| Metric | SPY | PASIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 84.0% |
| Cumulative Return | 89.61% | 24.5% |
| CAGR﹪ | 13.87% | 4.55% |
| Sharpe | 0.62 | 0.16 |
| Prob. Sharpe Ratio | 91.71% | 63.51% |
| Smart Sharpe | 0.61 | 0.14 |
| Sortino | 0.9 | 0.22 |
| Smart Sortino | 0.88 | 0.2 |
| Sortino/√2 | 0.64 | 0.15 |
| Smart Sortino/√2 | 0.62 | 0.14 |
| Omega | 1.16 | 1.18 |
| 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.) | 17.19% | 5.11% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.57 | 1.0 |
| Skew | 0.33 | -0.21 |
| Kurtosis | 9.03 | 26.84 |
| Ulcer Performance Index | 10.55 | 16.95 |
| Risk-Adjusted Return | 13.87% | 5.42% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.92% | 0.26% |
| Avg. Loss | -0.97% | -0.28% |
| Win/Loss Ratio | 0.95 | 0.95 |
| Profit Ratio | 0.83 | 0.42 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.05% | 0.36% |
| Expected Yearly | 11.25% | 3.72% |
| Kelly Criterion | 5.62% | 7.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.72% | -0.51% |
| Expected Shortfall (cVaR) | -2.59% | -0.82% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.18 |
| Gain/Pain (1M) | 0.89 | 1.13 |
| Payoff Ratio | 0.95 | 0.95 |
| Profit Factor | 1.16 | 1.18 |
| Common Sense Ratio | 1.19 | 1.45 |
| CPC Index | 0.6 | 0.62 |
| Tail Ratio | 1.02 | 1.22 |
| Outlier Win Ratio | 3.41 | 4.62 |
| Outlier Loss Ratio | 3.79 | 3.25 |
| MTD | 1.08% | 0.48% |
| 3M | 3.82% | -1.23% |
| 6M | 19.85% | 3.07% |
| YTD | 15.82% | 2.36% |
| 1Y | 20.81% | 4.02% |
| 3Y (ann.) | 26.03% | 7.77% |
| 5Y (ann.) | 13.57% | 4.61% |
| 10Y (ann.) | 13.87% | 4.55% |
| All-time (ann.) | 13.87% | 4.55% |
| 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 | -1.87% | -0.82% |
| Avg. Drawdown Days | 20 | 21 |
| Recovery Factor | 2.91 | 4.94 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.48 | 1.51 |
| Avg. Up Month | 4.28% | 1.18% |
| Avg. Down Month | -3.71% | -1.13% |
| Win Days | 54.08% | 55.17% |
| Win Month | 63.93% | 67.21% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.16 |
| Alpha | - | 0.02 |
| Correlation | - | 54.56% |
| Treynor Ratio | - | 151.11% |
| Year | SPY | PASIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.73 | 0.10 | - |
| 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 | 15.82 | 2.36 | 0.15 | - |
| 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 | 2024-03-19 | -4.01 | 93 |
| 2026-02-27 | 2026-05-05 | -3.36 | 68 |
| 2023-03-06 | 2023-09-13 | -3.21 | 192 |
| 2025-02-20 | 2025-05-06 | -2.99 | 76 |
| 2026-06-16 | 2026-09-22 | -2.65 | 99 |
| 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 |