| Metric | SPY | PASIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 85.0% |
| Cumulative Return | 209.93% | 40.15% |
| CAGR﹪ | 16.62% | 4.7% |
| Sharpe | 0.74 | 0.35 |
| Prob. Sharpe Ratio | 97.67% | 82.72% |
| Smart Sharpe | 0.64 | 0.32 |
| Sortino | 1.05 | 0.48 |
| Smart Sortino | 0.9 | 0.44 |
| Sortino/√2 | 0.74 | 0.34 |
| Smart Sortino/√2 | 0.64 | 0.31 |
| Omega | 1.19 | 1.18 |
| Max Drawdown | -33.72% | -9.88% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-18 |
| Max DD Period End | 2020-08-07 | 2020-07-09 |
| Longest DD Days | 708 | 626 |
| Volatility (ann.) | 19.46% | 5.33% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.49 | 0.48 |
| Skew | -0.28 | -0.68 |
| Kurtosis | 14.0 | 21.32 |
| Ulcer Performance Index | 26.45 | 22.89 |
| Risk-Adjusted Return | 16.62% | 5.52% |
| Risk-Return Ratio | 0.06 | 0.06 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.96% | 0.27% |
| Avg. Loss | -1.04% | -0.29% |
| Win/Loss Ratio | 0.92 | 0.93 |
| Profit Ratio | 0.78 | 0.42 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.26% | 0.38% |
| Expected Yearly | 15.19% | 4.31% |
| Kelly Criterion | 6.57% | 8.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.53% |
| Expected Shortfall (cVaR) | -3.22% | -0.87% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.19 | 0.18 |
| Gain/Pain (1M) | 1.17 | 1.19 |
| Payoff Ratio | 0.92 | 0.93 |
| Profit Factor | 1.19 | 1.18 |
| Common Sense Ratio | 1.15 | 1.21 |
| CPC Index | 0.6 | 0.61 |
| Tail Ratio | 0.97 | 1.02 |
| Outlier Win Ratio | 3.69 | 4.51 |
| Outlier Loss Ratio | 4.12 | 3.24 |
| 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.) | 16.62% | 4.7% |
| All-time (ann.) | 16.62% | 4.7% |
| Best Day | 10.5% | 3.64% |
| Worst Day | -10.94% | -3.65% |
| Best Month | 12.7% | 3.08% |
| Worst Month | -12.49% | -3.23% |
| Best Year | 28.73% | 9.47% |
| Worst Year | -18.18% | 0.22% |
| Avg. Drawdown | -1.78% | -0.79% |
| Avg. Drawdown Days | 16 | 23 |
| Recovery Factor | 3.77 | 3.52 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.04 | 1.53 |
| Avg. Up Month | 4.36% | 1.19% |
| Avg. Down Month | -3.82% | -1.07% |
| Win Days | 55.18% | 55.79% |
| Win Month | 65.56% | 65.56% |
| Win Quarter | 77.42% | 67.74% |
| Win Year | 87.5% | 100.0% |
| Beta | - | 0.19 |
| Alpha | - | 0.02 |
| Correlation | - | 67.98% |
| Treynor Ratio | - | 215.45% |
| Year | SPY | PASIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.21 | 0.13 | - |
| 2020 | 18.33 | 9.47 | 0.52 | - |
| 2021 | 28.73 | 2.63 | 0.09 | - |
| 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 |
|---|---|---|---|
| 2020-02-18 | 2020-07-09 | -9.88 | 143 |
| 2021-05-10 | 2023-01-25 | -5.19 | 626 |
| 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 |
| 2020-09-03 | 2020-10-08 | -2.31 | 36 |
| 2023-09-22 | 2023-11-13 | -2.17 | 53 |