| Metric | SPY | MNA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 17.87% | 2.51% |
| CAGR﹪ | 18.02% | 2.53% |
| Sharpe | 1.04 | -0.31 |
| Prob. Sharpe Ratio | 84.73% | 37.87% |
| Smart Sharpe | 1.01 | -0.23 |
| Sortino | 1.51 | -0.42 |
| Smart Sortino | 1.47 | -0.31 |
| Sortino/√2 | 1.07 | -0.3 |
| Smart Sortino/√2 | 1.04 | -0.22 |
| Omega | 1.25 | 1.1 |
| Max Drawdown | -8.88% | -1.4% |
| Max DD Date | 2026-03-30 | 2026-03-18 |
| Max DD Period Start | 2026-01-28 | 2026-02-23 |
| Max DD Period End | 2026-04-13 | 2026-04-07 |
| Longest DD Days | 76 | 78 |
| Volatility (ann.) | 12.99% | 4.42% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 2.03 | 1.81 |
| Skew | -0.15 | -0.24 |
| Kurtosis | 1.05 | 1.13 |
| Ulcer Performance Index | 8.3 | 4.48 |
| Risk-Adjusted Return | 18.02% | 2.58% |
| Risk-Return Ratio | 0.08 | 0.04 |
| Avg. Return | 0.07% | 0.01% |
| Avg. Win | 0.71% | 0.23% |
| Avg. Loss | -0.64% | -0.24% |
| Win/Loss Ratio | 1.11 | 0.94 |
| Profit Ratio | 0.94 | 0.73 |
| Expected Daily | 0.07% | 0.01% |
| Expected Monthly | 1.27% | 0.19% |
| Expected Yearly | 8.57% | 1.25% |
| Kelly Criterion | 11.81% | 5.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.45% |
| Expected Shortfall (cVaR) | -1.72% | -0.65% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.1 |
| Gain/Pain (1M) | 2.6 | 2.22 |
| Payoff Ratio | 1.11 | 0.94 |
| Profit Factor | 1.25 | 1.1 |
| Common Sense Ratio | 1.24 | 1.08 |
| CPC Index | 0.74 | 0.57 |
| Tail Ratio | 0.99 | 0.98 |
| Outlier Win Ratio | 2.88 | 3.41 |
| Outlier Loss Ratio | 3.19 | 3.27 |
| MTD | 1.08% | 0.77% |
| 3M | 3.82% | 1.55% |
| 6M | 19.85% | 2.29% |
| YTD | 14.3% | 3.11% |
| 1Y | 17.87% | 2.51% |
| 3Y (ann.) | 18.02% | 2.53% |
| 5Y (ann.) | 18.02% | 2.53% |
| 10Y (ann.) | 18.02% | 2.53% |
| All-time (ann.) | 18.02% | 2.53% |
| Best Day | 2.91% | 0.81% |
| Worst Day | -2.7% | -1.01% |
| Best Month | 10.51% | 1.06% |
| Worst Month | -4.94% | -0.45% |
| Best Year | 14.3% | 3.11% |
| Worst Year | 3.13% | -0.58% |
| Avg. Drawdown | -1.71% | -0.62% |
| Avg. Drawdown Days | 13 | 17 |
| Recovery Factor | 1.94 | 1.84 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 1.11 |
| Avg. Up Month | 2.66% | 0.43% |
| Avg. Down Month | - | - |
| Win Days | 53.6% | 54.29% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.11 |
| Alpha | - | 0.01 |
| Correlation | - | 32.63% |
| Treynor Ratio | - | 22.55% |
| Year | SPY | MNA | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -0.58 | -0.19 | - |
| 2026 | 14.30 | 3.11 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-23 | 2026-04-07 | -1.40 | 44 |
| 2026-05-29 | 2026-07-13 | -1.26 | 46 |
| 2025-09-24 | 2025-12-10 | -1.19 | 78 |
| 2026-01-30 | 2026-02-06 | -0.99 | 8 |
| 2026-08-28 | 2026-09-22 | -0.90 | 26 |
| 2025-12-12 | 2026-01-20 | -0.86 | 40 |
| 2026-05-13 | 2026-05-27 | -0.85 | 15 |
| 2026-04-09 | 2026-05-05 | -0.82 | 27 |
| 2026-07-15 | 2026-08-03 | -0.78 | 20 |
| 2026-05-07 | 2026-05-11 | -0.74 | 5 |