| Metric | SPY | PEFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 18.3% | 34.88% |
| CAGR﹪ | 18.62% | 35.54% |
| Sharpe | 1.07 | 1.74 |
| Prob. Sharpe Ratio | 85.46% | 95.57% |
| Smart Sharpe | 1.04 | 1.46 |
| Sortino | 1.56 | 2.55 |
| Smart Sortino | 1.52 | 2.14 |
| Sortino/√2 | 1.1 | 1.81 |
| Smart Sortino/√2 | 1.07 | 1.52 |
| Omega | 1.26 | 1.39 |
| Max Drawdown | -8.88% | -11.85% |
| Max DD Date | 2026-03-30 | 2026-03-23 |
| Max DD Period Start | 2026-01-28 | 2026-02-27 |
| Max DD Period End | 2026-04-13 | 2026-05-05 |
| Longest DD Days | 76 | 92 |
| Volatility (ann.) | 13.04% | 15.91% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 2.1 | 3.0 |
| Skew | -0.16 | -0.25 |
| Kurtosis | 1.03 | 1.49 |
| Ulcer Performance Index | 8.48 | 8.06 |
| Risk-Adjusted Return | 18.62% | 37.41% |
| Risk-Return Ratio | 0.09 | 0.13 |
| Avg. Return | 0.05% | 0.13% |
| Avg. Win | 0.66% | 0.84% |
| Avg. Loss | -0.71% | -0.87% |
| Win/Loss Ratio | 0.92 | 0.96 |
| Profit Ratio | 0.91 | 0.52 |
| Expected Daily | 0.07% | 0.12% |
| Expected Monthly | 1.3% | 2.33% |
| Expected Yearly | 8.77% | 16.14% |
| Kelly Criterion | 4.16% | 18.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.52% |
| Expected Shortfall (cVaR) | -1.72% | -2.07% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.26 | 0.39 |
| Gain/Pain (1M) | 2.66 | 1.83 |
| Payoff Ratio | 0.92 | 0.96 |
| Profit Factor | 1.26 | 1.39 |
| Common Sense Ratio | 1.25 | 1.42 |
| CPC Index | 0.63 | 0.8 |
| Tail Ratio | 0.99 | 1.02 |
| Outlier Win Ratio | 2.88 | 3.18 |
| Outlier Loss Ratio | 3.16 | 2.93 |
| MTD | 1.08% | 1.16% |
| 3M | 3.82% | 6.67% |
| 6M | 19.85% | 17.82% |
| YTD | 14.3% | 25.03% |
| 1Y | 18.3% | 34.88% |
| 3Y (ann.) | 18.62% | 35.54% |
| 5Y (ann.) | 18.62% | 35.54% |
| 10Y (ann.) | 18.62% | 35.54% |
| All-time (ann.) | 18.62% | 35.54% |
| Best Day | 2.91% | 4.22% |
| Worst Day | -2.7% | -3.48% |
| Best Month | 10.51% | 10.19% |
| Worst Month | -4.94% | -10.03% |
| Best Year | 14.3% | 25.03% |
| Worst Year | 3.5% | 7.88% |
| Avg. Drawdown | -1.69% | -2.78% |
| Avg. Drawdown Days | 13 | 17 |
| Recovery Factor | 1.99 | 2.63 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.19 | 0.79 |
| Avg. Up Month | 2.67% | 4.62% |
| Avg. Down Month | -2.98% | -8.14% |
| Win Days | 54.03% | 59.83% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.44 |
| Alpha | - | 0.24 |
| Correlation | - | 36.17% |
| Treynor Ratio | - | 79.04% |
| Year | SPY | PEFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | 7.88 | 2.25 | + |
| 2026 | 14.30 | 25.03 | 1.75 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-27 | 2026-05-05 | -11.85 | 68 |
| 2026-06-03 | 2026-09-02 | -9.13 | 92 |
| 2026-05-07 | 2026-05-22 | -4.37 | 16 |
| 2026-01-30 | 2026-02-10 | -4.04 | 12 |
| 2025-11-14 | 2025-12-03 | -3.95 | 20 |
| 2026-09-10 | 2026-09-22 | -3.38 | 13 |
| 2025-12-05 | 2025-12-22 | -1.91 | 18 |
| 2025-09-24 | 2025-10-15 | -1.78 | 22 |
| 2026-02-13 | 2026-02-19 | -1.57 | 7 |
| 2026-01-07 | 2026-01-09 | -1.17 | 3 |