| Metric | SPY | SMNAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | 5.94% |
| CAGR﹪ | 40.67% | 12.23% |
| Sharpe | 2.32 | 0.67 |
| Prob. Sharpe Ratio | 95.04% | 68.26% |
| Smart Sharpe | 2.3 | 0.66 |
| Sortino | 3.78 | 0.99 |
| Smart Sortino | 3.75 | 0.97 |
| Sortino/√2 | 2.67 | 0.7 |
| Smart Sortino/√2 | 2.65 | 0.68 |
| Omega | 1.54 | 1.16 |
| 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.) | 13.55% | 13.01% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 9.05 | 2.5 |
| Skew | 0.1 | 0.02 |
| Kurtosis | 1.12 | -0.38 |
| Ulcer Performance Index | 11.86 | 2.79 |
| Risk-Adjusted Return | 40.67% | 12.23% |
| Risk-Return Ratio | 0.16 | 0.06 |
| Avg. Return | 0.14% | 0.05% |
| Avg. Win | 0.48% | 0.35% |
| Avg. Loss | -0.25% | -0.6% |
| Win/Loss Ratio | 1.95 | 0.59 |
| Profit Ratio | 1.12 | 0.84 |
| Expected Daily | 0.14% | 0.05% |
| Expected Monthly | 2.47% | 0.83% |
| Expected Yearly | 18.6% | 5.94% |
| Kelly Criterion | 30.37% | -25.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.3% |
| Expected Shortfall (cVaR) | -1.77% | -1.54% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.54 | 0.16 |
| Gain/Pain (1M) | 10.92 | 1.54 |
| Payoff Ratio | 1.95 | 0.59 |
| Profit Factor | 1.54 | 1.16 |
| Common Sense Ratio | 2.01 | 1.34 |
| CPC Index | 1.62 | 0.36 |
| Tail Ratio | 1.3 | 1.16 |
| Outlier Win Ratio | 3.21 | 2.63 |
| Outlier Loss Ratio | 3.16 | 2.64 |
| MTD | 1.08% | 0.65% |
| 3M | 3.82% | 6.05% |
| 6M | 18.6% | 5.94% |
| YTD | 18.6% | 5.94% |
| 1Y | 18.6% | 5.94% |
| 3Y (ann.) | 40.67% | 12.23% |
| 5Y (ann.) | 40.67% | 12.23% |
| 10Y (ann.) | 40.67% | 12.23% |
| All-time (ann.) | 40.67% | 12.23% |
| Best Day | 2.91% | 1.99% |
| Worst Day | -2.58% | -1.84% |
| Best Month | 10.51% | 7.03% |
| Worst Month | -1.03% | -3.09% |
| Best Year | 18.6% | 5.94% |
| Worst Year | 18.6% | 5.94% |
| Avg. Drawdown | -1.13% | -2.41% |
| Avg. Drawdown Days | 9 | 13 |
| Recovery Factor | 3.9 | 1.26 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.75 | 0.54 |
| Avg. Up Month | 3.87% | 2.77% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 53.6% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.56 |
| Alpha | - | 0.32 |
| Correlation | - | -58.79% |
| Treynor Ratio | - | -10.52% |
| Year | SPY | SMNAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 5.94 | 0.32 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 | 2026-09-22 | -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 |
| 2026-07-27 | 2026-07-28 | -0.79 | 2 |
| 2026-03-25 | 2026-03-25 | -0.50 | 1 |