| Metric | SPY | JMNAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 86.0% |
| Cumulative Return | 74.99% | 24.17% |
| CAGR﹪ | 11.91% | 4.45% |
| Sharpe | 0.52 | 0.13 |
| Prob. Sharpe Ratio | 87.6% | 61.49% |
| Smart Sharpe | 0.5 | 0.13 |
| Sortino | 0.74 | 0.18 |
| Smart Sortino | 0.72 | 0.18 |
| Sortino/√2 | 0.53 | 0.13 |
| Smart Sortino/√2 | 0.51 | 0.13 |
| Omega | 1.14 | 1.19 |
| Max Drawdown | -24.5% | -7.58% |
| Max DD Date | 2022-10-12 | 2022-05-09 |
| Max DD Period Start | 2022-01-04 | 2021-12-28 |
| Max DD Period End | 2023-12-12 | 2023-04-13 |
| Longest DD Days | 708 | 472 |
| Volatility (ann.) | 17.19% | 4.57% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.59 |
| Skew | 0.33 | -0.29 |
| Kurtosis | 8.98 | 4.73 |
| Ulcer Performance Index | 8.86 | 9.56 |
| Risk-Adjusted Return | 11.91% | 5.17% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.88% | 0.26% |
| Avg. Loss | -0.95% | -0.28% |
| Win/Loss Ratio | 0.93 | 0.92 |
| Profit Ratio | 0.86 | 0.48 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.36% |
| Expected Yearly | 9.77% | 3.67% |
| Kelly Criterion | 3.63% | 5.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.46% |
| Expected Shortfall (cVaR) | -2.58% | -0.69% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.19 |
| Gain/Pain (1M) | 0.79 | 1.04 |
| Payoff Ratio | 0.93 | 0.92 |
| Profit Factor | 1.14 | 1.19 |
| Common Sense Ratio | 1.15 | 1.34 |
| CPC Index | 0.57 | 0.6 |
| Tail Ratio | 1.0 | 1.13 |
| Outlier Win Ratio | 3.4 | 3.84 |
| Outlier Loss Ratio | 3.8 | 3.32 |
| MTD | 1.47% | -1.22% |
| 3M | 1.46% | -2.9% |
| 6M | 6.94% | -3.58% |
| YTD | 13.33% | -5.77% |
| 1Y | 13.43% | -5.51% |
| 3Y (ann.) | 20.78% | 4.81% |
| 5Y (ann.) | 12.86% | 4.5% |
| 10Y (ann.) | 11.91% | 4.45% |
| All-time (ann.) | 11.91% | 4.45% |
| Best Day | 10.5% | 1.95% |
| Worst Day | -5.85% | -1.68% |
| Best Month | 10.51% | 2.6% |
| Worst Month | -9.24% | -2.53% |
| Best Year | 26.18% | 16.73% |
| Worst Year | -18.18% | -5.77% |
| Avg. Drawdown | -1.94% | -0.59% |
| Avg. Drawdown Days | 21 | 19 |
| Recovery Factor | 2.58 | 2.92 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.43 | 0.44 |
| Avg. Up Month | 4.49% | 1.06% |
| Avg. Down Month | -3.78% | -1.47% |
| Win Days | 53.48% | 54.78% |
| Win Month | 62.3% | 67.21% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.09 |
| Alpha | - | 0.03 |
| Correlation | - | 32.36% |
| Treynor Ratio | - | 281.07% |
| Year | SPY | JMNAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.64 | 0.37 | - |
| 2022 | -18.18 | -2.38 | 0.13 | + |
| 2023 | 26.18 | 11.14 | 0.43 | - |
| 2024 | 24.89 | 16.73 | 0.67 | - |
| 2025 | 17.72 | 3.39 | 0.19 | - |
| 2026 | 13.33 | -5.77 | -0.43 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-28 | 2023-04-13 | -7.58 | 472 |
| 2025-09-16 | 2026-11-04 | -6.59 | 415 |
| 2025-01-24 | 2025-05-01 | -3.00 | 98 |
| 2021-12-09 | 2021-12-23 | -1.82 | 15 |
| 2024-02-08 | 2024-02-29 | -1.46 | 22 |
| 2021-11-17 | 2021-12-06 | -1.26 | 20 |
| 2023-06-02 | 2023-06-20 | -1.15 | 19 |
| 2023-07-19 | 2023-08-11 | -1.14 | 24 |
| 2023-11-28 | 2023-12-26 | -1.03 | 29 |
| 2025-08-05 | 2025-09-12 | -1.00 | 39 |