| Metric | SPY | JMNAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 204.97% | 44.2% |
| CAGR﹪ | 16.25% | 5.07% |
| Sharpe | 0.72 | 0.42 |
| Prob. Sharpe Ratio | 97.45% | 87.02% |
| Smart Sharpe | 0.63 | 0.4 |
| Sortino | 1.02 | 0.58 |
| Smart Sortino | 0.88 | 0.55 |
| Sortino/√2 | 0.72 | 0.41 |
| Smart Sortino/√2 | 0.62 | 0.39 |
| Omega | 1.18 | 1.19 |
| Max Drawdown | -33.72% | -7.58% |
| Max DD Date | 2020-03-23 | 2022-05-09 |
| Max DD Period Start | 2020-02-20 | 2021-12-28 |
| Max DD Period End | 2020-08-07 | 2023-04-13 |
| Longest DD Days | 708 | 472 |
| Volatility (ann.) | 19.45% | 5.31% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.67 |
| Skew | -0.29 | -0.44 |
| Kurtosis | 13.94 | 7.74 |
| Ulcer Performance Index | 25.91 | 17.76 |
| Risk-Adjusted Return | 16.25% | 5.83% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.92% | 0.28% |
| Avg. Loss | -0.97% | -0.3% |
| Win/Loss Ratio | 0.96 | 0.93 |
| Profit Ratio | 0.78 | 0.47 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.41% |
| Expected Yearly | 14.96% | 4.68% |
| Kelly Criterion | 8.21% | 7.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.53% |
| Expected Shortfall (cVaR) | -3.2% | -0.87% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.19 |
| Gain/Pain (1M) | 1.15 | 1.12 |
| Payoff Ratio | 0.96 | 0.93 |
| Profit Factor | 1.18 | 1.19 |
| Common Sense Ratio | 1.13 | 1.26 |
| CPC Index | 0.62 | 0.61 |
| Tail Ratio | 0.96 | 1.06 |
| Outlier Win Ratio | 3.69 | 4.07 |
| Outlier Loss Ratio | 4.12 | 3.34 |
| 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.) | 16.25% | 5.07% |
| All-time (ann.) | 16.25% | 5.07% |
| Best Day | 10.5% | 2.3% |
| Worst Day | -10.94% | -2.54% |
| Best Month | 12.7% | 3.51% |
| Worst Month | -12.49% | -3.84% |
| Best Year | 28.73% | 16.73% |
| Worst Year | -18.18% | -5.77% |
| Avg. Drawdown | -1.79% | -0.79% |
| Avg. Drawdown Days | 16 | 22 |
| Recovery Factor | 3.72 | 4.97 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.03 | 0.91 |
| Avg. Up Month | 4.67% | 1.06% |
| Avg. Down Month | -3.27% | -1.54% |
| Win Days | 55.15% | 55.25% |
| Win Month | 65.56% | 67.78% |
| Win Quarter | 77.42% | 70.97% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.08 |
| Alpha | - | 0.04 |
| Correlation | - | 28.23% |
| Treynor Ratio | - | 573.63% |
| Year | SPY | JMNAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 0.59 | 0.04 | - |
| 2020 | 18.33 | 11.95 | 0.65 | - |
| 2021 | 28.73 | 3.79 | 0.13 | - |
| 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 |
| 2020-11-05 | 2021-10-27 | -7.39 | 357 |
| 2025-09-16 | 2026-11-04 | -6.59 | 415 |
| 2019-08-28 | 2020-01-28 | -5.00 | 154 |
| 2020-05-18 | 2020-08-24 | -4.19 | 99 |
| 2025-01-24 | 2025-05-01 | -3.00 | 98 |
| 2020-03-16 | 2020-03-27 | -2.80 | 12 |
| 2020-04-17 | 2020-05-05 | -2.03 | 19 |
| 2021-12-09 | 2021-12-23 | -1.82 | 15 |
| 2020-04-07 | 2020-04-14 | -1.74 | 8 |