| Metric | SPY | PCF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 86.58% | 8.24% |
| CAGR﹪ | 13.36% | 1.61% |
| Sharpe | 0.59 | -0.06 |
| Prob. Sharpe Ratio | 90.85% | 44.8% |
| Smart Sharpe | 0.58 | -0.06 |
| Sortino | 0.86 | -0.08 |
| Smart Sortino | 0.83 | -0.08 |
| Sortino/√2 | 0.61 | -0.06 |
| Smart Sortino/√2 | 0.59 | -0.06 |
| Omega | 1.16 | 1.03 |
| Max Drawdown | -24.5% | -24.02% |
| Max DD Date | 2022-10-12 | 2022-10-14 |
| Max DD Period Start | 2022-01-04 | 2021-10-19 |
| Max DD Period End | 2023-12-12 | 2024-06-11 |
| Longest DD Days | 708 | 967 |
| Volatility (ann.) | 17.2% | 15.92% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.07 |
| Skew | 0.32 | -0.26 |
| Kurtosis | 8.95 | 6.69 |
| Ulcer Performance Index | 10.24 | 0.8 |
| Risk-Adjusted Return | 13.36% | 1.71% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.05% | 0.01% |
| Avg. Win | 0.88% | 0.73% |
| Avg. Loss | -0.93% | -0.87% |
| Win/Loss Ratio | 0.95 | 0.84 |
| Profit Ratio | 0.83 | 0.69 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.13% |
| Expected Yearly | 10.95% | 1.33% |
| Kelly Criterion | 5.81% | -5.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.64% |
| Expected Shortfall (cVaR) | -2.58% | -2.76% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.16 | 0.03 |
| Gain/Pain (1M) | 0.87 | 0.15 |
| Payoff Ratio | 0.95 | 0.84 |
| Profit Factor | 1.16 | 1.03 |
| Common Sense Ratio | 1.17 | 1.06 |
| CPC Index | 0.6 | 0.45 |
| Tail Ratio | 1.01 | 1.03 |
| Outlier Win Ratio | 3.41 | 4.28 |
| Outlier Loss Ratio | 3.77 | 4.28 |
| MTD | 1.08% | -1.48% |
| 3M | 3.82% | 0.64% |
| 6M | 19.85% | 5.15% |
| YTD | 14.3% | -4.21% |
| 1Y | 17.78% | -6.14% |
| 3Y (ann.) | 24.86% | 9.95% |
| 5Y (ann.) | 13.06% | 1.83% |
| 10Y (ann.) | 13.36% | 1.61% |
| All-time (ann.) | 13.36% | 1.61% |
| Best Day | 10.5% | 6.91% |
| Worst Day | -5.85% | -6.24% |
| Best Month | 10.51% | 10.17% |
| Worst Month | -9.24% | -7.59% |
| Best Year | 26.18% | 16.73% |
| Worst Year | -18.18% | -15.56% |
| Avg. Drawdown | -1.89% | -3.85% |
| Avg. Drawdown Days | 20 | 80 |
| Recovery Factor | 2.85 | 0.59 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 0.47 | 0.07 |
| Avg. Up Month | 4.51% | 3.85% |
| Avg. Down Month | -3.92% | -3.55% |
| Win Days | 54.04% | 51.79% |
| Win Month | 63.93% | 45.9% |
| Win Quarter | 66.67% | 52.38% |
| Win Year | 83.33% | 50.0% |
| Beta | - | 0.39 |
| Alpha | - | -0.03 |
| Correlation | - | 42.1% |
| Treynor Ratio | - | 21.15% |
| Year | SPY | PCF | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -1.42 | -0.19 | - |
| 2022 | -18.18 | -15.56 | 0.86 | + |
| 2023 | 26.18 | 10.45 | 0.40 | - |
| 2024 | 24.89 | 16.73 | 0.67 | - |
| 2025 | 17.72 | 5.31 | 0.30 | - |
| 2026 | 14.30 | -4.21 | -0.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-19 | 2024-06-11 | -24.02 | 967 |
| 2025-02-26 | 2025-09-15 | -13.33 | 202 |
| 2025-09-23 | 2026-09-22 | -10.73 | 365 |
| 2021-09-24 | 2021-10-06 | -7.21 | 13 |
| 2024-12-11 | 2025-01-30 | -6.43 | 51 |
| 2024-07-01 | 2024-09-03 | -5.06 | 65 |
| 2021-10-13 | 2021-10-15 | -2.41 | 3 |
| 2024-10-17 | 2024-11-07 | -2.31 | 22 |
| 2024-06-18 | 2024-06-26 | -2.31 | 9 |
| 2021-10-11 | 2021-10-11 | -1.98 | 1 |