| Metric | SPY | PASIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 84.0% |
| Cumulative Return | 77.83% | 22.62% |
| CAGR﹪ | 12.4% | 4.23% |
| Sharpe | 0.54 | 0.08 |
| Prob. Sharpe Ratio | 88.66% | 57.26% |
| Smart Sharpe | 0.53 | 0.08 |
| Sortino | 0.78 | 0.12 |
| Smart Sortino | 0.76 | 0.11 |
| Sortino/√2 | 0.55 | 0.08 |
| Smart Sortino/√2 | 0.54 | 0.08 |
| Omega | 1.15 | 1.17 |
| Max Drawdown | -24.5% | -4.57% |
| Max DD Date | 2022-10-12 | 2022-07-14 |
| Max DD Period Start | 2022-01-04 | 2022-04-21 |
| Max DD Period End | 2023-12-12 | 2023-01-05 |
| Longest DD Days | 708 | 260 |
| Volatility (ann.) | 17.18% | 5.12% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.51 | 0.93 |
| Skew | 0.35 | -0.2 |
| Kurtosis | 9.07 | 26.49 |
| Ulcer Performance Index | 9.16 | 15.07 |
| Risk-Adjusted Return | 12.4% | 5.03% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.91% | 0.26% |
| Avg. Loss | -0.96% | -0.28% |
| Win/Loss Ratio | 0.96 | 0.95 |
| Profit Ratio | 0.86 | 0.42 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 0.95% | 0.33% |
| Expected Yearly | 10.07% | 3.46% |
| Kelly Criterion | 4.95% | 7.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.51% |
| Expected Shortfall (cVaR) | -2.58% | -0.82% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.15 | 0.17 |
| Gain/Pain (1M) | 0.81 | 1.0 |
| Payoff Ratio | 0.96 | 0.95 |
| Profit Factor | 1.15 | 1.17 |
| Common Sense Ratio | 1.17 | 1.42 |
| CPC Index | 0.59 | 0.61 |
| Tail Ratio | 1.02 | 1.22 |
| Outlier Win Ratio | 3.4 | 4.62 |
| Outlier Loss Ratio | 3.81 | 3.23 |
| MTD | 1.47% | 0.29% |
| 3M | 1.46% | -1.44% |
| 6M | 6.94% | -1.34% |
| YTD | 14.84% | 1.08% |
| 1Y | 14.94% | 1.53% |
| 3Y (ann.) | 21.85% | 6.01% |
| 5Y (ann.) | 13.37% | 4.66% |
| 10Y (ann.) | 12.4% | 4.23% |
| All-time (ann.) | 12.4% | 4.23% |
| Best Day | 10.5% | 3.64% |
| Worst Day | -5.85% | -3.65% |
| Best Month | 10.51% | 2.49% |
| Worst Month | -9.24% | -2.69% |
| Best Year | 26.18% | 7.83% |
| Worst Year | -18.18% | 0.22% |
| Avg. Drawdown | -1.91% | -0.83% |
| Avg. Drawdown Days | 21 | 23 |
| Recovery Factor | 2.65 | 4.61 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.43 | 1.35 |
| Avg. Up Month | 4.21% | 1.2% |
| Avg. Down Month | -3.47% | -1.12% |
| Win Days | 53.51% | 54.99% |
| Win Month | 62.3% | 65.57% |
| Win Quarter | 71.43% | 61.9% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.16 |
| Alpha | - | 0.02 |
| Correlation | - | 54.74% |
| Treynor Ratio | - | 138.52% |
| Year | SPY | PASIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.46 | 0.27 | - |
| 2022 | -18.18 | 0.22 | -0.01 | + |
| 2023 | 26.18 | 4.84 | 0.18 | - |
| 2024 | 24.89 | 6.58 | 0.26 | - |
| 2025 | 18.06 | 7.83 | 0.43 | - |
| 2026 | 14.84 | 1.08 | 0.07 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-04-21 | 2023-01-05 | -4.57 | 260 |
| 2021-12-30 | 2022-04-19 | -4.39 | 111 |
| 2023-12-18 | 2024-03-18 | -4.01 | 92 |
| 2026-02-27 | 2026-05-05 | -3.36 | 68 |
| 2023-03-06 | 2023-09-13 | -3.21 | 192 |
| 2026-06-16 | 2026-11-04 | -3.03 | 142 |
| 2025-02-20 | 2025-05-06 | -2.99 | 76 |
| 2024-12-05 | 2025-01-30 | -2.43 | 57 |
| 2023-09-22 | 2023-11-13 | -2.17 | 53 |
| 2024-08-01 | 2024-08-14 | -1.98 | 14 |