| Metric | SPY | SMNAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 17.87% | 12.09% |
| CAGR﹪ | 18.02% | 12.2% |
| Sharpe | 1.04 | 0.72 |
| Prob. Sharpe Ratio | 84.73% | 76.5% |
| Smart Sharpe | 1.01 | 0.72 |
| Sortino | 1.51 | 1.09 |
| Smart Sortino | 1.47 | 1.09 |
| Sortino/√2 | 1.07 | 0.77 |
| Smart Sortino/√2 | 1.04 | 0.77 |
| Omega | 1.25 | 1.19 |
| 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.) | 12.99% | 11.3% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.03 | 1.91 |
| Skew | -0.15 | 0.16 |
| Kurtosis | 1.05 | 0.18 |
| Ulcer Performance Index | 8.3 | 5.06 |
| Risk-Adjusted Return | 18.02% | 12.45% |
| Risk-Return Ratio | 0.08 | 0.07 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.43% | 0.38% |
| Avg. Loss | -0.38% | -0.5% |
| Win/Loss Ratio | 1.16 | 0.76 |
| Profit Ratio | 0.94 | 0.89 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.27% | 0.88% |
| Expected Yearly | 8.57% | 5.87% |
| Kelly Criterion | 13.44% | -10.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.12% |
| Expected Shortfall (cVaR) | -1.72% | -1.4% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | 0.19 |
| Gain/Pain (1M) | 2.6 | 2.11 |
| Payoff Ratio | 1.16 | 0.76 |
| Profit Factor | 1.25 | 1.19 |
| Common Sense Ratio | 1.24 | 1.44 |
| CPC Index | 0.77 | 0.47 |
| Tail Ratio | 0.99 | 1.21 |
| Outlier Win Ratio | 2.88 | 3.13 |
| Outlier Loss Ratio | 3.19 | 2.89 |
| MTD | 1.08% | 0.65% |
| 3M | 3.82% | 6.05% |
| 6M | 19.85% | 5.33% |
| YTD | 14.3% | 7.46% |
| 1Y | 17.87% | 12.09% |
| 3Y (ann.) | 18.02% | 12.2% |
| 5Y (ann.) | 18.02% | 12.2% |
| 10Y (ann.) | 18.02% | 12.2% |
| All-time (ann.) | 18.02% | 12.2% |
| Best Day | 2.91% | 2.12% |
| Worst Day | -2.7% | -1.84% |
| Best Month | 10.51% | 7.03% |
| Worst Month | -4.94% | -3.09% |
| Best Year | 14.3% | 7.46% |
| Worst Year | 3.13% | 4.32% |
| Avg. Drawdown | -1.71% | -2.48% |
| Avg. Drawdown Days | 13 | 21 |
| Recovery Factor | 1.94 | 1.89 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 0.68 |
| Avg. Up Month | 2.1% | 1.8% |
| Avg. Down Month | -0.86% | -1.18% |
| Win Days | 53.6% | 52.46% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.47 |
| Alpha | - | 0.2 |
| Correlation | - | -54.0% |
| Treynor Ratio | - | -25.75% |
| Year | SPY | SMNAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 4.32 | 1.38 | + |
| 2026 | 14.30 | 7.46 | 0.52 | - |
| 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 |
| 2025-09-29 | 2025-10-29 | -3.15 | 31 |
| 2026-09-16 | 2026-09-22 | -3.05 | 7 |
| 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 |