| Metric | SPY | PBAIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 6.48% | 7.91% |
| CAGR﹪ | 13.27% | 16.3% |
| Sharpe | 0.78 | 2.04 |
| Prob. Sharpe Ratio | 70.87% | 93.89% |
| Smart Sharpe | 0.75 | 1.9 |
| Sortino | 1.14 | 3.63 |
| Smart Sortino | 1.09 | 3.38 |
| Sortino/√2 | 0.8 | 2.57 |
| Smart Sortino/√2 | 0.77 | 2.39 |
| Omega | 1.19 | 1.58 |
| Max Drawdown | -4.49% | -1.55% |
| Max DD Date | 2026-06-10 | 2026-06-25 |
| Max DD Period Start | 2026-06-03 | 2026-05-19 |
| Max DD Period End | 2026-07-31 | 2026-07-20 |
| Longest DD Days | 59 | 63 |
| Volatility (ann.) | 12.4% | 5.72% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 2.95 | 10.53 |
| Skew | -0.15 | 1.08 |
| Kurtosis | 0.59 | 4.15 |
| Ulcer Performance Index | 3.89 | 13.36 |
| Risk-Adjusted Return | 13.27% | 17.34% |
| Risk-Return Ratio | 0.07 | 0.17 |
| Avg. Return | 0.06% | 0.06% |
| Avg. Win | 0.7% | 0.33% |
| Avg. Loss | -0.58% | -0.23% |
| Win/Loss Ratio | 1.22 | 1.43 |
| Profit Ratio | 1.15 | 0.81 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 0.9% | 1.09% |
| Expected Yearly | 6.48% | 7.91% |
| Kelly Criterion | 9.66% | 24.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.53% |
| Expected Shortfall (cVaR) | -1.63% | -0.6% |
| Max Consecutive Wins | 4 | 4 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | 0.58 |
| Gain/Pain (1M) | 3.26 | 27.52 |
| Payoff Ratio | 1.22 | 1.43 |
| Profit Factor | 1.19 | 1.58 |
| Common Sense Ratio | 1.47 | 1.88 |
| CPC Index | 0.73 | 1.25 |
| Tail Ratio | 1.23 | 1.19 |
| Outlier Win Ratio | 2.66 | 3.21 |
| Outlier Loss Ratio | 3.07 | 2.35 |
| MTD | 1.47% | 0.0% |
| 3M | 1.46% | 5.88% |
| 6M | 6.48% | 7.91% |
| YTD | 6.48% | 7.91% |
| 1Y | 6.48% | 7.91% |
| 3Y (ann.) | 13.27% | 16.3% |
| 5Y (ann.) | 13.27% | 16.3% |
| 10Y (ann.) | 13.27% | 16.3% |
| All-time (ann.) | 13.27% | 16.3% |
| Best Day | 1.8% | 1.87% |
| Worst Day | -2.58% | -0.63% |
| Best Month | 4.52% | 2.82% |
| Worst Month | -1.03% | -0.29% |
| Best Year | 6.48% | 7.91% |
| Worst Year | 6.48% | 7.91% |
| Avg. Drawdown | -1.57% | -0.54% |
| Avg. Drawdown Days | 17 | 10 |
| Recovery Factor | 1.48 | 4.97 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.91 | 3.58 |
| Avg. Up Month | 2.41% | 1.13% |
| Avg. Down Month | -1.03% | -0.29% |
| Win Days | 50.39% | 55.46% |
| Win Month | 57.14% | 83.33% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.11 |
| Alpha | - | 0.14 |
| Correlation | - | 24.4% |
| Treynor Ratio | - | 70.21% |
| Year | SPY | PBAIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 7.91 | 1.22 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-19 | 2026-07-20 | -1.55 | 63 |
| 2026-09-28 | 2026-10-23 | -1.25 | 26 |
| 2026-07-22 | 2026-07-30 | -1.09 | 9 |
| 2026-08-18 | 2026-08-26 | -0.74 | 9 |
| 2026-09-21 | 2026-09-22 | -0.49 | 2 |
| 2026-10-29 | 2026-11-04 | -0.48 | 7 |
| 2026-08-06 | 2026-08-11 | -0.34 | 6 |
| 2026-09-14 | 2026-09-16 | -0.33 | 3 |
| 2026-05-06 | 2026-05-08 | -0.29 | 3 |
| 2026-08-28 | 2026-08-28 | -0.28 | 1 |