| Metric | SPY | PCF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 74.99% | 6.5% |
| CAGR﹪ | 11.91% | 1.27% |
| Sharpe | 0.52 | -0.09 |
| Prob. Sharpe Ratio | 87.6% | 41.82% |
| Smart Sharpe | 0.5 | -0.09 |
| Sortino | 0.74 | -0.13 |
| Smart Sortino | 0.72 | -0.13 |
| Sortino/√2 | 0.53 | -0.09 |
| Smart Sortino/√2 | 0.51 | -0.09 |
| Omega | 1.14 | 1.03 |
| Max Drawdown | -24.5% | -22.15% |
| Max DD Date | 2022-10-12 | 2022-10-14 |
| Max DD Period Start | 2022-01-04 | 2022-01-13 |
| Max DD Period End | 2023-12-12 | 2024-02-23 |
| Longest DD Days | 708 | 772 |
| Volatility (ann.) | 17.19% | 15.32% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.06 |
| Skew | 0.33 | -0.2 |
| Kurtosis | 8.98 | 7.52 |
| Ulcer Performance Index | 8.86 | 0.71 |
| Risk-Adjusted Return | 11.91% | 1.36% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.05% | 0.01% |
| Avg. Win | 0.89% | 0.71% |
| Avg. Loss | -0.92% | -0.85% |
| Win/Loss Ratio | 0.96 | 0.84 |
| Profit Ratio | 0.86 | 0.69 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.1% |
| Expected Yearly | 9.77% | 1.06% |
| Kelly Criterion | 5.01% | -6.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.58% |
| Expected Shortfall (cVaR) | -2.58% | -2.6% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | 0.03 |
| Gain/Pain (1M) | 0.79 | 0.13 |
| Payoff Ratio | 0.96 | 0.84 |
| Profit Factor | 1.14 | 1.03 |
| Common Sense Ratio | 1.15 | 1.09 |
| CPC Index | 0.59 | 0.45 |
| Tail Ratio | 1.0 | 1.05 |
| Outlier Win Ratio | 3.4 | 4.4 |
| Outlier Loss Ratio | 3.8 | 3.71 |
| MTD | 1.47% | 1.6% |
| 3M | 1.46% | -0.56% |
| 6M | 6.94% | -5.45% |
| YTD | 13.33% | -8.33% |
| 1Y | 13.43% | -8.04% |
| 3Y (ann.) | 20.78% | 4.69% |
| 5Y (ann.) | 12.86% | 1.79% |
| 10Y (ann.) | 11.91% | 1.27% |
| All-time (ann.) | 11.91% | 1.27% |
| 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 | -1.94% | -3.43% |
| Avg. Drawdown Days | 21 | 67 |
| Recovery Factor | 2.58 | 0.55 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 0.43 | 0.07 |
| Avg. Up Month | 4.3% | 3.85% |
| Avg. Down Month | -3.73% | -3.52% |
| Win Days | 53.48% | 51.71% |
| Win Month | 62.3% | 45.9% |
| Win Quarter | 71.43% | 47.62% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.38 |
| Alpha | - | -0.02 |
| Correlation | - | 42.86% |
| Treynor Ratio | - | 17.02% |
| Year | SPY | PCF | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 1.35 | 0.78 | - |
| 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 | 13.33 | -8.33 | -0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-13 | 2024-02-23 | -22.15 | 772 |
| 2025-02-26 | 2025-09-15 | -13.33 | 202 |
| 2025-09-23 | 2026-11-04 | -12.65 | 408 |
| 2024-02-27 | 2024-05-30 | -9.21 | 94 |
| 2024-12-11 | 2025-01-30 | -6.43 | 51 |
| 2024-07-01 | 2024-09-03 | -5.06 | 65 |
| 2021-11-22 | 2021-12-31 | -3.89 | 40 |
| 2024-10-17 | 2024-11-07 | -2.31 | 22 |
| 2024-06-13 | 2024-06-26 | -2.31 | 14 |
| 2024-06-10 | 2024-06-11 | -1.32 | 2 |