| Metric | SPY | PCFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 18.3% | 21.0% |
| CAGR﹪ | 18.62% | 21.37% |
| Sharpe | 1.07 | 0.99 |
| Prob. Sharpe Ratio | 85.46% | 83.69% |
| Smart Sharpe | 1.04 | 0.94 |
| Sortino | 1.56 | 1.48 |
| Smart Sortino | 1.52 | 1.41 |
| Sortino/√2 | 1.1 | 1.05 |
| Smart Sortino/√2 | 1.07 | 1.0 |
| Omega | 1.26 | 1.21 |
| Max Drawdown | -8.88% | -8.86% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-02-11 |
| Max DD Period End | 2026-04-13 | 2026-04-15 |
| Longest DD Days | 76 | 64 |
| Volatility (ann.) | 13.04% | 17.04% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 2.1 | 2.41 |
| Skew | -0.16 | 0.03 |
| Kurtosis | 1.03 | 0.04 |
| Ulcer Performance Index | 8.48 | 7.02 |
| Risk-Adjusted Return | 18.62% | 21.81% |
| Risk-Return Ratio | 0.09 | 0.08 |
| Avg. Return | 0.07% | 0.09% |
| Avg. Win | 0.7% | 0.94% |
| Avg. Loss | -0.7% | -0.94% |
| Win/Loss Ratio | 1.0 | 1.01 |
| Profit Ratio | 0.91 | 0.8 |
| Expected Daily | 0.07% | 0.08% |
| Expected Monthly | 1.3% | 1.48% |
| Expected Yearly | 8.77% | 10.0% |
| Kelly Criterion | 8.17% | 8.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.68% |
| Expected Shortfall (cVaR) | -1.72% | -2.17% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.26 | 0.21 |
| Gain/Pain (1M) | 2.66 | 1.95 |
| Payoff Ratio | 1.0 | 1.01 |
| Profit Factor | 1.26 | 1.21 |
| Common Sense Ratio | 1.25 | 1.37 |
| CPC Index | 0.68 | 0.66 |
| Tail Ratio | 0.99 | 1.13 |
| Outlier Win Ratio | 2.88 | 3.05 |
| Outlier Loss Ratio | 3.16 | 2.74 |
| MTD | 1.08% | -2.8% |
| 3M | 3.82% | -2.85% |
| 6M | 19.85% | 18.43% |
| YTD | 14.3% | 15.96% |
| 1Y | 18.3% | 21.0% |
| 3Y (ann.) | 18.62% | 21.37% |
| 5Y (ann.) | 18.62% | 21.37% |
| 10Y (ann.) | 18.62% | 21.37% |
| All-time (ann.) | 18.62% | 21.37% |
| Best Day | 2.91% | 3.2% |
| Worst Day | -2.7% | -3.21% |
| Best Month | 10.51% | 11.5% |
| Worst Month | -4.94% | -5.23% |
| Best Year | 14.3% | 15.96% |
| Worst Year | 3.5% | 4.34% |
| Avg. Drawdown | -1.69% | -2.62% |
| Avg. Drawdown Days | 13 | 16 |
| Recovery Factor | 1.99 | 2.31 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.19 | 1.06 |
| Avg. Up Month | 3.43% | 4.0% |
| Avg. Down Month | -4.94% | -5.23% |
| Win Days | 54.03% | 53.94% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.97 |
| Alpha | - | 0.03 |
| Correlation | - | 74.2% |
| Treynor Ratio | - | 21.66% |
| Year | SPY | PCFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | 4.34 | 1.24 | + |
| 2026 | 14.30 | 15.96 | 1.12 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-11 | 2026-04-15 | -8.86 | 64 |
| 2026-08-05 | 2026-09-22 | -6.55 | 49 |
| 2025-10-28 | 2025-11-24 | -6.17 | 28 |
| 2025-10-06 | 2025-10-22 | -4.79 | 17 |
| 2026-05-07 | 2026-05-22 | -4.74 | 16 |
| 2026-06-15 | 2026-08-03 | -3.74 | 50 |
| 2026-01-16 | 2026-02-05 | -3.40 | 21 |
| 2025-12-12 | 2026-01-05 | -2.81 | 25 |
| 2026-06-05 | 2026-06-10 | -2.45 | 6 |
| 2026-05-04 | 2026-05-05 | -1.34 | 2 |