| Metric | SPY | SMNAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 94.97% | 21.89% |
| CAGR﹪ | 17.91% | 5.01% |
| Sharpe | 0.82 | 0.08 |
| Prob. Sharpe Ratio | 95.23% | 56.07% |
| Smart Sharpe | 0.78 | 0.07 |
| Sortino | 1.21 | 0.11 |
| Smart Sortino | 1.16 | 0.11 |
| Sortino/√2 | 0.86 | 0.08 |
| Smart Sortino/√2 | 0.82 | 0.07 |
| Omega | 1.22 | 1.1 |
| 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.) | 16.09% | 9.27% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.96 | 0.49 |
| Skew | 0.67 | -0.06 |
| Kurtosis | 13.73 | 0.63 |
| Ulcer Performance Index | 23.12 | 5.4 |
| Risk-Adjusted Return | 17.91% | 5.16% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.59% | 0.4% |
| Avg. Loss | -0.55% | -0.38% |
| Win/Loss Ratio | 1.07 | 1.07 |
| Profit Ratio | 0.83 | 0.89 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.34% | 0.4% |
| Expected Yearly | 14.29% | 4.04% |
| Kelly Criterion | 12.61% | 5.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.6% | -0.94% |
| Expected Shortfall (cVaR) | -2.37% | -1.28% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.22 | 0.1 |
| Gain/Pain (1M) | 1.37 | 0.62 |
| Payoff Ratio | 1.07 | 1.07 |
| Profit Factor | 1.22 | 1.1 |
| Common Sense Ratio | 1.22 | 1.13 |
| CPC Index | 0.72 | 0.6 |
| Tail Ratio | 1.0 | 1.03 |
| Outlier Win Ratio | 3.57 | 3.23 |
| Outlier Loss Ratio | 3.64 | 3.29 |
| MTD | 1.08% | 0.65% |
| 3M | 3.82% | 6.05% |
| 6M | 19.85% | 5.33% |
| YTD | 14.3% | 7.46% |
| 1Y | 17.78% | 12.73% |
| 3Y (ann.) | 24.86% | 3.58% |
| 5Y (ann.) | 17.91% | 5.01% |
| 10Y (ann.) | 17.91% | 5.01% |
| All-time (ann.) | 17.91% | 5.01% |
| 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% | 7.46% |
| Worst Year | -8.04% | 0.69% |
| Avg. Drawdown | -1.87% | -1.97% |
| Avg. Drawdown Days | 15 | 43 |
| Recovery Factor | 3.84 | 2.1 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 1.67 | 0.37 |
| Avg. Up Month | 3.72% | 1.77% |
| Avg. Down Month | -2.49% | -0.59% |
| Win Days | 54.8% | 51.01% |
| Win Month | 68.0% | 60.0% |
| Win Quarter | 76.47% | 64.71% |
| Win Year | 80.0% | 100.0% |
| Beta | - | -0.19 |
| Alpha | - | 0.09 |
| Correlation | - | -32.61% |
| Treynor Ratio | - | -116.5% |
| 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 | 14.30 | 7.46 | 0.52 | - |
| 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 | 2026-09-22 | -3.05 | 7 |
| 2024-06-21 | 2024-08-27 | -2.76 | 68 |
| 2022-11-10 | 2022-11-17 | -2.19 | 8 |