| Metric | SPY | PBAIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 197.48% | 67.35% |
| CAGR﹪ | 15.87% | 7.21% |
| Sharpe | 0.71 | 0.67 |
| Prob. Sharpe Ratio | 97.17% | 96.36% |
| Smart Sharpe | 0.61 | 0.62 |
| Sortino | 1.0 | 0.94 |
| Smart Sortino | 0.86 | 0.87 |
| Sortino/√2 | 0.7 | 0.66 |
| Smart Sortino/√2 | 0.61 | 0.62 |
| Omega | 1.18 | 1.21 |
| Max Drawdown | -33.72% | -8.94% |
| Max DD Date | 2020-03-23 | 2020-03-13 |
| Max DD Period Start | 2020-02-20 | 2020-02-19 |
| Max DD Period End | 2020-08-07 | 2020-05-06 |
| Longest DD Days | 714 | 383 |
| Volatility (ann.) | 19.43% | 6.45% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.47 | 0.81 |
| Skew | -0.29 | -0.39 |
| Kurtosis | 13.99 | 3.93 |
| Ulcer Performance Index | 23.05 | 40.29 |
| Risk-Adjusted Return | 15.87% | 7.83% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.84% | 0.33% |
| Avg. Loss | -0.93% | -0.35% |
| Win/Loss Ratio | 0.91 | 0.94 |
| Profit Ratio | 0.78 | 0.57 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.22% | 0.57% |
| Expected Yearly | 14.6% | 6.65% |
| Kelly Criterion | 5.64% | 7.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.64% |
| Expected Shortfall (cVaR) | -3.2% | -0.99% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.21 |
| Gain/Pain (1M) | 1.1 | 1.77 |
| Payoff Ratio | 0.91 | 0.94 |
| Profit Factor | 1.18 | 1.21 |
| Common Sense Ratio | 1.13 | 1.26 |
| CPC Index | 0.59 | 0.63 |
| Tail Ratio | 0.96 | 1.04 |
| Outlier Win Ratio | 3.7 | 4.0 |
| Outlier Loss Ratio | 4.12 | 3.69 |
| 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.) | 15.87% | 7.21% |
| All-time (ann.) | 15.87% | 7.21% |
| Best Day | 10.5% | 1.94% |
| Worst Day | -10.94% | -2.34% |
| Best Month | 12.7% | 4.4% |
| Worst Month | -12.49% | -4.55% |
| Best Year | 28.73% | 17.39% |
| Worst Year | -20.18% | 0.5% |
| Avg. Drawdown | -1.82% | -0.96% |
| Avg. Drawdown Days | 16 | 22 |
| Recovery Factor | 3.65 | 5.93 |
| Ulcer Index | 0.09 | 0.02 |
| Serenity Index | 0.87 | 3.1 |
| Avg. Up Month | 4.32% | 1.47% |
| Avg. Down Month | -4.4% | -0.81% |
| Win Days | 55.13% | 55.29% |
| Win Month | 65.56% | 64.04% |
| Win Quarter | 77.42% | 64.52% |
| Win Year | 87.5% | 100.0% |
| Beta | - | 0.09 |
| Alpha | - | 0.06 |
| Correlation | - | 27.02% |
| Treynor Ratio | - | 750.73% |
| Year | SPY | PBAIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.26 | 0.14 | - |
| 2020 | 18.33 | 6.90 | 0.38 | - |
| 2021 | 28.73 | 0.50 | 0.02 | - |
| 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 |
|---|---|---|---|
| 2020-02-19 | 2020-05-06 | -8.94 | 78 |
| 2024-07-11 | 2024-10-15 | -6.79 | 97 |
| 2025-02-11 | 2025-05-09 | -5.98 | 88 |
| 2021-10-01 | 2022-10-18 | -5.53 | 383 |
| 2022-12-28 | 2023-04-21 | -3.67 | 115 |
| 2019-07-15 | 2019-10-15 | -3.52 | 93 |
| 2021-01-07 | 2021-04-27 | -3.06 | 111 |
| 2025-08-28 | 2026-02-12 | -2.99 | 169 |
| 2021-05-18 | 2021-09-16 | -2.74 | 122 |
| 2023-09-29 | 2024-01-10 | -2.73 | 104 |