| Metric | SPY | SMNAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 14.39% | 14.52% |
| CAGR﹪ | 14.51% | 14.65% |
| Sharpe | 0.83 | 0.93 |
| Prob. Sharpe Ratio | 79.61% | 82.25% |
| Smart Sharpe | 0.82 | 0.91 |
| Sortino | 1.22 | 1.41 |
| Smart Sortino | 1.2 | 1.39 |
| Sortino/√2 | 0.86 | 1.0 |
| Smart Sortino/√2 | 0.85 | 0.98 |
| Omega | 1.2 | 1.22 |
| Max Drawdown | -8.88% | -6.39% |
| Max DD Date | 2026-03-30 | 2026-01-16 |
| Max DD Period Start | 2026-01-28 | 2025-11-18 |
| Max DD Period End | 2026-04-13 | 2026-03-19 |
| Longest DD Days | 76 | 122 |
| Volatility (ann.) | 12.86% | 11.52% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 1.63 | 2.29 |
| Skew | -0.02 | 0.13 |
| Kurtosis | 0.78 | -0.01 |
| Ulcer Performance Index | 6.68 | 6.23 |
| Risk-Adjusted Return | 14.51% | 14.95% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.45% | 0.38% |
| Avg. Loss | -0.39% | -0.49% |
| Win/Loss Ratio | 1.17 | 0.79 |
| Profit Ratio | 1.02 | 1.0 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.04% | 1.05% |
| Expected Yearly | 6.95% | 7.02% |
| Kelly Criterion | 10.94% | -10.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.14% |
| Expected Shortfall (cVaR) | -1.66% | -1.41% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.2 | 0.22 |
| Gain/Pain (1M) | 1.83 | 1.7 |
| Payoff Ratio | 1.17 | 0.79 |
| Profit Factor | 1.2 | 1.22 |
| Common Sense Ratio | 1.19 | 1.44 |
| CPC Index | 0.73 | 0.49 |
| Tail Ratio | 0.99 | 1.18 |
| Outlier Win Ratio | 2.84 | 2.84 |
| Outlier Loss Ratio | 3.01 | 2.93 |
| MTD | 1.47% | -1.44% |
| 3M | 1.46% | 6.76% |
| 6M | 6.94% | 10.76% |
| YTD | 13.33% | 13.07% |
| 1Y | 14.39% | 14.52% |
| 3Y (ann.) | 14.51% | 14.65% |
| 5Y (ann.) | 14.51% | 14.65% |
| 10Y (ann.) | 14.51% | 14.65% |
| All-time (ann.) | 14.51% | 14.65% |
| Best Day | 2.91% | 2.12% |
| Worst Day | -2.58% | -1.84% |
| Best Month | 10.51% | 7.03% |
| Worst Month | -4.94% | -3.09% |
| Best Year | 13.33% | 13.07% |
| Worst Year | 0.94% | 1.28% |
| Avg. Drawdown | -1.74% | -2.24% |
| Avg. Drawdown Days | 14 | 18 |
| Recovery Factor | 1.61 | 2.23 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 0.84 |
| Avg. Up Month | 3.54% | 3.4% |
| Avg. Down Month | -0.86% | -1.18% |
| Win Days | 52.0% | 51.43% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.5 |
| Alpha | - | 0.22 |
| Correlation | - | -56.05% |
| Treynor Ratio | - | -28.94% |
| Year | SPY | SMNAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.28 | 1.37 | + |
| 2026 | 13.33 | 13.07 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-11-18 | 2026-03-19 | -6.39 | 122 |
| 2026-05-20 | 2026-06-09 | -4.89 | 21 |
| 2026-03-31 | 2026-04-28 | -4.58 | 29 |
| 2026-06-11 | 2026-07-16 | -4.40 | 36 |
| 2026-08-03 | 2026-08-31 | -3.81 | 29 |
| 2026-09-16 | 2026-10-07 | -3.05 | 22 |
| 2026-10-27 | 2026-11-04 | -2.93 | 9 |
| 2026-05-06 | 2026-05-14 | -1.92 | 9 |
| 2026-09-02 | 2026-09-09 | -1.19 | 8 |
| 2026-04-30 | 2026-05-04 | -1.00 | 5 |