| Metric | SPY | MSTVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 71.0% |
| Cumulative Return | 159.49% | 34.7% |
| CAGR﹪ | 14.62% | 4.35% |
| Sharpe | 0.65 | 0.48 |
| Prob. Sharpe Ratio | 95.57% | 88.93% |
| Smart Sharpe | 0.56 | 0.43 |
| Sortino | 0.91 | 0.63 |
| Smart Sortino | 0.79 | 0.57 |
| Sortino/√2 | 0.65 | 0.45 |
| Smart Sortino/√2 | 0.56 | 0.4 |
| Omega | 1.16 | 1.34 |
| Max Drawdown | -33.72% | -8.02% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2020-02-21 |
| Max DD Period End | 2020-08-07 | 2020-07-21 |
| Longest DD Days | 708 | 691 |
| Volatility (ann.) | 19.75% | 3.2% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.43 | 0.54 |
| Skew | -0.27 | -2.28 |
| Kurtosis | 13.82 | 40.65 |
| Ulcer Performance Index | 19.36 | 16.65 |
| Risk-Adjusted Return | 14.62% | 6.13% |
| Risk-Return Ratio | 0.05 | 0.08 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.99% | 0.16% |
| Avg. Loss | -1.19% | -0.19% |
| Win/Loss Ratio | 0.84 | 0.87 |
| Profit Ratio | 0.78 | 0.21 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.07% | 0.33% |
| Expected Yearly | 12.66% | 3.79% |
| Kelly Criterion | 0.86% | 13.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.98% | -0.31% |
| Expected Shortfall (cVaR) | -3.27% | -0.72% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | 0.16 | 0.34 |
| Gain/Pain (1M) | 0.96 | 1.62 |
| Payoff Ratio | 0.84 | 0.87 |
| Profit Factor | 1.16 | 1.34 |
| Common Sense Ratio | 1.11 | 1.85 |
| CPC Index | 0.53 | 0.7 |
| Tail Ratio | 0.96 | 1.38 |
| Outlier Win Ratio | 3.73 | 4.99 |
| Outlier Loss Ratio | 4.09 | 2.69 |
| 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.) | 14.62% | 4.35% |
| All-time (ann.) | 14.62% | 4.35% |
| Best Day | 10.5% | 2.05% |
| Worst Day | -10.94% | -2.58% |
| Best Month | 12.7% | 2.74% |
| Worst Month | -12.49% | -5.29% |
| Best Year | 28.73% | 6.86% |
| Worst Year | -18.18% | -2.69% |
| Avg. Drawdown | -1.94% | -0.45% |
| Avg. Drawdown Days | 19 | 20 |
| Recovery Factor | 3.23 | 3.76 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.85 | 0.59 |
| Avg. Up Month | 4.08% | 0.81% |
| Avg. Down Month | -4.43% | -0.81% |
| Win Days | 54.86% | 59.66% |
| Win Month | 63.33% | 72.73% |
| Win Quarter | 74.19% | 77.42% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.09 |
| Alpha | - | 0.03 |
| Correlation | - | 52.67% |
| Treynor Ratio | - | 405.99% |
| Year | SPY | MSTVX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 4.15 | 0.25 | - |
| 2020 | 18.33 | 3.81 | 0.21 | - |
| 2021 | 28.73 | 4.19 | 0.15 | - |
| 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 |
|---|---|---|---|
| 2020-02-21 | 2020-07-21 | -8.02 | 152 |
| 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 |
| 2024-10-17 | 2024-11-25 | -1.50 | 40 |
| 2026-03-05 | 2026-06-15 | -1.29 | 103 |
| 2026-08-26 | 2026-10-23 | -1.10 | 59 |
| 2024-04-04 | 2024-06-12 | -1.08 | 70 |
| 2021-06-14 | 2021-09-14 | -1.02 | 93 |
| 2021-02-17 | 2021-03-25 | -0.75 | 37 |