| Metric | SPY | MNA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 204.97% | 19.38% |
| CAGR﹪ | 16.25% | 2.42% |
| Sharpe | 0.72 | -0.03 |
| Prob. Sharpe Ratio | 97.45% | 46.54% |
| Smart Sharpe | 0.63 | -0.02 |
| Sortino | 1.02 | -0.04 |
| Smart Sortino | 0.88 | -0.03 |
| Sortino/√2 | 0.72 | -0.03 |
| Smart Sortino/√2 | 0.62 | -0.02 |
| Omega | 1.18 | 1.08 |
| Max Drawdown | -33.72% | -16.68% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2020-01-27 |
| Max DD Period End | 2020-08-07 | 2020-09-28 |
| Longest DD Days | 708 | 1359 |
| Volatility (ann.) | 19.45% | 7.1% |
| R^2 | 0.25 | 0.25 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.15 |
| Skew | -0.29 | -2.52 |
| Kurtosis | 13.94 | 65.99 |
| Ulcer Performance Index | 25.91 | 4.33 |
| Risk-Adjusted Return | 16.25% | 2.5% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.9% | 0.3% |
| Avg. Loss | -0.97% | -0.33% |
| Win/Loss Ratio | 0.92 | 0.91 |
| Profit Ratio | 0.78 | 0.8 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.25% | 0.2% |
| Expected Yearly | 14.96% | 2.24% |
| Kelly Criterion | 6.58% | -0.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.73% |
| Expected Shortfall (cVaR) | -3.2% | -1.4% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.08 |
| Gain/Pain (1M) | 1.15 | 0.59 |
| Payoff Ratio | 0.92 | 0.91 |
| Profit Factor | 1.18 | 1.08 |
| Common Sense Ratio | 1.13 | 1.09 |
| CPC Index | 0.6 | 0.52 |
| Tail Ratio | 0.96 | 1.0 |
| Outlier Win Ratio | 3.69 | 3.91 |
| Outlier Loss Ratio | 4.12 | 3.73 |
| 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.) | 16.25% | 2.42% |
| All-time (ann.) | 16.25% | 2.42% |
| Best Day | 10.5% | 5.17% |
| Worst Day | -10.94% | -7.41% |
| Best Month | 12.7% | 4.15% |
| Worst Month | -12.49% | -8.56% |
| Best Year | 28.73% | 8.59% |
| Worst Year | -18.18% | -3.24% |
| Avg. Drawdown | -1.79% | -0.92% |
| Avg. Drawdown Days | 16 | 35 |
| Recovery Factor | 3.72 | 1.18 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 1.03 | 0.21 |
| Avg. Up Month | 4.0% | 0.93% |
| Avg. Down Month | -5.28% | -1.75% |
| Win Days | 55.15% | 51.95% |
| Win Month | 65.56% | 65.56% |
| Win Quarter | 77.42% | 67.74% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.18 |
| Alpha | - | -0.0 |
| Correlation | - | 50.35% |
| Treynor Ratio | - | 105.42% |
| Year | SPY | MNA | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 3.85 | 0.23 | - |
| 2020 | 18.33 | 2.72 | 0.15 | - |
| 2021 | 28.73 | -3.24 | -0.11 | - |
| 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 |
|---|---|---|---|
| 2020-01-27 | 2020-09-28 | -16.68 | 246 |
| 2021-04-27 | 2025-01-14 | -10.74 | 1359 |
| 2021-01-12 | 2021-04-20 | -3.98 | 99 |
| 2020-11-09 | 2021-01-07 | -2.33 | 60 |
| 2025-04-03 | 2025-04-09 | -2.21 | 7 |
| 2019-06-05 | 2019-09-04 | -1.60 | 92 |
| 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 |
| 2025-08-19 | 2025-09-17 | -1.00 | 30 |