| Metric | SPY | PEFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 14.81% | 20.23% |
| CAGR﹪ | 15.07% | 20.59% |
| Sharpe | 0.87 | 1.0 |
| Prob. Sharpe Ratio | 80.5% | 83.7% |
| Smart Sharpe | 0.86 | 0.84 |
| Sortino | 1.27 | 1.41 |
| Smart Sortino | 1.26 | 1.18 |
| Sortino/√2 | 0.9 | 1.0 |
| Smart Sortino/√2 | 0.89 | 0.84 |
| Omega | 1.21 | 1.22 |
| 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.) | 12.91% | 16.44% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.7 | 1.74 |
| Skew | -0.03 | -0.23 |
| Kurtosis | 0.75 | 1.19 |
| Ulcer Performance Index | 6.86 | 4.16 |
| Risk-Adjusted Return | 15.07% | 21.67% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.04% | 0.08% |
| Avg. Win | 0.68% | 0.86% |
| Avg. Loss | -0.69% | -0.91% |
| Win/Loss Ratio | 0.99 | 0.94 |
| Profit Ratio | 0.99 | 0.51 |
| Expected Daily | 0.06% | 0.07% |
| Expected Monthly | 1.07% | 1.43% |
| Expected Yearly | 7.15% | 9.65% |
| Kelly Criterion | 4.39% | 14.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.62% |
| Expected Shortfall (cVaR) | -1.66% | -2.24% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.21 | 0.22 |
| Gain/Pain (1M) | 1.88 | 0.82 |
| Payoff Ratio | 0.99 | 0.94 |
| Profit Factor | 1.21 | 1.22 |
| Common Sense Ratio | 1.2 | 1.26 |
| CPC Index | 0.63 | 0.67 |
| Tail Ratio | 0.99 | 1.03 |
| Outlier Win Ratio | 2.84 | 3.18 |
| Outlier Loss Ratio | 2.98 | 2.8 |
| MTD | 1.47% | -0.12% |
| 3M | 1.46% | -1.74% |
| 6M | 6.94% | -0.55% |
| YTD | 13.33% | 14.42% |
| 1Y | 14.81% | 20.23% |
| 3Y (ann.) | 15.07% | 20.59% |
| 5Y (ann.) | 15.07% | 20.59% |
| 10Y (ann.) | 15.07% | 20.59% |
| All-time (ann.) | 15.07% | 20.59% |
| Best Day | 2.91% | 4.22% |
| Worst Day | -2.58% | -3.48% |
| Best Month | 10.51% | 10.19% |
| Worst Month | -4.94% | -10.03% |
| Best Year | 13.33% | 14.42% |
| Worst Year | 1.31% | 5.08% |
| Avg. Drawdown | -1.72% | -3.88% |
| Avg. Drawdown Days | 13 | 23 |
| Recovery Factor | 1.65 | 1.67 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.96 | 0.42 |
| Avg. Up Month | 3.04% | 5.32% |
| Avg. Down Month | -1.8% | -5.93% |
| Win Days | 52.42% | 58.55% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.44 |
| Alpha | - | 0.13 |
| Correlation | - | 34.84% |
| Treynor Ratio | - | 45.59% |
| Year | SPY | PEFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | 5.08 | 3.88 | + |
| 2026 | 13.33 | 14.42 | 1.08 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-27 | 2026-05-05 | -11.85 | 68 |
| 2026-09-10 | 2026-11-04 | -10.78 | 56 |
| 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 |
| 2025-12-05 | 2025-12-22 | -1.91 | 18 |
| 2026-02-13 | 2026-02-19 | -1.57 | 7 |
| 2026-01-07 | 2026-01-09 | -1.17 | 3 |
| 2026-01-16 | 2026-01-16 | -0.80 | 1 |