| Metric | SPY | JMNAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 18.6% | -0.5% |
| CAGR﹪ | 40.67% | -0.99% |
| Sharpe | 2.32 | -0.88 |
| Prob. Sharpe Ratio | 95.04% | 26.84% |
| Smart Sharpe | 2.3 | -0.87 |
| Sortino | 3.78 | -1.18 |
| Smart Sortino | 3.75 | -1.16 |
| Sortino/√2 | 2.67 | -0.83 |
| Smart Sortino/√2 | 2.65 | -0.82 |
| Omega | 1.54 | 0.97 |
| Max Drawdown | -4.49% | -2.86% |
| Max DD Date | 2026-06-10 | 2026-07-29 |
| Max DD Period Start | 2026-06-03 | 2026-04-27 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 149 |
| Volatility (ann.) | 13.55% | 5.09% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.18 | -0.18 |
| Calmar | 9.05 | -0.35 |
| Skew | 0.1 | -0.01 |
| Kurtosis | 1.12 | 2.94 |
| Ulcer Performance Index | 11.86 | -0.34 |
| Risk-Adjusted Return | 40.67% | -1.09% |
| Risk-Return Ratio | 0.16 | -0.01 |
| Avg. Return | 0.15% | -0.0% |
| Avg. Win | 0.88% | 0.27% |
| Avg. Loss | -0.71% | -0.3% |
| Win/Loss Ratio | 1.24 | 0.88 |
| Profit Ratio | 1.12 | 0.55 |
| Expected Daily | 0.14% | -0.0% |
| Expected Monthly | 2.47% | -0.07% |
| Expected Yearly | 18.6% | -0.5% |
| Kelly Criterion | 16.79% | -1.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.53% |
| Expected Shortfall (cVaR) | -1.77% | -0.75% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | -0.03 |
| Gain/Pain (1M) | 10.92 | -0.12 |
| Payoff Ratio | 1.24 | 0.88 |
| Profit Factor | 1.54 | 0.97 |
| Common Sense Ratio | 2.01 | 0.7 |
| CPC Index | 1.03 | 0.45 |
| Tail Ratio | 1.3 | 0.72 |
| Outlier Win Ratio | 3.21 | 4.82 |
| Outlier Loss Ratio | 3.16 | 2.44 |
| MTD | 1.08% | 0.36% |
| 3M | 3.82% | -1.54% |
| 6M | 18.6% | -0.5% |
| YTD | 18.6% | -0.5% |
| 1Y | 18.6% | -0.5% |
| 3Y (ann.) | 40.67% | -0.99% |
| 5Y (ann.) | 40.67% | -0.99% |
| 10Y (ann.) | 40.67% | -0.99% |
| All-time (ann.) | 40.67% | -0.99% |
| Best Day | 2.91% | 1.15% |
| Worst Day | -2.58% | -1.27% |
| Best Month | 10.51% | 1.85% |
| Worst Month | -1.03% | -1.47% |
| Best Year | 18.6% | -0.5% |
| Worst Year | 18.6% | -0.5% |
| Avg. Drawdown | -1.13% | -1.28% |
| Avg. Drawdown Days | 9 | 57 |
| Recovery Factor | 3.9 | 0.15 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | -0.04 |
| Avg. Up Month | 5.79% | 0.6% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 52.63% |
| Win Month | 71.43% | 50.0% |
| Win Quarter | 66.67% | 50.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.14 |
| Alpha | - | -0.06 |
| Correlation | - | 37.65% |
| Treynor Ratio | - | -3.5% |
| Year | SPY | JMNAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | -0.50 | -0.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-04-27 | 2026-09-22 | -2.86 | 149 |
| 2026-03-26 | 2026-04-07 | -0.64 | 13 |
| 2026-04-16 | 2026-04-23 | -0.35 | 8 |