| Metric | SPY | PCFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 18.6% | 16.39% |
| CAGR﹪ | 40.67% | 35.47% |
| Sharpe | 2.32 | 1.72 |
| Prob. Sharpe Ratio | 95.04% | 88.93% |
| Smart Sharpe | 2.3 | 1.67 |
| Sortino | 3.78 | 2.73 |
| Smart Sortino | 3.75 | 2.66 |
| Sortino/√2 | 2.67 | 1.93 |
| Smart Sortino/√2 | 2.65 | 1.88 |
| Omega | 1.54 | 1.35 |
| Max Drawdown | -4.49% | -6.55% |
| Max DD Date | 2026-06-10 | 2026-09-18 |
| Max DD Period Start | 2026-06-03 | 2026-08-05 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 50 |
| Volatility (ann.) | 13.55% | 16.36% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 9.05 | 5.42 |
| Skew | 0.1 | 0.16 |
| Kurtosis | 1.12 | -0.36 |
| Ulcer Performance Index | 11.86 | 6.82 |
| Risk-Adjusted Return | 40.67% | 36.19% |
| Risk-Return Ratio | 0.16 | 0.12 |
| Avg. Return | 0.14% | 0.13% |
| Avg. Win | 0.76% | 0.96% |
| Avg. Loss | -0.63% | -0.86% |
| Win/Loss Ratio | 1.2 | 1.11 |
| Profit Ratio | 1.12 | 0.81 |
| Expected Daily | 0.14% | 0.12% |
| Expected Monthly | 2.47% | 2.19% |
| Expected Yearly | 18.6% | 16.39% |
| Kelly Criterion | 15.73% | 15.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.57% |
| Expected Shortfall (cVaR) | -1.77% | -1.86% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.54 | 0.35 |
| Gain/Pain (1M) | 10.92 | 3.41 |
| Payoff Ratio | 1.2 | 1.11 |
| Profit Factor | 1.54 | 1.35 |
| Common Sense Ratio | 2.01 | 1.78 |
| CPC Index | 1.0 | 0.83 |
| Tail Ratio | 1.3 | 1.32 |
| Outlier Win Ratio | 3.21 | 2.96 |
| Outlier Loss Ratio | 3.16 | 2.14 |
| MTD | 1.08% | -2.8% |
| 3M | 3.82% | -2.85% |
| 6M | 18.6% | 16.39% |
| YTD | 18.6% | 16.39% |
| 1Y | 18.6% | 16.39% |
| 3Y (ann.) | 40.67% | 35.47% |
| 5Y (ann.) | 40.67% | 35.47% |
| 10Y (ann.) | 40.67% | 35.47% |
| All-time (ann.) | 40.67% | 35.47% |
| Best Day | 2.91% | 2.66% |
| Worst Day | -2.58% | -2.36% |
| Best Month | 10.51% | 11.5% |
| Worst Month | -1.03% | -2.8% |
| Best Year | 18.6% | 16.39% |
| Worst Year | 18.6% | 16.39% |
| Avg. Drawdown | -1.13% | -2.45% |
| Avg. Drawdown Days | 9 | 14 |
| Recovery Factor | 3.9 | 2.42 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.75 | 1.22 |
| Avg. Up Month | 6.15% | 5.17% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 55.28% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.89 |
| Alpha | - | 0.01 |
| Correlation | - | 73.45% |
| Treynor Ratio | - | 18.48% |
| Year | SPY | PCFIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 16.39 | 0.88 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-05 | 2026-09-22 | -6.55 | 49 |
| 2026-05-07 | 2026-05-22 | -4.74 | 16 |
| 2026-06-15 | 2026-08-03 | -3.74 | 50 |
| 2026-03-26 | 2026-04-02 | -3.55 | 8 |
| 2026-06-05 | 2026-06-10 | -2.45 | 6 |
| 2026-05-04 | 2026-05-05 | -1.34 | 2 |
| 2026-04-21 | 2026-04-29 | -0.85 | 9 |
| 2026-05-29 | 2026-05-29 | -0.62 | 1 |
| 2026-06-03 | 2026-06-03 | -0.47 | 1 |
| 2026-04-10 | 2026-04-10 | -0.16 | 1 |