| Metric | SPY | MNA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 74.99% | 14.53% |
| CAGR﹪ | 11.91% | 2.77% |
| Sharpe | 0.52 | -0.2 |
| Prob. Sharpe Ratio | 87.6% | 32.49% |
| Smart Sharpe | 0.5 | -0.18 |
| Sortino | 0.74 | -0.28 |
| Smart Sortino | 0.72 | -0.25 |
| Sortino/√2 | 0.53 | -0.2 |
| Smart Sortino/√2 | 0.51 | -0.17 |
| Omega | 1.14 | 1.1 |
| Max Drawdown | -24.5% | -7.4% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| Max DD Period Start | 2022-01-04 | 2021-11-18 |
| Max DD Period End | 2023-12-12 | 2024-07-30 |
| Longest DD Days | 708 | 986 |
| Volatility (ann.) | 17.19% | 4.96% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.37 |
| Skew | 0.33 | -0.15 |
| Kurtosis | 8.98 | 3.11 |
| Ulcer Performance Index | 8.86 | 6.05 |
| Risk-Adjusted Return | 11.91% | 2.85% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.01% |
| Avg. Win | 0.86% | 0.26% |
| Avg. Loss | -0.88% | -0.27% |
| Win/Loss Ratio | 0.98 | 0.96 |
| Profit Ratio | 0.86 | 0.77 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.22% |
| Expected Yearly | 9.77% | 2.29% |
| Kelly Criterion | 5.93% | 2.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.5% |
| Expected Shortfall (cVaR) | -2.58% | -0.75% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.1 |
| Gain/Pain (1M) | 0.79 | 0.88 |
| Payoff Ratio | 0.98 | 0.96 |
| Profit Factor | 1.14 | 1.1 |
| Common Sense Ratio | 1.15 | 1.12 |
| CPC Index | 0.6 | 0.56 |
| Tail Ratio | 1.0 | 1.01 |
| Outlier Win Ratio | 3.4 | 3.69 |
| Outlier Loss Ratio | 3.8 | 3.61 |
| MTD | 1.47% | 0.0% |
| 3M | 1.46% | 0.77% |
| 6M | 6.94% | 1.4% |
| YTD | 13.33% | 2.99% |
| 1Y | 13.43% | 2.93% |
| 3Y (ann.) | 20.78% | 6.31% |
| 5Y (ann.) | 12.86% | 3.12% |
| 10Y (ann.) | 11.91% | 2.77% |
| All-time (ann.) | 11.91% | 2.77% |
| Best Day | 10.5% | 1.66% |
| Worst Day | -5.85% | -1.58% |
| Best Month | 10.51% | 1.95% |
| Worst Month | -9.24% | -1.99% |
| Best Year | 26.18% | 8.59% |
| Worst Year | -18.18% | -1.61% |
| Avg. Drawdown | -1.94% | -0.58% |
| Avg. Drawdown Days | 21 | 27 |
| Recovery Factor | 2.58 | 1.92 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.43 | 0.38 |
| Avg. Up Month | 3.87% | 0.78% |
| Avg. Down Month | -4.88% | -1.11% |
| Win Days | 53.48% | 52.54% |
| Win Month | 62.3% | 67.21% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.13 |
| Alpha | - | 0.01 |
| Correlation | - | 45.79% |
| Treynor Ratio | - | 110.07% |
| Year | SPY | MNA | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.98 | -0.57 | - |
| 2022 | -18.18 | -1.61 | 0.09 | + |
| 2023 | 26.18 | 0.18 | 0.01 | - |
| 2024 | 24.89 | 4.93 | 0.20 | - |
| 2025 | 17.72 | 8.59 | 0.48 | - |
| 2026 | 13.33 | 2.99 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-18 | 2024-07-30 | -7.40 | 986 |
| 2025-04-03 | 2025-04-09 | -2.21 | 7 |
| 2026-02-23 | 2026-04-07 | -1.40 | 44 |
| 2026-05-29 | 2026-07-13 | -1.26 | 46 |
| 2025-09-19 | 2025-12-10 | -1.22 | 83 |
| 2024-09-18 | 2024-12-23 | -1.18 | 97 |
| 2025-08-19 | 2025-09-17 | -1.00 | 30 |
| 2026-01-30 | 2026-02-06 | -0.99 | 8 |
| 2025-04-14 | 2025-05-02 | -0.92 | 19 |
| 2026-08-28 | 2026-09-24 | -0.90 | 28 |