| Metric | SPY | MMNIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 61.0% |
| Cumulative Return | 67.55% | 23.89% |
| CAGR﹪ | 20.01% | 7.86% |
| Sharpe | 0.96 | 1.72 |
| Prob. Sharpe Ratio | 95.06% | 99.85% |
| Smart Sharpe | 0.89 | 1.38 |
| Sortino | 1.42 | 2.8 |
| Smart Sortino | 1.31 | 2.24 |
| Sortino/√2 | 1.0 | 1.98 |
| Smart Sortino/√2 | 0.93 | 1.58 |
| Omega | 1.27 | 2.25 |
| Max Drawdown | -18.76% | -2.45% |
| Max DD Date | 2025-04-08 | 2026-10-14 |
| Max DD Period Start | 2025-02-20 | 2026-07-30 |
| Max DD Period End | 2025-06-25 | 2026-11-04 |
| Longest DD Days | 126 | 98 |
| Volatility (ann.) | 15.45% | 1.77% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.07 | 3.21 |
| Skew | 0.95 | 0.66 |
| Kurtosis | 21.49 | 5.66 |
| Ulcer Performance Index | 20.54 | 61.07 |
| Risk-Adjusted Return | 20.01% | 12.89% |
| Risk-Return Ratio | 0.08 | 0.27 |
| Avg. Return | 0.04% | 0.05% |
| Avg. Win | 0.61% | 0.13% |
| Avg. Loss | -0.63% | -0.13% |
| Win/Loss Ratio | 0.96 | 1.0 |
| Profit Ratio | 0.78 | 0.13 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.49% | 0.61% |
| Expected Yearly | 18.77% | 7.4% |
| Kelly Criterion | 10.35% | 35.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.52% | -0.15% |
| Expected Shortfall (cVaR) | -2.2% | -0.21% |
| Max Consecutive Wins | 10 | 5 |
| Max Consecutive Losses | 6 | 3 |
| Gain/Pain Ratio | 0.27 | 1.25 |
| Gain/Pain (1M) | 2.52 | 10.46 |
| Payoff Ratio | 0.96 | 1.0 |
| Profit Factor | 1.27 | 2.25 |
| Common Sense Ratio | 1.2 | 2.44 |
| CPC Index | 0.68 | 1.52 |
| Tail Ratio | 0.95 | 1.08 |
| Outlier Win Ratio | 3.22 | 4.3 |
| Outlier Loss Ratio | 3.88 | 2.08 |
| MTD | 1.47% | 0.0% |
| 3M | 1.46% | -1.39% |
| 6M | 6.94% | 0.12% |
| YTD | 13.33% | 2.77% |
| 1Y | 13.43% | 4.27% |
| 3Y (ann.) | 20.01% | 7.86% |
| 5Y (ann.) | 20.01% | 7.86% |
| 10Y (ann.) | 20.01% | 7.86% |
| All-time (ann.) | 20.01% | 7.86% |
| Best Day | 10.5% | 0.89% |
| Worst Day | -5.85% | -0.45% |
| Best Month | 10.51% | 1.6% |
| Worst Month | -5.57% | -1.13% |
| Best Year | 25.59% | 10.04% |
| Worst Year | 13.33% | 2.77% |
| Avg. Drawdown | -1.6% | -0.17% |
| Avg. Drawdown Days | 12 | 5 |
| Recovery Factor | 2.93 | 8.77 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 1.65 | 3.95 |
| Avg. Up Month | 3.31% | 0.88% |
| Avg. Down Month | -2.55% | -0.47% |
| Win Days | 56.1% | 67.75% |
| Win Month | 68.57% | 85.29% |
| Win Quarter | 83.33% | 83.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.08 |
| Correlation | - | -19.06% |
| Treynor Ratio | - | -1093.37% |
| Year | SPY | MMNIX | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 25.59 | 9.56 | 0.37 | - |
| 2025 | 17.72 | 10.04 | 0.57 | - |
| 2026 | 13.33 | 2.77 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-30 | 2026-11-04 | -2.45 | 98 |
| 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 |