| Metric | SPY | PCFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 206.09% | 174.61% |
| CAGR﹪ | 16.33% | 14.63% |
| Sharpe | 0.73 | 0.53 |
| Prob. Sharpe Ratio | 97.49% | 92.36% |
| Smart Sharpe | 0.63 | 0.5 |
| Sortino | 1.02 | 0.75 |
| Smart Sortino | 0.88 | 0.7 |
| Sortino/√2 | 0.72 | 0.53 |
| Smart Sortino/√2 | 0.63 | 0.49 |
| Omega | 1.18 | 1.12 |
| Max Drawdown | -33.72% | -50.22% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-01-17 |
| Max DD Period End | 2020-08-07 | 2020-11-23 |
| Longest DD Days | 708 | 855 |
| Volatility (ann.) | 19.46% | 27.37% |
| R^2 | 0.63 | 0.63 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.48 | 0.29 |
| Skew | -0.29 | -0.64 |
| Kurtosis | 13.92 | 9.46 |
| Ulcer Performance Index | 26.04 | 12.92 |
| Risk-Adjusted Return | 16.33% | 14.93% |
| Risk-Return Ratio | 0.06 | 0.04 |
| Avg. Return | 0.07% | 0.07% |
| Avg. Win | 0.92% | 1.35% |
| Avg. Loss | -0.96% | -1.43% |
| Win/Loss Ratio | 0.96 | 0.95 |
| Profit Ratio | 0.78 | 0.87 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 1.25% | 1.13% |
| Expected Yearly | 15.01% | 13.46% |
| Kelly Criterion | 8.69% | 1.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -2.77% |
| Expected Shortfall (cVaR) | -3.2% | -4.34% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.12 |
| Gain/Pain (1M) | 1.16 | 0.68 |
| Payoff Ratio | 0.96 | 0.95 |
| Profit Factor | 1.18 | 1.12 |
| Common Sense Ratio | 1.13 | 1.19 |
| CPC Index | 0.63 | 0.55 |
| Tail Ratio | 0.96 | 1.06 |
| Outlier Win Ratio | 3.69 | 3.99 |
| Outlier Loss Ratio | 4.11 | 3.47 |
| MTD | 1.47% | 2.14% |
| 3M | 1.46% | -0.94% |
| 6M | 6.94% | 7.09% |
| YTD | 13.33% | 19.76% |
| 1Y | 13.84% | 25.82% |
| 3Y (ann.) | 21.0% | 19.68% |
| 5Y (ann.) | 12.96% | 11.42% |
| 10Y (ann.) | 16.33% | 14.63% |
| All-time (ann.) | 16.33% | 14.63% |
| Best Day | 10.5% | 10.02% |
| Worst Day | -10.94% | -14.4% |
| Best Month | 12.7% | 22.41% |
| Worst Month | -12.49% | -30.2% |
| Best Year | 28.73% | 37.86% |
| Worst Year | -18.18% | -12.49% |
| Avg. Drawdown | -1.79% | -4.26% |
| Avg. Drawdown Days | 16 | 41 |
| Recovery Factor | 3.74 | 2.57 |
| Ulcer Index | 0.08 | 0.14 |
| Serenity Index | 1.03 | 0.52 |
| Avg. Up Month | 4.35% | 5.81% |
| Avg. Down Month | -4.14% | -6.91% |
| Win Days | 55.21% | 52.11% |
| Win Month | 65.56% | 63.33% |
| Win Quarter | 77.42% | 70.97% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 1.12 |
| Alpha | - | -0.02 |
| Correlation | - | 79.51% |
| Treynor Ratio | - | 156.08% |
| Year | SPY | PCFIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 11.57 | 0.71 | - |
| 2020 | 18.33 | 10.32 | 0.56 | - |
| 2021 | 28.73 | 37.86 | 1.32 | + |
| 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 | 13.33 | 19.76 | 1.48 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-17 | 2020-11-23 | -50.22 | 312 |
| 2021-11-09 | 2024-03-12 | -29.47 | 855 |
| 2024-11-26 | 2025-12-09 | -28.08 | 379 |
| 2021-06-09 | 2021-11-02 | -14.76 | 147 |
| 2021-03-16 | 2021-05-14 | -10.62 | 60 |
| 2019-07-31 | 2019-10-25 | -9.49 | 87 |
| 2024-08-01 | 2024-09-18 | -9.44 | 49 |
| 2026-08-05 | 2026-11-04 | -9.15 | 92 |
| 2026-02-11 | 2026-04-15 | -8.86 | 64 |
| 2024-04-01 | 2024-07-10 | -7.66 | 101 |