| Metric | SPY | SMNAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 6.48% | 9.65% |
| CAGR﹪ | 13.27% | 20.06% |
| Sharpe | 0.78 | 1.18 |
| Prob. Sharpe Ratio | 70.87% | 79.82% |
| Smart Sharpe | 0.75 | 1.1 |
| Sortino | 1.14 | 1.79 |
| Smart Sortino | 1.09 | 1.67 |
| Sortino/√2 | 0.8 | 1.27 |
| Smart Sortino/√2 | 0.77 | 1.18 |
| Omega | 1.19 | 1.25 |
| Max Drawdown | -4.49% | -4.89% |
| Max DD Date | 2026-06-10 | 2026-05-29 |
| Max DD Period Start | 2026-06-03 | 2026-05-20 |
| Max DD Period End | 2026-07-31 | 2026-06-09 |
| Longest DD Days | 59 | 36 |
| Volatility (ann.) | 12.4% | 13.22% |
| R^2 | 0.39 | 0.39 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 2.95 | 4.1 |
| Skew | -0.15 | 0.01 |
| Kurtosis | 0.59 | -0.47 |
| Ulcer Performance Index | 3.89 | 4.85 |
| Risk-Adjusted Return | 13.27% | 20.26% |
| Risk-Return Ratio | 0.07 | 0.09 |
| Avg. Return | 0.05% | 0.08% |
| Avg. Win | 0.44% | 0.35% |
| Avg. Loss | -0.28% | -0.61% |
| Win/Loss Ratio | 1.55 | 0.58 |
| Profit Ratio | 1.15 | 0.94 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 0.9% | 1.32% |
| Expected Yearly | 6.48% | 9.65% |
| Kelly Criterion | 18.31% | -29.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.29% |
| Expected Shortfall (cVaR) | -1.63% | -1.54% |
| Max Consecutive Wins | 4 | 8 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.19 | 0.25 |
| Gain/Pain (1M) | 3.26 | 1.55 |
| Payoff Ratio | 1.55 | 0.58 |
| Profit Factor | 1.19 | 1.25 |
| Common Sense Ratio | 1.47 | 1.42 |
| CPC Index | 0.93 | 0.38 |
| Tail Ratio | 1.23 | 1.14 |
| Outlier Win Ratio | 2.66 | 2.48 |
| Outlier Loss Ratio | 3.07 | 2.74 |
| MTD | 1.47% | -1.44% |
| 3M | 1.46% | 6.76% |
| 6M | 6.48% | 9.65% |
| YTD | 6.48% | 9.65% |
| 1Y | 6.48% | 9.65% |
| 3Y (ann.) | 13.27% | 20.06% |
| 5Y (ann.) | 13.27% | 20.06% |
| 10Y (ann.) | 13.27% | 20.06% |
| All-time (ann.) | 13.27% | 20.06% |
| Best Day | 1.8% | 1.99% |
| Worst Day | -2.58% | -1.84% |
| Best Month | 4.52% | 7.03% |
| Worst Month | -1.03% | -3.81% |
| Best Year | 6.48% | 9.65% |
| Worst Year | 6.48% | 9.65% |
| Avg. Drawdown | -1.57% | -2.09% |
| Avg. Drawdown Days | 17 | 12 |
| Recovery Factor | 1.48 | 1.97 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.91 | 0.99 |
| Avg. Up Month | 0.03% | 7.03% |
| Avg. Down Month | - | - |
| Win Days | 50.39% | 52.8% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.66 |
| Alpha | - | 0.28 |
| Correlation | - | -62.34% |
| Treynor Ratio | - | -14.52% |
| Year | SPY | SMNAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 9.65 | 1.49 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-20 | 2026-06-09 | -4.89 | 21 |
| 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 |
| 2026-07-27 | 2026-07-28 | -0.79 | 2 |
| 2026-10-15 | 2026-10-15 | -0.57 | 1 |
| 2026-10-19 | 2026-10-22 | -0.57 | 4 |