| Metric | SPY | PEFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 75.63% | 56.94% |
| CAGR﹪ | 12.01% | 9.5% |
| Sharpe | 0.52 | 0.41 |
| Prob. Sharpe Ratio | 87.82% | 81.64% |
| Smart Sharpe | 0.51 | 0.35 |
| Sortino | 0.75 | 0.54 |
| Smart Sortino | 0.73 | 0.46 |
| Sortino/√2 | 0.53 | 0.38 |
| Smart Sortino/√2 | 0.52 | 0.32 |
| Omega | 1.14 | 1.12 |
| Max Drawdown | -24.5% | -31.34% |
| Max DD Date | 2022-10-12 | 2022-09-29 |
| Max DD Period Start | 2022-01-04 | 2022-02-11 |
| Max DD Period End | 2023-12-12 | 2024-03-11 |
| Longest DD Days | 708 | 760 |
| Volatility (ann.) | 17.2% | 15.72% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.49 | 0.3 |
| Skew | 0.33 | -1.24 |
| Kurtosis | 8.96 | 8.04 |
| Ulcer Performance Index | 8.93 | 4.66 |
| Risk-Adjusted Return | 12.01% | 10.22% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.82% | 0.8% |
| Avg. Loss | -0.92% | -0.89% |
| Win/Loss Ratio | 0.9 | 0.9 |
| Profit Ratio | 0.85 | 0.57 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 0.93% | 0.74% |
| Expected Yearly | 9.84% | 7.8% |
| Kelly Criterion | 1.68% | 5.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.59% |
| Expected Shortfall (cVaR) | -2.58% | -2.54% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | 0.12 |
| Gain/Pain (1M) | 0.8 | 0.51 |
| Payoff Ratio | 0.9 | 0.9 |
| Profit Factor | 1.14 | 1.12 |
| Common Sense Ratio | 1.15 | 1.08 |
| CPC Index | 0.55 | 0.56 |
| Tail Ratio | 1.01 | 0.96 |
| Outlier Win Ratio | 3.4 | 3.54 |
| Outlier Loss Ratio | 3.79 | 3.43 |
| MTD | 1.47% | -0.12% |
| 3M | 1.46% | -1.74% |
| 6M | 6.94% | -0.55% |
| YTD | 13.33% | 14.42% |
| 1Y | 13.84% | 19.34% |
| 3Y (ann.) | 21.0% | 20.12% |
| 5Y (ann.) | 12.96% | 10.47% |
| 10Y (ann.) | 12.01% | 9.5% |
| All-time (ann.) | 12.01% | 9.5% |
| Best Day | 10.5% | 4.22% |
| Worst Day | -5.85% | -7.87% |
| Best Month | 10.51% | 11.7% |
| Worst Month | -9.24% | -11.96% |
| Best Year | 26.18% | 29.63% |
| Worst Year | -18.18% | -16.8% |
| Avg. Drawdown | -1.93% | -4.58% |
| Avg. Drawdown Days | 21 | 50 |
| Recovery Factor | 2.6 | 1.64 |
| Ulcer Index | 0.08 | 0.12 |
| Serenity Index | 0.43 | 0.16 |
| Avg. Up Month | 4.04% | 4.29% |
| Avg. Down Month | -3.28% | -5.49% |
| Win Days | 53.56% | 55.09% |
| Win Month | 62.3% | 62.3% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.28 |
| Alpha | - | 0.07 |
| Correlation | - | 30.42% |
| Treynor Ratio | - | 204.8% |
| Year | SPY | PEFIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.95 | -0.55 | - |
| 2022 | -18.18 | -16.80 | 0.92 | + |
| 2023 | 26.18 | 19.98 | 0.76 | - |
| 2024 | 24.89 | 7.01 | 0.28 | - |
| 2025 | 18.15 | 29.63 | 1.63 | + |
| 2026 | 13.33 | 14.42 | 1.08 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-11 | 2024-03-11 | -31.34 | 760 |
| 2024-10-03 | 2025-06-30 | -20.78 | 271 |
| 2026-02-27 | 2026-05-05 | -11.85 | 68 |
| 2026-09-10 | 2026-11-04 | -10.78 | 56 |
| 2024-07-15 | 2024-09-23 | -9.34 | 71 |
| 2026-06-03 | 2026-09-02 | -9.13 | 92 |
| 2021-11-10 | 2022-01-11 | -7.64 | 63 |
| 2022-01-14 | 2022-02-08 | -4.96 | 26 |
| 2024-05-29 | 2024-07-10 | -4.62 | 43 |
| 2026-05-07 | 2026-05-22 | -4.37 | 16 |