| Metric | SPY | PBAIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 17.87% | 14.13% |
| CAGR﹪ | 18.02% | 14.25% |
| Sharpe | 1.04 | 1.63 |
| Prob. Sharpe Ratio | 84.73% | 94.76% |
| Smart Sharpe | 1.01 | 1.38 |
| Sortino | 1.51 | 2.54 |
| Smart Sortino | 1.47 | 2.14 |
| Sortino/√2 | 1.07 | 1.8 |
| Smart Sortino/√2 | 1.04 | 1.51 |
| Omega | 1.25 | 1.48 |
| Max Drawdown | -8.88% | -2.44% |
| Max DD Date | 2026-03-30 | 2025-11-12 |
| Max DD Period Start | 2026-01-28 | 2025-10-01 |
| Max DD Period End | 2026-04-13 | 2026-02-06 |
| Longest DD Days | 76 | 129 |
| Volatility (ann.) | 12.99% | 5.83% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.03 | 5.84 |
| Skew | -0.15 | -0.03 |
| Kurtosis | 1.05 | 1.16 |
| Ulcer Performance Index | 8.3 | 14.97 |
| Risk-Adjusted Return | 18.02% | 15.49% |
| Risk-Return Ratio | 0.08 | 0.15 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.68% | 0.3% |
| Avg. Loss | -0.66% | -0.23% |
| Win/Loss Ratio | 1.03 | 1.31 |
| Profit Ratio | 0.94 | 0.7 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.27% | 1.02% |
| Expected Yearly | 8.57% | 6.83% |
| Kelly Criterion | 8.35% | 21.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.55% |
| Expected Shortfall (cVaR) | -1.72% | -0.75% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.48 |
| Gain/Pain (1M) | 2.6 | 5.26 |
| Payoff Ratio | 1.03 | 1.31 |
| Profit Factor | 1.25 | 1.48 |
| Common Sense Ratio | 1.24 | 1.7 |
| CPC Index | 0.69 | 1.07 |
| Tail Ratio | 0.99 | 1.15 |
| Outlier Win Ratio | 2.88 | 3.52 |
| Outlier Loss Ratio | 3.19 | 3.03 |
| MTD | 1.08% | 2.42% |
| 3M | 3.82% | 4.73% |
| 6M | 19.85% | 9.46% |
| YTD | 14.3% | 14.93% |
| 1Y | 17.87% | 14.13% |
| 3Y (ann.) | 18.02% | 14.25% |
| 5Y (ann.) | 18.02% | 14.25% |
| 10Y (ann.) | 18.02% | 14.25% |
| All-time (ann.) | 18.02% | 14.25% |
| Best Day | 2.91% | 1.06% |
| Worst Day | -2.7% | -1.45% |
| Best Month | 10.51% | 4.4% |
| Worst Month | -4.94% | -1.75% |
| Best Year | 14.3% | 14.93% |
| Worst Year | 3.13% | -0.69% |
| Avg. Drawdown | -1.71% | -0.64% |
| Avg. Drawdown Days | 13 | 12 |
| Recovery Factor | 1.94 | 5.49 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 2.51 |
| Avg. Up Month | 2.69% | 1.65% |
| Avg. Down Month | -1.03% | -0.29% |
| Win Days | 53.6% | 55.46% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | -0.01 |
| Alpha | - | 0.14 |
| Correlation | - | -1.61% |
| Treynor Ratio | - | -1952.14% |
| Year | SPY | PBAIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -0.69 | -0.22 | - |
| 2026 | 14.30 | 14.93 | 1.04 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-01 | 2026-02-06 | -2.44 | 129 |
| 2026-03-23 | 2026-04-08 | -1.69 | 17 |
| 2026-05-19 | 2026-07-20 | -1.55 | 63 |
| 2026-02-17 | 2026-02-27 | -1.18 | 11 |
| 2026-07-22 | 2026-07-30 | -1.09 | 9 |
| 2026-03-03 | 2026-03-04 | -0.99 | 2 |
| 2026-08-18 | 2026-08-26 | -0.74 | 9 |
| 2026-04-17 | 2026-04-21 | -0.60 | 5 |
| 2026-09-21 | 2026-09-22 | -0.49 | 2 |
| 2026-03-09 | 2026-03-10 | -0.43 | 2 |