| Metric | SPY | MSTVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 75.0% |
| Cumulative Return | 4.78% | 2.25% |
| CAGR﹪ | 10.31% | 4.78% |
| Sharpe | 0.57 | 0.59 |
| Prob. Sharpe Ratio | 65.2% | 65.78% |
| Smart Sharpe | 0.55 | 0.5 |
| Sortino | 0.83 | 0.88 |
| Smart Sortino | 0.8 | 0.74 |
| Sortino/√2 | 0.59 | 0.62 |
| Smart Sortino/√2 | 0.56 | 0.53 |
| Omega | 1.15 | 1.45 |
| Max Drawdown | -4.49% | -1.1% |
| Max DD Date | 2026-06-10 | 2026-09-30 |
| Max DD Period Start | 2026-06-03 | 2026-08-26 |
| Max DD Period End | 2026-07-31 | 2026-10-26 |
| Longest DD Days | 59 | 62 |
| Volatility (ann.) | 12.48% | 2.06% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.29 | 4.33 |
| Skew | -0.1 | 0.03 |
| Kurtosis | 0.62 | -0.38 |
| Ulcer Performance Index | 2.82 | 5.44 |
| Risk-Adjusted Return | 10.31% | 6.37% |
| Risk-Return Ratio | 0.05 | 0.14 |
| Avg. Return | 0.03% | 0.03% |
| Avg. Win | 0.78% | 0.14% |
| Avg. Loss | -0.58% | -0.14% |
| Win/Loss Ratio | 1.33 | 1.01 |
| Profit Ratio | 1.23 | 0.34 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.67% | 0.32% |
| Expected Yearly | 4.78% | 2.25% |
| Kelly Criterion | 11.03% | 12.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.19% |
| Expected Shortfall (cVaR) | -1.78% | -0.28% |
| Max Consecutive Wins | 4 | 3 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.15 | 0.45 |
| Gain/Pain (1M) | 2.46 | 2.68 |
| Payoff Ratio | 1.33 | 1.01 |
| Profit Factor | 1.15 | 1.45 |
| Common Sense Ratio | 1.45 | 2.16 |
| CPC Index | 0.75 | 0.82 |
| Tail Ratio | 1.26 | 1.49 |
| Outlier Win Ratio | 2.64 | 3.14 |
| Outlier Loss Ratio | 3.11 | 2.16 |
| MTD | 1.47% | 0.28% |
| 3M | 1.46% | 0.92% |
| 6M | 4.78% | 2.25% |
| YTD | 4.78% | 2.25% |
| 1Y | 4.78% | 2.25% |
| 3Y (ann.) | 10.31% | 4.78% |
| 5Y (ann.) | 10.31% | 4.78% |
| 10Y (ann.) | 10.31% | 4.78% |
| All-time (ann.) | 10.31% | 4.78% |
| Best Day | 1.8% | 0.28% |
| Worst Day | -2.58% | -0.28% |
| Best Month | 2.85% | 1.3% |
| Worst Month | -1.03% | -0.83% |
| Best Year | 4.78% | 2.25% |
| Worst Year | 4.78% | 2.25% |
| Avg. Drawdown | -1.61% | -0.24% |
| Avg. Drawdown Days | 19 | 10 |
| Recovery Factor | 1.12 | 2.02 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.67 | 0.75 |
| Avg. Up Month | 1.76% | 0.3% |
| Avg. Down Month | -0.33% | -0.83% |
| Win Days | 49.17% | 56.18% |
| Win Month | 57.14% | 85.71% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.04 |
| Correlation | - | 33.18% |
| Treynor Ratio | - | 41.05% |
| Year | SPY | MSTVX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 4.78 | 2.25 | 0.47 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-26 | 2026-10-26 | -1.10 | 62 |
| 2026-07-07 | 2026-07-24 | -0.37 | 18 |
| 2026-06-05 | 2026-06-10 | -0.28 | 6 |
| 2026-06-17 | 2026-06-23 | -0.28 | 7 |
| 2026-08-10 | 2026-08-18 | -0.28 | 9 |
| 2026-05-13 | 2026-05-27 | -0.19 | 15 |
| 2026-06-29 | 2026-06-30 | -0.19 | 2 |
| 2026-06-01 | 2026-06-02 | -0.09 | 2 |
| 2026-05-07 | 2026-05-07 | -0.09 | 1 |
| 2026-07-29 | 2026-07-29 | -0.09 | 1 |