Smart Sharpe | 0.36 | 0.09 |
| Sortino | 0.53 | 0.14 |
| Smart Sortino | 0.52 | 0.12 |
| Sortino/√2 | 0.38 | 0.1 |
| Smart Sortino/√2 | 0.37 | 0.08 |
| Omega | 1.11 | 1.31 |
| Max Drawdown | -24.5% | -5.89% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| 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.) | 17.5% | 3.19% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.37 | 0.7 |
| Skew | 0.38 | -0.73 |
| Kurtosis | 9.08 | 31.48 |
| Ulcer Performance Index | 5.45 | 8.68 |
| Risk-Adjusted Return | 9.13% | 5.76% |
| Risk-Return Ratio | 0.04 | 0.08 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.95% | 0.17% |
| Avg. Loss | -1.02% | -0.18% |
| Win/Loss Ratio | 0.94 | 0.95 |
| Profit Ratio | 0.88 | 0.26 |
| Expected Daily | 0.03% | 0.02% |
| Expected Monthly | 0.65% | 0.3% |
| Expected Yearly | 6.86% | 3.13% |
| Kelly Criterion | 2.56% | 12.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.77% | -0.31% |
| Expected Shortfall (cVaR) | -2.65% | -0.61% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 8 | 6 |
| Gain/Pain Ratio | 0.11 | 0.31 |
| Gain/Pain (1M) | 0.55 | 1.51 |
| Payoff Ratio | 0.94 | 0.95 |
| Profit Factor | 1.11 | 1.31 |
| Common Sense Ratio | 1.13 | 1.79 |
| CPC Index | 0.55 | 0.71 |
| Tail Ratio | 1.02 | 1.37 |
| Outlier Win Ratio | 3.39 | 4.7 |
| Outlier Loss Ratio | 3.78 | 2.74 |
| MTD | 1.47% | 0.28% |
| 3M | 1.46% | 0.92% |
| 6M | 5.62% | 2.25% |
| YTD | 12.16% | 3.12% |
| 1Y | 8.89% | 4.47% |
| 3Y (ann.) | 16.83% | 6.41% |
| 5Y (ann.) | 10.09% | 4.26% |
| 10Y (ann.) | 9.13% | 4.14% |
| All-time (ann.) | 9.13% | 4.14% |
| 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 | -2.33% | -0.44% |
| Avg. Drawdown Days | 31 | 24 |
| Recovery Factor | 1.91 | 3.18 |
| Ulcer Index | 0.09 | 0.02 |
| Serenity Index | 0.29 | 0.32 |
| Avg. Up Month | 3.84% | 0.81% |
| Avg. Down Month | -4.13% | -0.75% |
| Win Days | 52.88% | 57.28% |
| Win Month | 59.02% | 71.19% |
| Win Quarter | 66.67% | 76.19% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.08 |
| Alpha | - | 0.03 |
| Correlation | - | 42.9% |
| Treynor Ratio | - | 259.76% |
| Year | SPY | MSTVX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.63 | 0.36 | - |
| 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 | 12.16 | 3.12 | 0.26 | - |
| 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 |
| 2026-08-26 | 2026-10-26 | -1.10 | 62 |
| 2024-04-04 | 2024-06-12 | -1.08 | 70 |
| 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 |