| Metric | SPY | MNA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 14.39% | 2.93% |
| CAGR﹪ | 14.51% | 2.95% |
| Sharpe | 0.83 | -0.15 |
| Prob. Sharpe Ratio | 79.61% | 44.22% |
| Smart Sharpe | 0.82 | -0.11 |
| Sortino | 1.22 | -0.2 |
| Smart Sortino | 1.2 | -0.15 |
| Sortino/√2 | 0.86 | -0.14 |
| Smart Sortino/√2 | 0.85 | -0.1 |
| Omega | 1.2 | 1.12 |
| 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 | 46 |
| Volatility (ann.) | 12.86% | 4.48% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.63 | 2.11 |
| Skew | -0.02 | -0.23 |
| Kurtosis | 0.78 | 0.95 |
| Ulcer Performance Index | 6.68 | 5.73 |
| Risk-Adjusted Return | 14.51% | 2.98% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.05% | 0.01% |
| Avg. Win | 0.7% | 0.23% |
| Avg. Loss | -0.66% | -0.24% |
| Win/Loss Ratio | 1.06 | 0.95 |
| Profit Ratio | 1.02 | 0.67 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.04% | 0.22% |
| Expected Yearly | 6.95% | 1.45% |
| Kelly Criterion | 6.66% | 8.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.45% |
| Expected Shortfall (cVaR) | -1.66% | -0.66% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.12 |
| Gain/Pain (1M) | 1.83 | 4.9 |
| Payoff Ratio | 1.06 | 0.95 |
| Profit Factor | 1.2 | 1.12 |
| Common Sense Ratio | 1.19 | 1.23 |
| CPC Index | 0.66 | 0.59 |
| Tail Ratio | 0.99 | 1.1 |
| Outlier Win Ratio | 2.84 | 3.38 |
| Outlier Loss Ratio | 3.01 | 3.13 |
| MTD | 1.47% | 0.0% |
| 3M | 1.46% | 0.77% |
| 6M | 6.94% | 1.4% |
| YTD | 13.33% | 2.99% |
| 1Y | 14.39% | 2.93% |
| 3Y (ann.) | 14.51% | 2.95% |
| 5Y (ann.) | 14.51% | 2.95% |
| 10Y (ann.) | 14.51% | 2.95% |
| All-time (ann.) | 14.51% | 2.95% |
| Best Day | 2.91% | 0.81% |
| Worst Day | -2.58% | -1.01% |
| Best Month | 10.51% | 1.06% |
| Worst Month | -4.94% | -0.45% |
| Best Year | 13.33% | 2.99% |
| Worst Year | 0.94% | -0.06% |
| Avg. Drawdown | -1.74% | -0.56% |
| Avg. Drawdown Days | 14 | 13 |
| Recovery Factor | 1.61 | 2.14 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 1.41 |
| Avg. Up Month | 2.84% | 0.29% |
| Avg. Down Month | - | - |
| Win Days | 52.0% | 55.69% |
| Win Month | 61.54% | 84.62% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.11 |
| Alpha | - | 0.01 |
| Correlation | - | 30.13% |
| Treynor Ratio | - | 27.86% |
| Year | SPY | MNA | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -0.06 | -0.07 | - |
| 2026 | 13.33 | 2.99 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-23 | 2026-04-07 | -1.40 | 44 |
| 2026-05-29 | 2026-07-13 | -1.26 | 46 |
| 2026-01-30 | 2026-02-06 | -0.99 | 8 |
| 2026-08-28 | 2026-09-24 | -0.90 | 28 |
| 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 |
| 2026-09-28 | 2026-10-27 | -0.76 | 30 |
| 2025-11-12 | 2025-11-26 | -0.75 | 15 |