| Metric | SPY | MMNIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 61.0% |
| Cumulative Return | 14.39% | 4.37% |
| CAGR﹪ | 14.51% | 4.4% |
| Sharpe | 0.83 | 0.38 |
| Prob. Sharpe Ratio | 79.61% | 64.63% |
| Smart Sharpe | 0.82 | 0.32 |
| Sortino | 1.22 | 0.53 |
| Smart Sortino | 1.2 | 0.45 |
| Sortino/√2 | 0.86 | 0.37 |
| Smart Sortino/√2 | 0.85 | 0.32 |
| Omega | 1.2 | 1.57 |
| Max Drawdown | -8.88% | -2.45% |
| Max DD Date | 2026-03-30 | 2026-10-14 |
| Max DD Period Start | 2026-01-28 | 2026-08-14 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 83 |
| Volatility (ann.) | 12.86% | 1.75% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.63 | 1.8 |
| Skew | -0.02 | -0.39 |
| Kurtosis | 0.78 | 1.23 |
| Ulcer Performance Index | 6.68 | 6.76 |
| Risk-Adjusted Return | 14.51% | 7.22% |
| Risk-Return Ratio | 0.07 | 0.16 |
| Avg. Return | 0.04% | 0.03% |
| Avg. Win | 0.64% | 0.13% |
| Avg. Loss | -0.53% | -0.14% |
| Win/Loss Ratio | 1.22 | 0.88 |
| Profit Ratio | 1.02 | 0.14 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.04% | 0.33% |
| Expected Yearly | 6.95% | 2.16% |
| Kelly Criterion | 12.5% | 19.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.16% |
| Expected Shortfall (cVaR) | -1.66% | -0.21% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.2 | 0.57 |
| Gain/Pain (1M) | 1.83 | 2.31 |
| Payoff Ratio | 1.22 | 0.88 |
| Profit Factor | 1.2 | 1.57 |
| Common Sense Ratio | 1.19 | 1.58 |
| CPC Index | 0.76 | 0.86 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.84 | 4.4 |
| Outlier Loss Ratio | 3.01 | 2.0 |
| MTD | 1.47% | 0.0% |
| 3M | 1.46% | -1.39% |
| 6M | 6.94% | 0.12% |
| YTD | 13.33% | 2.77% |
| 1Y | 14.39% | 4.37% |
| 3Y (ann.) | 14.51% | 4.4% |
| 5Y (ann.) | 14.51% | 4.4% |
| 10Y (ann.) | 14.51% | 4.4% |
| All-time (ann.) | 14.51% | 4.4% |
| Best Day | 2.91% | 0.27% |
| Worst Day | -2.58% | -0.45% |
| Best Month | 10.51% | 1.37% |
| Worst Month | -4.94% | -1.13% |
| Best Year | 13.33% | 2.77% |
| Worst Year | 0.94% | 1.56% |
| Avg. Drawdown | -1.74% | -0.24% |
| Avg. Drawdown Days | 14 | 7 |
| Recovery Factor | 1.61 | 1.75 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 0.41 |
| Avg. Up Month | 3.04% | 0.86% |
| Avg. Down Month | -2.06% | -0.56% |
| Win Days | 52.0% | 62.5% |
| Win Month | 61.54% | 66.67% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.01 |
| Alpha | - | 0.05 |
| Correlation | - | -10.6% |
| Treynor Ratio | - | -302.73% |
| Year | SPY | MMNIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.56 | 1.66 | + |
| 2026 | 13.33 | 2.77 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-14 | 2026-11-04 | -2.45 | 83 |
| 2026-02-24 | 2026-04-10 | -0.46 | 46 |
| 2026-06-23 | 2026-06-24 | -0.26 | 2 |
| 2026-01-21 | 2026-01-22 | -0.18 | 2 |
| 2026-02-06 | 2026-02-06 | -0.18 | 1 |
| 2025-11-21 | 2025-11-21 | -0.18 | 1 |
| 2025-11-18 | 2025-11-19 | -0.18 | 2 |
| 2025-12-02 | 2025-12-03 | -0.18 | 2 |
| 2026-05-19 | 2026-05-20 | -0.18 | 2 |
| 2026-06-11 | 2026-06-12 | -0.18 | 2 |