| Metric | SPY | PBAIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 14.39% | 18.14% |
| CAGR﹪ | 14.51% | 18.3% |
| Sharpe | 0.83 | 2.13 |
| Prob. Sharpe Ratio | 79.61% | 98.46% |
| Smart Sharpe | 0.82 | 1.78 |
| Sortino | 1.22 | 3.48 |
| Smart Sortino | 1.2 | 2.89 |
| Sortino/√2 | 0.86 | 2.46 |
| Smart Sortino/√2 | 0.85 | 2.05 |
| Omega | 1.2 | 1.59 |
| Max Drawdown | -8.88% | -1.69% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-03-23 |
| Max DD Period End | 2026-04-13 | 2026-04-08 |
| Longest DD Days | 76 | 63 |
| Volatility (ann.) | 12.86% | 6.24% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.63 | 10.85 |
| Skew | -0.02 | 0.28 |
| Kurtosis | 0.78 | 2.13 |
| Ulcer Performance Index | 6.68 | 30.58 |
| Risk-Adjusted Return | 14.51% | 19.68% |
| Risk-Return Ratio | 0.07 | 0.17 |
| Avg. Return | 0.05% | 0.07% |
| Avg. Win | 0.68% | 0.32% |
| Avg. Loss | -0.61% | -0.24% |
| Win/Loss Ratio | 1.1 | 1.36 |
| Profit Ratio | 1.02 | 0.66 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.04% | 1.29% |
| Expected Yearly | 6.95% | 8.69% |
| Kelly Criterion | 8.55% | 26.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.58% |
| Expected Shortfall (cVaR) | -1.66% | -0.77% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.59 |
| Gain/Pain (1M) | 1.83 | 21.49 |
| Payoff Ratio | 1.1 | 1.36 |
| Profit Factor | 1.2 | 1.59 |
| Common Sense Ratio | 1.19 | 1.99 |
| CPC Index | 0.69 | 1.25 |
| Tail Ratio | 0.99 | 1.25 |
| Outlier Win Ratio | 2.84 | 3.34 |
| Outlier Loss Ratio | 3.01 | 2.86 |
| MTD | 1.47% | 0.0% |
| 3M | 1.46% | 5.88% |
| 6M | 6.94% | 9.05% |
| YTD | 13.33% | 17.39% |
| 1Y | 14.39% | 18.14% |
| 3Y (ann.) | 14.51% | 18.3% |
| 5Y (ann.) | 14.51% | 18.3% |
| 10Y (ann.) | 14.51% | 18.3% |
| All-time (ann.) | 14.51% | 18.3% |
| Best Day | 2.91% | 1.87% |
| Worst Day | -2.58% | -1.45% |
| Best Month | 10.51% | 4.4% |
| Worst Month | -4.94% | -0.51% |
| Best Year | 13.33% | 17.39% |
| Worst Year | 0.94% | 0.64% |
| Avg. Drawdown | -1.74% | -0.62% |
| Avg. Drawdown Days | 14 | 9 |
| Recovery Factor | 1.61 | 10.0 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 8.53 |
| Avg. Up Month | 3.34% | 1.73% |
| Avg. Down Month | -1.03% | -0.29% |
| Win Days | 52.0% | 57.76% |
| Win Month | 61.54% | 83.33% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.0 |
| Alpha | - | 0.17 |
| Correlation | - | -0.35% |
| Treynor Ratio | - | -10730.14% |
| Year | SPY | PBAIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.64 | 0.68 | - |
| 2026 | 13.33 | 17.39 | 1.31 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-23 | 2026-04-08 | -1.69 | 17 |
| 2026-05-19 | 2026-07-20 | -1.55 | 63 |
| 2026-01-07 | 2026-02-03 | -1.38 | 28 |
| 2026-09-28 | 2026-10-23 | -1.25 | 26 |
| 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 |
| 2025-12-09 | 2025-12-19 | -0.88 | 11 |
| 2025-11-19 | 2025-12-04 | -0.83 | 16 |
| 2026-08-18 | 2026-08-26 | -0.74 | 9 |