| Metric | SPY | PCFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 6.48% | 7.15% |
| CAGR﹪ | 13.27% | 14.68% |
| Sharpe | 0.78 | 0.71 |
| Prob. Sharpe Ratio | 70.87% | 69.28% |
| Smart Sharpe | 0.75 | 0.6 |
| Sortino | 1.14 | 1.07 |
| Smart Sortino | 1.09 | 0.91 |
| Sortino/√2 | 0.8 | 0.76 |
| Smart Sortino/√2 | 0.77 | 0.65 |
| Omega | 1.19 | 1.15 |
| Max Drawdown | -4.49% | -9.15% |
| Max DD Date | 2026-06-10 | 2026-09-30 |
| Max DD Period Start | 2026-06-03 | 2026-08-05 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 92 |
| Volatility (ann.) | 12.4% | 16.11% |
| R^2 | 0.42 | 0.42 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 2.95 | 1.6 |
| Skew | -0.15 | 0.18 |
| Kurtosis | 0.59 | -0.5 |
| Ulcer Performance Index | 3.89 | 1.72 |
| Risk-Adjusted Return | 13.27% | 14.83% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.68% | 0.98% |
| Avg. Loss | -0.63% | -0.91% |
| Win/Loss Ratio | 1.08 | 1.08 |
| Profit Ratio | 1.15 | 0.98 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 0.9% | 0.99% |
| Expected Yearly | 6.48% | 7.15% |
| Kelly Criterion | 4.41% | 6.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.61% |
| Expected Shortfall (cVaR) | -1.63% | -1.94% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.19 | 0.15 |
| Gain/Pain (1M) | 3.26 | 0.94 |
| Payoff Ratio | 1.08 | 1.08 |
| Profit Factor | 1.19 | 1.15 |
| Common Sense Ratio | 1.47 | 1.42 |
| CPC Index | 0.65 | 0.64 |
| Tail Ratio | 1.23 | 1.24 |
| Outlier Win Ratio | 2.66 | 2.54 |
| Outlier Loss Ratio | 3.07 | 2.16 |
| MTD | 1.47% | 2.14% |
| 3M | 1.46% | -0.94% |
| 6M | 6.48% | 7.15% |
| YTD | 6.48% | 7.15% |
| 1Y | 6.48% | 7.15% |
| 3Y (ann.) | 13.27% | 14.68% |
| 5Y (ann.) | 13.27% | 14.68% |
| 10Y (ann.) | 13.27% | 14.68% |
| All-time (ann.) | 13.27% | 14.68% |
| Best Day | 1.8% | 2.66% |
| Worst Day | -2.58% | -2.36% |
| Best Month | 4.52% | 4.63% |
| Worst Month | -1.03% | -6.04% |
| Best Year | 6.48% | 7.15% |
| Worst Year | 6.48% | 7.15% |
| Avg. Drawdown | -1.57% | -3.53% |
| Avg. Drawdown Days | 17 | 28 |
| Recovery Factor | 1.48 | 0.83 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.91 | 0.23 |
| Avg. Up Month | 2.89% | 2.05% |
| Avg. Down Month | -0.33% | -6.04% |
| Win Days | 50.39% | 51.2% |
| Win Month | 57.14% | 71.43% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.85 |
| Alpha | - | 0.04 |
| Correlation | - | 65.04% |
| Treynor Ratio | - | 8.46% |
| Year | SPY | PCFIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 7.15 | 1.10 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-05 | 2026-11-04 | -9.15 | 92 |
| 2026-05-07 | 2026-05-22 | -4.74 | 16 |
| 2026-06-15 | 2026-08-03 | -3.74 | 50 |
| 2026-06-05 | 2026-06-10 | -2.45 | 6 |
| 2026-05-29 | 2026-05-29 | -0.62 | 1 |
| 2026-06-03 | 2026-06-03 | -0.47 | 1 |