| Metric | SPY | PCF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 17.87% | -5.26% |
| CAGR﹪ | 18.02% | -5.3% |
| Sharpe | 1.04 | -0.68 |
| Prob. Sharpe Ratio | 84.73% | 24.97% |
| Smart Sharpe | 1.01 | -0.65 |
| Sortino | 1.51 | -0.94 |
| Smart Sortino | 1.47 | -0.9 |
| Sortino/√2 | 1.07 | -0.66 |
| Smart Sortino/√2 | 1.04 | -0.63 |
| Omega | 1.25 | 0.94 |
| Max Drawdown | -8.88% | -10.02% |
| Max DD Date | 2026-03-30 | 2026-03-20 |
| Max DD Period Start | 2026-01-28 | 2026-02-19 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 216 |
| Volatility (ann.) | 12.99% | 12.65% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 2.03 | -0.53 |
| Skew | -0.15 | 0.07 |
| Kurtosis | 1.05 | 1.96 |
| Ulcer Performance Index | 8.3 | -1.03 |
| Risk-Adjusted Return | 18.02% | -5.7% |
| Risk-Return Ratio | 0.08 | -0.02 |
| Avg. Return | 0.05% | -0.02% |
| Avg. Win | 0.72% | 0.66% |
| Avg. Loss | -0.73% | -0.73% |
| Win/Loss Ratio | 0.99 | 0.91 |
| Profit Ratio | 0.94 | 0.75 |
| Expected Daily | 0.07% | -0.02% |
| Expected Monthly | 1.27% | -0.41% |
| Expected Yearly | 8.57% | -2.67% |
| Kelly Criterion | 6.68% | -6.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.33% |
| Expected Shortfall (cVaR) | -1.72% | -1.9% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 9 |
| Gain/Pain Ratio | 0.25 | -0.06 |
| Gain/Pain (1M) | 2.6 | -0.3 |
| Payoff Ratio | 0.99 | 0.91 |
| Profit Factor | 1.25 | 0.94 |
| Common Sense Ratio | 1.24 | 0.82 |
| CPC Index | 0.66 | 0.42 |
| Tail Ratio | 0.99 | 0.88 |
| Outlier Win Ratio | 2.88 | 4.44 |
| Outlier Loss Ratio | 3.19 | 3.49 |
| MTD | 1.08% | -1.48% |
| 3M | 3.82% | 0.64% |
| 6M | 19.85% | 5.15% |
| YTD | 14.3% | -4.21% |
| 1Y | 17.87% | -5.26% |
| 3Y (ann.) | 18.02% | -5.3% |
| 5Y (ann.) | 18.02% | -5.3% |
| 10Y (ann.) | 18.02% | -5.3% |
| All-time (ann.) | 18.02% | -5.3% |
| Best Day | 2.91% | 2.9% |
| Worst Day | -2.7% | -2.67% |
| Best Month | 10.51% | 5.47% |
| Worst Month | -4.94% | -6.87% |
| Best Year | 14.3% | -1.1% |
| Worst Year | 3.13% | -4.21% |
| Avg. Drawdown | -1.71% | -6.93% |
| Avg. Drawdown Days | 13 | 181 |
| Recovery Factor | 1.94 | 0.46 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 1.16 | -0.08 |
| Avg. Up Month | 4.46% | 3.64% |
| Avg. Down Month | -2.28% | -2.94% |
| Win Days | 53.6% | 49.14% |
| Win Month | 76.92% | 23.08% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.42 |
| Alpha | - | -0.12 |
| Correlation | - | 43.28% |
| Treynor Ratio | - | -12.48% |
| Year | SPY | PCF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -1.10 | -0.35 | - |
| 2026 | 14.30 | -4.21 | -0.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-19 | 2026-09-22 | -10.02 | 216 |
| 2025-09-25 | 2026-02-17 | -3.83 | 146 |