| Metric | SPY | MMNIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 61.0% |
| Cumulative Return | 68.98% | 24.67% |
| CAGR﹪ | 21.39% | 8.49% |
| Sharpe | 1.02 | 2.02 |
| Prob. Sharpe Ratio | 95.69% | 99.97% |
| Smart Sharpe | 0.94 | 1.56 |
| Sortino | 1.51 | 3.42 |
| Smart Sortino | 1.39 | 2.63 |
| Sortino/√2 | 1.07 | 2.42 |
| Smart Sortino/√2 | 0.98 | 1.86 |
| Omega | 1.28 | 2.43 |
| Max Drawdown | -18.76% | -1.21% |
| Max DD Date | 2025-04-08 | 2026-09-21 |
| Max DD Period Start | 2025-02-20 | 2026-07-30 |
| Max DD Period End | 2025-06-25 | 2026-09-22 |
| Longest DD Days | 126 | 55 |
| Volatility (ann.) | 15.61% | 1.74% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.14 | 7.0 |
| Skew | 0.96 | 0.84 |
| Kurtosis | 21.5 | 5.88 |
| Ulcer Performance Index | 20.61 | 154.12 |
| Risk-Adjusted Return | 21.39% | 13.91% |
| Risk-Return Ratio | 0.08 | 0.3 |
| Avg. Return | 0.04% | 0.05% |
| Avg. Win | 0.6% | 0.13% |
| Avg. Loss | -0.66% | -0.12% |
| Win/Loss Ratio | 0.91 | 1.08 |
| Profit Ratio | 0.76 | 0.13 |
| Expected Daily | 0.08% | 0.03% |
| Expected Monthly | 1.6% | 0.67% |
| Expected Yearly | 19.11% | 7.63% |
| Kelly Criterion | 8.63% | 39.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.54% | -0.15% |
| Expected Shortfall (cVaR) | -2.26% | -0.2% |
| Max Consecutive Wins | 10 | 5 |
| Max Consecutive Losses | 6 | 3 |
| Gain/Pain Ratio | 0.28 | 1.43 |
| Gain/Pain (1M) | 2.7 | 15.46 |
| Payoff Ratio | 0.91 | 1.08 |
| Profit Factor | 1.28 | 2.43 |
| Common Sense Ratio | 1.2 | 4.68 |
| CPC Index | 0.66 | 1.81 |
| Tail Ratio | 0.94 | 1.93 |
| Outlier Win Ratio | 3.26 | 4.26 |
| Outlier Loss Ratio | 3.91 | 1.65 |
| MTD | 1.08% | -0.69% |
| 3M | 3.82% | -0.42% |
| 6M | 19.85% | 1.75% |
| YTD | 14.3% | 3.41% |
| 1Y | 17.78% | 6.26% |
| 3Y (ann.) | 21.39% | 8.49% |
| 5Y (ann.) | 21.39% | 8.49% |
| 10Y (ann.) | 21.39% | 8.49% |
| All-time (ann.) | 21.39% | 8.49% |
| Best Day | 10.5% | 0.89% |
| Worst Day | -5.85% | -0.28% |
| Best Month | 10.51% | 1.6% |
| Worst Month | -5.57% | -0.69% |
| Best Year | 25.59% | 10.04% |
| Worst Year | 14.3% | 3.41% |
| Avg. Drawdown | -1.57% | -0.16% |
| Avg. Drawdown Days | 11 | 5 |
| Recovery Factor | 2.97 | 18.21 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 1.66 | 27.8 |
| Avg. Up Month | 3.31% | 0.88% |
| Avg. Down Month | -4.48% | -0.28% |
| Win Days | 56.45% | 68.6% |
| Win Month | 72.73% | 87.88% |
| Win Quarter | 81.82% | 90.91% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.09 |
| Correlation | - | -20.79% |
| Treynor Ratio | - | -1064.21% |
| Year | SPY | MMNIX | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 25.59 | 9.56 | 0.37 | - |
| 2025 | 17.72 | 10.04 | 0.57 | - |
| 2026 | 14.30 | 3.41 | 0.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-30 | 2026-09-22 | -1.21 | 55 |
| 2024-04-10 | 2024-05-02 | -0.49 | 23 |
| 2026-02-24 | 2026-04-10 | -0.46 | 46 |
| 2024-06-25 | 2024-07-10 | -0.39 | 16 |
| 2024-08-09 | 2024-08-23 | -0.29 | 15 |
| 2025-04-04 | 2025-04-15 | -0.28 | 12 |
| 2024-11-25 | 2024-12-05 | -0.28 | 11 |
| 2025-08-20 | 2025-08-22 | -0.27 | 3 |
| 2026-06-23 | 2026-06-24 | -0.26 | 2 |
| 2024-05-29 | 2024-05-31 | -0.20 | 3 |