| Metric | SPY | PBAIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 70.69% | 55.76% |
| CAGR﹪ | 11.36% | 9.33% |
| Sharpe | 0.49 | 0.82 |
| Prob. Sharpe Ratio | 86.25% | 96.45% |
| Smart Sharpe | 0.47 | 0.78 |
| Sortino | 0.7 | 1.16 |
| Smart Sortino | 0.68 | 1.1 |
| Sortino/√2 | 0.5 | 0.82 |
| Smart Sortino/√2 | 0.48 | 0.78 |
| Omega | 1.14 | 1.28 |
| Max Drawdown | -26.35% | -6.79% |
| Max DD Date | 2022-10-12 | 2024-08-05 |
| Max DD Period Start | 2022-01-04 | 2024-07-11 |
| Max DD Period End | 2023-12-18 | 2024-10-15 |
| Longest DD Days | 714 | 169 |
| Volatility (ann.) | 17.16% | 6.43% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.43 | 1.37 |
| Skew | 0.33 | -0.41 |
| Kurtosis | 9.05 | 3.6 |
| Ulcer Performance Index | 7.55 | 39.39 |
| Risk-Adjusted Return | 11.36% | 10.03% |
| Risk-Return Ratio | 0.04 | 0.09 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.81% | 0.33% |
| Avg. Loss | -0.82% | -0.35% |
| Win/Loss Ratio | 0.98 | 0.93 |
| Profit Ratio | 0.86 | 0.56 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.88% | 0.73% |
| Expected Yearly | 9.32% | 7.67% |
| Kelly Criterion | 5.88% | 10.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.63% |
| Expected Shortfall (cVaR) | -2.58% | -0.95% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.28 |
| Gain/Pain (1M) | 0.74 | 2.8 |
| Payoff Ratio | 0.98 | 0.93 |
| Profit Factor | 1.14 | 1.28 |
| Common Sense Ratio | 1.13 | 1.36 |
| CPC Index | 0.59 | 0.68 |
| Tail Ratio | 1.0 | 1.06 |
| Outlier Win Ratio | 3.42 | 3.6 |
| Outlier Loss Ratio | 3.8 | 3.6 |
| MTD | 1.47% | 0.0% |
| 3M | 1.46% | 5.88% |
| 6M | 6.94% | 9.05% |
| YTD | 13.33% | 17.39% |
| 1Y | 13.43% | 18.14% |
| 3Y (ann.) | 20.78% | 11.35% |
| 5Y (ann.) | 12.3% | 9.42% |
| 10Y (ann.) | 11.36% | 9.33% |
| All-time (ann.) | 11.36% | 9.33% |
| Best Day | 10.5% | 1.94% |
| Worst Day | -5.85% | -2.26% |
| Best Month | 10.51% | 4.4% |
| Worst Month | -10.5% | -2.26% |
| Best Year | 26.18% | 17.39% |
| Worst Year | -20.18% | 2.25% |
| Avg. Drawdown | -1.98% | -0.89% |
| Avg. Drawdown Days | 21 | 18 |
| Recovery Factor | 2.31 | 6.68 |
| Ulcer Index | 0.09 | 0.01 |
| Serenity Index | 0.34 | 3.71 |
| Avg. Up Month | 4.02% | 1.58% |
| Avg. Down Month | -3.76% | -0.71% |
| Win Days | 53.44% | 56.76% |
| Win Month | 62.3% | 66.67% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.09 |
| Alpha | - | 0.08 |
| Correlation | - | 24.29% |
| Treynor Ratio | - | 612.94% |
| Year | SPY | PBAIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 2.25 | 1.30 | + |
| 2022 | -20.18 | 5.92 | -0.29 | + |
| 2023 | 26.18 | 2.68 | 0.10 | - |
| 2024 | 24.89 | 12.08 | 0.49 | - |
| 2025 | 17.72 | 6.46 | 0.36 | - |
| 2026 | 13.33 | 17.39 | 1.31 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-11 | 2024-10-15 | -6.79 | 97 |
| 2025-02-11 | 2025-05-09 | -5.98 | 88 |
| 2022-01-04 | 2022-04-07 | -4.60 | 94 |
| 2022-04-11 | 2022-09-20 | -3.81 | 163 |
| 2022-12-28 | 2023-04-21 | -3.67 | 115 |
| 2025-08-28 | 2026-02-12 | -2.99 | 169 |
| 2023-09-29 | 2024-01-10 | -2.73 | 104 |
| 2024-04-12 | 2024-07-09 | -2.65 | 89 |
| 2024-10-21 | 2024-11-08 | -1.77 | 19 |
| 2026-03-23 | 2026-04-08 | -1.69 | 17 |