| Metric | SPY | JMNAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 86.0% |
| Cumulative Return | 86.58% | 31.02% |
| CAGR﹪ | 13.36% | 5.58% |
| Sharpe | 0.59 | 0.39 |
| Prob. Sharpe Ratio | 90.85% | 80.97% |
| Smart Sharpe | 0.58 | 0.39 |
| Sortino | 0.86 | 0.56 |
| Smart Sortino | 0.83 | 0.56 |
| Sortino/√2 | 0.61 | 0.4 |
| Smart Sortino/√2 | 0.59 | 0.39 |
| Omega | 1.16 | 1.24 |
| 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.) | 17.2% | 4.41% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.74 |
| Skew | 0.32 | -0.06 |
| Kurtosis | 8.95 | 4.23 |
| Ulcer Performance Index | 10.24 | 12.76 |
| Risk-Adjusted Return | 13.36% | 6.49% |
| Risk-Return Ratio | 0.05 | 0.08 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.88% | 0.26% |
| Avg. Loss | -0.96% | -0.27% |
| Win/Loss Ratio | 0.91 | 0.93 |
| Profit Ratio | 0.83 | 0.48 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.44% |
| Expected Yearly | 10.95% | 4.61% |
| Kelly Criterion | 3.68% | 7.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.44% |
| Expected Shortfall (cVaR) | -2.58% | -0.65% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.24 |
| Gain/Pain (1M) | 0.87 | 1.55 |
| Payoff Ratio | 0.91 | 0.93 |
| Profit Factor | 1.16 | 1.24 |
| Common Sense Ratio | 1.17 | 1.42 |
| CPC Index | 0.57 | 0.64 |
| Tail Ratio | 1.01 | 1.14 |
| Outlier Win Ratio | 3.41 | 3.93 |
| Outlier Loss Ratio | 3.77 | 3.35 |
| MTD | 1.08% | 0.36% |
| 3M | 3.82% | -1.54% |
| 6M | 19.85% | -0.28% |
| YTD | 14.3% | -3.43% |
| 1Y | 17.78% | -3.69% |
| 3Y (ann.) | 24.86% | 6.5% |
| 5Y (ann.) | 13.06% | 5.32% |
| 10Y (ann.) | 13.36% | 5.58% |
| All-time (ann.) | 13.36% | 5.58% |
| Best Day | 10.5% | 1.95% |
| Worst Day | -5.85% | -1.68% |
| Best Month | 10.51% | 2.6% |
| Worst Month | -9.24% | -2.07% |
| Best Year | 26.18% | 16.73% |
| Worst Year | -18.18% | -3.43% |
| Avg. Drawdown | -1.89% | -0.56% |
| Avg. Drawdown Days | 20 | 17 |
| Recovery Factor | 2.85 | 3.63 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.47 | 0.56 |
| Avg. Up Month | 4.45% | 1.07% |
| Avg. Down Month | -4.15% | -1.07% |
| Win Days | 54.04% | 55.17% |
| Win Month | 63.93% | 68.85% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.09 |
| Alpha | - | 0.04 |
| Correlation | - | 33.73% |
| Treynor Ratio | - | 358.43% |
| Year | SPY | JMNAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 3.62 | 0.48 | - |
| 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 | 14.30 | -3.43 | -0.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-28 | 2023-04-13 | -7.58 | 472 |
| 2025-09-16 | 2026-09-22 | -5.02 | 372 |
| 2025-01-24 | 2025-05-01 | -3.00 | 98 |
| 2021-12-09 | 2021-12-23 | -1.82 | 15 |
| 2024-02-08 | 2024-02-28 | -1.46 | 21 |
| 2021-11-19 | 2021-12-06 | -1.26 | 18 |
| 2023-06-02 | 2023-06-21 | -1.15 | 20 |
| 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 |