| Metric | SPY | PCFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 87.27% | 59.08% |
| CAGR﹪ | 13.47% | 9.8% |
| Sharpe | 0.6 | 0.36 |
| Prob. Sharpe Ratio | 91.03% | 78.78% |
| Smart Sharpe | 0.58 | 0.35 |
| Sortino | 0.87 | 0.51 |
| Smart Sortino | 0.84 | 0.51 |
| Sortino/√2 | 0.61 | 0.36 |
| Smart Sortino/√2 | 0.59 | 0.36 |
| Omega | 1.16 | 1.09 |
| Max Drawdown | -24.5% | -29.47% |
| Max DD Date | 2022-10-12 | 2022-09-26 |
| Max DD Period Start | 2022-01-04 | 2021-11-09 |
| Max DD Period End | 2023-12-12 | 2024-03-12 |
| Longest DD Days | 708 | 855 |
| Volatility (ann.) | 17.21% | 22.62% |
| R^2 | 0.63 | 0.63 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.55 | 0.33 |
| Skew | 0.32 | -0.02 |
| Kurtosis | 8.93 | 2.6 |
| Ulcer Performance Index | 10.31 | 4.67 |
| Risk-Adjusted Return | 13.47% | 10.0% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.89% | 1.2% |
| Avg. Loss | -0.88% | -1.24% |
| Win/Loss Ratio | 1.0 | 0.97 |
| Profit Ratio | 0.83 | 0.88 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.03% | 0.76% |
| Expected Yearly | 11.02% | 8.04% |
| Kelly Criterion | 8.33% | 1.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.3% |
| Expected Shortfall (cVaR) | -2.58% | -3.26% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.09 |
| Gain/Pain (1M) | 0.88 | 0.48 |
| Payoff Ratio | 1.0 | 0.97 |
| Profit Factor | 1.16 | 1.09 |
| Common Sense Ratio | 1.17 | 1.16 |
| CPC Index | 0.63 | 0.54 |
| Tail Ratio | 1.01 | 1.06 |
| Outlier Win Ratio | 3.42 | 3.18 |
| Outlier Loss Ratio | 3.76 | 3.58 |
| MTD | 1.08% | -2.8% |
| 3M | 3.82% | -2.85% |
| 6M | 19.85% | 18.43% |
| YTD | 14.3% | 15.96% |
| 1Y | 18.22% | 21.14% |
| 3Y (ann.) | 25.09% | 22.15% |
| 5Y (ann.) | 13.16% | 8.77% |
| 10Y (ann.) | 13.47% | 9.8% |
| All-time (ann.) | 13.47% | 9.8% |
| Best Day | 10.5% | 8.98% |
| Worst Day | -5.85% | -7.08% |
| Best Month | 10.51% | 16.57% |
| Worst Month | -9.24% | -14.57% |
| Best Year | 26.18% | 20.9% |
| Worst Year | -18.18% | -12.49% |
| Avg. Drawdown | -1.89% | -4.22% |
| Avg. Drawdown Days | 20 | 52 |
| Recovery Factor | 2.86 | 2.01 |
| Ulcer Index | 0.08 | 0.13 |
| Serenity Index | 0.47 | 0.27 |
| Avg. Up Month | 4.46% | 5.73% |
| Avg. Down Month | -4.07% | -5.74% |
| Win Days | 54.12% | 51.59% |
| Win Month | 63.93% | 55.74% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 1.05 |
| Alpha | - | -0.03 |
| Correlation | - | 79.55% |
| Treynor Ratio | - | 56.52% |
| Year | SPY | PCFIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 1.51 | 0.20 | - |
| 2022 | -18.18 | -12.49 | 0.69 | + |
| 2023 | 26.18 | 18.02 | 0.69 | - |
| 2024 | 24.89 | 20.90 | 0.84 | - |
| 2025 | 18.15 | 8.21 | 0.45 | - |
| 2026 | 14.30 | 15.96 | 1.12 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2024-03-12 | -29.47 | 855 |
| 2024-11-26 | 2025-12-09 | -28.08 | 379 |
| 2024-08-01 | 2024-09-18 | -9.44 | 49 |
| 2026-02-11 | 2026-04-15 | -8.86 | 64 |
| 2024-04-01 | 2024-07-10 | -7.66 | 101 |
| 2026-08-05 | 2026-09-22 | -6.55 | 49 |
| 2026-05-07 | 2026-05-22 | -4.74 | 16 |
| 2024-10-21 | 2024-11-05 | -4.07 | 16 |
| 2026-06-15 | 2026-08-03 | -3.74 | 50 |
| 2021-10-26 | 2021-11-01 | -3.70 | 7 |