| Metric | SPY | SMNAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 93.31% | 28.26% |
| CAGR﹪ | 17.1% | 6.14% |
| Sharpe | 0.78 | 0.2 |
| Prob. Sharpe Ratio | 94.74% | 65.68% |
| Smart Sharpe | 0.75 | 0.19 |
| Sortino | 1.16 | 0.28 |
| Smart Sortino | 1.11 | 0.28 |
| Sortino/√2 | 0.82 | 0.2 |
| Smart Sortino/√2 | 0.78 | 0.2 |
| Omega | 1.21 | 1.12 |
| Max Drawdown | -18.76% | -10.26% |
| Max DD Date | 2025-04-08 | 2025-08-13 |
| Max DD Period Start | 2025-02-20 | 2024-09-04 |
| Max DD Period End | 2025-06-25 | 2026-05-15 |
| Longest DD Days | 160 | 619 |
| Volatility (ann.) | 15.97% | 9.34% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.91 | 0.6 |
| Skew | 0.67 | -0.04 |
| Kurtosis | 13.77 | 0.57 |
| Ulcer Performance Index | 23.0 | 7.07 |
| Risk-Adjusted Return | 17.1% | 6.33% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.59% | 0.4% |
| Avg. Loss | -0.55% | -0.38% |
| Win/Loss Ratio | 1.08 | 1.07 |
| Profit Ratio | 0.83 | 0.91 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.28% | 0.48% |
| Expected Yearly | 14.09% | 5.1% |
| Kelly Criterion | 12.45% | 5.34% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.59% | -0.94% |
| Expected Shortfall (cVaR) | -2.3% | -1.29% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.21 | 0.12 |
| Gain/Pain (1M) | 1.32 | 0.74 |
| Payoff Ratio | 1.08 | 1.07 |
| Profit Factor | 1.21 | 1.12 |
| Common Sense Ratio | 1.22 | 1.16 |
| CPC Index | 0.71 | 0.61 |
| Tail Ratio | 1.0 | 1.04 |
| Outlier Win Ratio | 3.57 | 3.16 |
| Outlier Loss Ratio | 3.63 | 3.28 |
| MTD | 1.47% | -1.44% |
| 3M | 1.46% | 6.76% |
| 6M | 6.94% | 10.76% |
| YTD | 13.33% | 13.07% |
| 1Y | 13.43% | 15.83% |
| 3Y (ann.) | 20.78% | 4.81% |
| 5Y (ann.) | 17.1% | 6.14% |
| 10Y (ann.) | 17.1% | 6.14% |
| All-time (ann.) | 17.1% | 6.14% |
| Best Day | 10.5% | 2.12% |
| Worst Day | -5.85% | -1.84% |
| Best Month | 10.51% | 7.03% |
| Worst Month | -9.24% | -5.31% |
| Best Year | 26.18% | 13.07% |
| Worst Year | -8.04% | 0.69% |
| Avg. Drawdown | -1.89% | -1.88% |
| Avg. Drawdown Days | 15 | 39 |
| Recovery Factor | 3.8 | 2.6 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 1.68 | 0.47 |
| Avg. Up Month | 3.87% | 1.83% |
| Avg. Down Month | -2.49% | -0.59% |
| Win Days | 54.61% | 50.98% |
| Win Month | 65.38% | 59.62% |
| Win Quarter | 77.78% | 66.67% |
| Win Year | 80.0% | 100.0% |
| Beta | - | -0.2 |
| Alpha | - | 0.1 |
| Correlation | - | -33.36% |
| Treynor Ratio | - | -144.9% |
| Year | SPY | SMNAX | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -8.04 | 6.77 | -0.84 | + |
| 2023 | 26.18 | 0.69 | 0.03 | - |
| 2024 | 24.89 | 3.80 | 0.15 | - |
| 2025 | 17.72 | 1.65 | 0.09 | - |
| 2026 | 13.33 | 13.07 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-09-04 | 2026-05-15 | -10.26 | 619 |
| 2023-11-13 | 2024-03-13 | -7.33 | 122 |
| 2022-12-28 | 2023-09-21 | -6.83 | 268 |
| 2026-05-20 | 2026-06-09 | -4.89 | 21 |
| 2026-06-11 | 2026-07-16 | -4.40 | 36 |
| 2024-03-22 | 2024-06-17 | -4.18 | 88 |
| 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 |
| 2024-06-21 | 2024-08-27 | -2.76 | 68 |