| Metric | SPY | PCF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 6.48% | -4.45% |
| CAGR﹪ | 13.27% | -8.63% |
| Sharpe | 0.78 | -0.91 |
| Prob. Sharpe Ratio | 70.87% | 26.02% |
| Smart Sharpe | 0.75 | -0.87 |
| Sortino | 1.14 | -1.23 |
| Smart Sortino | 1.09 | -1.18 |
| Sortino/√2 | 0.8 | -0.87 |
| Smart Sortino/√2 | 0.77 | -0.83 |
| Omega | 1.19 | 0.9 |
| Max Drawdown | -4.49% | -9.3% |
| Max DD Date | 2026-06-10 | 2026-10-26 |
| Max DD Period Start | 2026-06-03 | 2026-09-04 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 86 |
| Volatility (ann.) | 12.4% | 12.92% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 2.95 | -0.93 |
| Skew | -0.15 | -0.02 |
| Kurtosis | 0.59 | 0.84 |
| Ulcer Performance Index | 3.89 | -1.01 |
| Risk-Adjusted Return | 13.27% | -9.28% |
| Risk-Return Ratio | 0.07 | -0.04 |
| Avg. Return | 0.01% | -0.04% |
| Avg. Win | 0.68% | 0.65% |
| Avg. Loss | -0.67% | -0.85% |
| Win/Loss Ratio | 1.01 | 0.76 |
| Profit Ratio | 1.15 | 0.72 |
| Expected Daily | 0.05% | -0.04% |
| Expected Monthly | 0.9% | -0.65% |
| Expected Yearly | 6.48% | -4.45% |
| Kelly Criterion | 1.41% | -19.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.37% |
| Expected Shortfall (cVaR) | -1.63% | -1.9% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | -0.1 |
| Gain/Pain (1M) | 3.26 | -0.37 |
| Payoff Ratio | 1.01 | 0.76 |
| Profit Factor | 1.19 | 0.9 |
| Common Sense Ratio | 1.47 | 0.81 |
| CPC Index | 0.61 | 0.33 |
| Tail Ratio | 1.23 | 0.9 |
| Outlier Win Ratio | 2.66 | 3.74 |
| Outlier Loss Ratio | 3.07 | 3.05 |
| MTD | 1.47% | 1.6% |
| 3M | 1.46% | -0.56% |
| 6M | 6.48% | -4.45% |
| YTD | 6.48% | -4.45% |
| 1Y | 6.48% | -4.45% |
| 3Y (ann.) | 13.27% | -8.63% |
| 5Y (ann.) | 13.27% | -8.63% |
| 10Y (ann.) | 13.27% | -8.63% |
| All-time (ann.) | 13.27% | -8.63% |
| Best Day | 1.8% | 2.38% |
| Worst Day | -2.58% | -2.58% |
| Best Month | 4.52% | 5.47% |
| Worst Month | -1.03% | -5.33% |
| Best Year | 6.48% | -4.45% |
| Worst Year | 6.48% | -4.45% |
| Avg. Drawdown | -1.57% | -4.27% |
| Avg. Drawdown Days | 17 | 43 |
| Recovery Factor | 1.48 | 0.44 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.91 | -0.09 |
| Avg. Up Month | 2.07% | 3.54% |
| Avg. Down Month | -0.75% | -2.93% |
| Win Days | 50.39% | 48.72% |
| Win Month | 57.14% | 28.57% |
| Win Quarter | 100.0% | 0.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.38 |
| Alpha | - | -0.13 |
| Correlation | - | 36.52% |
| Treynor Ratio | - | -11.68% |
| Year | SPY | PCF | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | -4.45 | -0.69 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-04 | 2026-11-04 | -9.30 | 62 |
| 2026-06-03 | 2026-08-27 | -4.73 | 86 |
| 2026-05-11 | 2026-06-01 | -1.80 | 22 |
| 2026-09-01 | 2026-09-01 | -1.27 | 1 |