| Metric | SPY | MSTVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 72.0% |
| Cumulative Return | 18.52% | 1.41% |
| CAGR﹪ | 48.12% | 3.28% |
| Sharpe | 2.7 | -0.14 |
| Prob. Sharpe Ratio | 96.48% | 46.4% |
| Smart Sharpe | 2.66 | -0.12 |
| Sortino | 4.67 | -0.2 |
| Smart Sortino | 4.59 | -0.17 |
| Sortino/√2 | 3.3 | -0.14 |
| Smart Sortino/√2 | 3.25 | -0.12 |
| Omega | 1.65 | 1.28 |
| Max Drawdown | -4.49% | -0.74% |
| Max DD Date | 2026-06-10 | 2026-09-15 |
| Max DD Period Start | 2026-06-03 | 2026-08-26 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 52 |
| Volatility (ann.) | 13.57% | 2.29% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.18 | -0.18 |
| Calmar | 10.71 | 4.46 |
| Skew | 0.26 | 0.18 |
| Kurtosis | 1.19 | 1.51 |
| Ulcer Performance Index | 11.71 | 4.57 |
| Risk-Adjusted Return | 48.12% | 4.56% |
| Risk-Return Ratio | 0.19 | 0.09 |
| Avg. Return | 0.17% | 0.02% |
| Avg. Win | 0.99% | 0.16% |
| Avg. Loss | -0.57% | -0.15% |
| Win/Loss Ratio | 1.75 | 1.04 |
| Profit Ratio | 1.27 | 0.31 |
| Expected Daily | 0.16% | 0.01% |
| Expected Monthly | 2.46% | 0.2% |
| Expected Yearly | 18.52% | 1.41% |
| Kelly Criterion | 26.46% | 9.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.22% |
| Expected Shortfall (cVaR) | -1.68% | -0.32% |
| Max Consecutive Wins | 11 | 3 |
| Max Consecutive Losses | 4 | 2 |
| Gain/Pain Ratio | 0.65 | 0.28 |
| Gain/Pain (1M) | 19.17 | 3.82 |
| Payoff Ratio | 1.75 | 1.04 |
| Profit Factor | 1.65 | 1.28 |
| Common Sense Ratio | 2.41 | 1.67 |
| CPC Index | 1.53 | 0.72 |
| Tail Ratio | 1.46 | 1.3 |
| Outlier Win Ratio | 3.26 | 5.13 |
| Outlier Loss Ratio | 2.98 | 2.01 |
| MTD | 1.08% | -0.28% |
| 3M | 3.82% | 0.46% |
| 6M | 18.52% | 1.41% |
| YTD | 18.52% | 1.41% |
| 1Y | 18.52% | 1.41% |
| 3Y (ann.) | 48.12% | 3.28% |
| 5Y (ann.) | 48.12% | 3.28% |
| 10Y (ann.) | 48.12% | 3.28% |
| All-time (ann.) | 48.12% | 3.28% |
| Best Day | 2.91% | 0.47% |
| Worst Day | -2.58% | -0.46% |
| Best Month | 8.48% | 0.56% |
| Worst Month | -1.03% | -0.28% |
| Best Year | 18.52% | 1.41% |
| Worst Year | 18.52% | 1.41% |
| Avg. Drawdown | -1.15% | -0.29% |
| Avg. Drawdown Days | 12 | 11 |
| Recovery Factor | 3.87 | 1.91 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.74 | 0.97 |
| Avg. Up Month | 3.72% | 0.3% |
| Avg. Down Month | - | - |
| Win Days | 53.21% | 53.85% |
| Win Month | 85.71% | 71.43% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.08 |
| Alpha | - | 0.0 |
| Correlation | - | 46.76% |
| Treynor Ratio | - | 17.8% |
| Year | SPY | MSTVX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.52 | 1.41 | 0.08 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-26 | 2026-09-22 | -0.74 | 28 |
| 2026-04-20 | 2026-06-10 | -0.65 | 52 |
| 2026-07-07 | 2026-07-24 | -0.37 | 18 |
| 2026-03-24 | 2026-03-31 | -0.28 | 8 |
| 2026-04-15 | 2026-04-16 | -0.28 | 2 |
| 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 |
| 2026-04-07 | 2026-04-07 | -0.09 | 1 |
| 2026-07-29 | 2026-07-29 | -0.09 | 1 |