| Metric | SPY | MNA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 18.6% | 1.46% |
| CAGR﹪ | 40.67% | 2.95% |
| Sharpe | 2.32 | -0.13 |
| Prob. Sharpe Ratio | 95.04% | 46.31% |
| Smart Sharpe | 2.3 | -0.1 |
| Sortino | 3.78 | -0.17 |
| Smart Sortino | 3.75 | -0.13 |
| Sortino/√2 | 2.67 | -0.12 |
| Smart Sortino/√2 | 2.65 | -0.09 |
| Omega | 1.54 | 1.12 |
| Max Drawdown | -4.49% | -1.26% |
| Max DD Date | 2026-06-10 | 2026-07-06 |
| Max DD Period Start | 2026-06-03 | 2026-05-29 |
| Max DD Period End | 2026-07-31 | 2026-07-13 |
| Longest DD Days | 59 | 46 |
| Volatility (ann.) | 13.55% | 4.56% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.15 | -0.15 |
| Calmar | 9.05 | 2.35 |
| Skew | 0.1 | -0.73 |
| Kurtosis | 1.12 | 1.83 |
| Ulcer Performance Index | 11.86 | 2.97 |
| Risk-Adjusted Return | 40.67% | 2.98% |
| Risk-Return Ratio | 0.16 | 0.04 |
| Avg. Return | 0.13% | 0.01% |
| Avg. Win | 0.83% | 0.22% |
| Avg. Loss | -0.59% | -0.22% |
| Win/Loss Ratio | 1.41 | 0.97 |
| Profit Ratio | 1.12 | 0.59 |
| Expected Daily | 0.14% | 0.01% |
| Expected Monthly | 2.47% | 0.21% |
| Expected Yearly | 18.6% | 1.46% |
| Kelly Criterion | 21.25% | 13.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.46% |
| Expected Shortfall (cVaR) | -1.77% | -0.72% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.12 |
| Gain/Pain (1M) | 10.92 | 3.06 |
| Payoff Ratio | 1.41 | 0.97 |
| Profit Factor | 1.54 | 1.12 |
| Common Sense Ratio | 2.01 | 0.86 |
| CPC Index | 1.17 | 0.62 |
| Tail Ratio | 1.3 | 0.77 |
| Outlier Win Ratio | 3.21 | 3.34 |
| Outlier Loss Ratio | 3.16 | 3.66 |
| MTD | 1.08% | 0.77% |
| 3M | 3.82% | 1.55% |
| 6M | 18.6% | 1.46% |
| YTD | 18.6% | 1.46% |
| 1Y | 18.6% | 1.46% |
| 3Y (ann.) | 40.67% | 2.95% |
| 5Y (ann.) | 40.67% | 2.95% |
| 10Y (ann.) | 40.67% | 2.95% |
| All-time (ann.) | 40.67% | 2.95% |
| Best Day | 2.91% | 0.69% |
| Worst Day | -2.58% | -1.01% |
| Best Month | 10.51% | 0.77% |
| Worst Month | -1.03% | -0.45% |
| Best Year | 18.6% | 1.46% |
| Worst Year | 18.6% | 1.46% |
| Avg. Drawdown | -1.13% | -0.57% |
| Avg. Drawdown Days | 9 | 14 |
| Recovery Factor | 3.9 | 1.2 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.75 | 0.88 |
| Avg. Up Month | 3.57% | 0.34% |
| Avg. Down Month | -0.77% | -0.05% |
| Win Days | 53.97% | 57.26% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.07 |
| Alpha | - | 0.0 |
| Correlation | - | 22.11% |
| Treynor Ratio | - | 19.64% |
| Year | SPY | MNA | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 1.46 | 0.08 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-29 | 2026-07-13 | -1.26 | 46 |
| 2026-08-28 | 2026-09-22 | -0.90 | 26 |
| 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 |
| 2026-03-25 | 2026-04-07 | -0.77 | 14 |
| 2026-05-07 | 2026-05-11 | -0.74 | 5 |
| 2026-08-17 | 2026-08-20 | -0.35 | 4 |
| 2026-08-11 | 2026-08-12 | -0.19 | 2 |
| 2026-08-24 | 2026-08-26 | -0.09 | 3 |