| Metric | SPY | MNA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 86.58% | 13.31% |
| CAGR﹪ | 13.36% | 2.54% |
| Sharpe | 0.59 | -0.23 |
| Prob. Sharpe Ratio | 90.85% | 30.04% |
| Smart Sharpe | 0.58 | -0.2 |
| Sortino | 0.86 | -0.32 |
| Smart Sortino | 0.83 | -0.28 |
| Sortino/√2 | 0.61 | -0.23 |
| Smart Sortino/√2 | 0.59 | -0.2 |
| Omega | 1.16 | 1.1 |
| Max Drawdown | -24.5% | -8.8% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| Max DD Period Start | 2022-01-04 | 2021-10-04 |
| Max DD Period End | 2023-12-12 | 2024-08-27 |
| Longest DD Days | 708 | 1059 |
| Volatility (ann.) | 17.2% | 4.95% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.55 | 0.29 |
| Skew | 0.32 | -0.14 |
| Kurtosis | 8.95 | 3.13 |
| Ulcer Performance Index | 10.24 | 3.88 |
| Risk-Adjusted Return | 13.36% | 2.65% |
| Risk-Return Ratio | 0.05 | 0.03 |
| 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 | 0.83 | 0.79 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.21% |
| Expected Yearly | 10.95% | 2.1% |
| Kelly Criterion | 7.22% | 2.27% |
| 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 | 0.16 | 0.1 |
| Gain/Pain (1M) | 0.87 | 0.76 |
| Payoff Ratio | 0.98 | 0.96 |
| Profit Factor | 1.16 | 1.1 |
| Common Sense Ratio | 1.17 | 1.11 |
| CPC Index | 0.61 | 0.55 |
| Tail Ratio | 1.01 | 1.01 |
| Outlier Win Ratio | 3.41 | 3.69 |
| Outlier Loss Ratio | 3.77 | 3.63 |
| MTD | 1.08% | 0.77% |
| 3M | 3.82% | 1.55% |
| 6M | 19.85% | 2.29% |
| YTD | 14.3% | 3.11% |
| 1Y | 17.78% | 3.31% |
| 3Y (ann.) | 24.86% | 6.18% |
| 5Y (ann.) | 13.06% | 2.52% |
| 10Y (ann.) | 13.36% | 2.54% |
| All-time (ann.) | 13.36% | 2.54% |
| 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% | -2.15% |
| Avg. Drawdown | -1.89% | -0.64% |
| Avg. Drawdown Days | 20 | 31 |
| Recovery Factor | 2.85 | 1.49 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.47 | 0.18 |
| Avg. Up Month | 3.86% | 0.8% |
| Avg. Down Month | -4.51% | -1.11% |
| Win Days | 54.04% | 52.12% |
| Win Month | 63.93% | 63.93% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.13 |
| Alpha | - | 0.01 |
| Correlation | - | 46.1% |
| Treynor Ratio | - | 100.26% |
| Year | SPY | MNA | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -2.15 | -0.29 | - |
| 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 | 14.30 | 3.11 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-04 | 2024-08-27 | -8.80 | 1059 |
| 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 | 2026-09-22 | -0.90 | 26 |