| Metric | SPY | PEFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 87.27% | 72.04% |
| CAGR﹪ | 13.47% | 11.55% |
| Sharpe | 0.6 | 0.53 |
| Prob. Sharpe Ratio | 91.03% | 87.8% |
| Smart Sharpe | 0.58 | 0.45 |
| Sortino | 0.87 | 0.71 |
| Smart Sortino | 0.84 | 0.6 |
| Sortino/√2 | 0.61 | 0.5 |
| Smart Sortino/√2 | 0.59 | 0.42 |
| Omega | 1.16 | 1.15 |
| Max Drawdown | -24.5% | -31.56% |
| Max DD Date | 2022-10-12 | 2022-09-29 |
| Max DD Period Start | 2022-01-04 | 2021-10-19 |
| Max DD Period End | 2023-12-12 | 2024-03-11 |
| Longest DD Days | 708 | 875 |
| Volatility (ann.) | 17.21% | 15.68% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.55 | 0.37 |
| Skew | 0.32 | -1.26 |
| Kurtosis | 8.93 | 8.15 |
| Ulcer Performance Index | 10.31 | 5.83 |
| Risk-Adjusted Return | 13.47% | 12.42% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.81% | 0.8% |
| Avg. Loss | -0.93% | -0.89% |
| Win/Loss Ratio | 0.88 | 0.89 |
| Profit Ratio | 0.83 | 0.56 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.03% | 0.89% |
| Expected Yearly | 11.02% | 9.46% |
| Kelly Criterion | 1.92% | 5.9% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.58% |
| Expected Shortfall (cVaR) | -2.58% | -2.54% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.16 | 0.15 |
| Gain/Pain (1M) | 0.88 | 0.66 |
| Payoff Ratio | 0.88 | 0.89 |
| Profit Factor | 1.16 | 1.15 |
| Common Sense Ratio | 1.17 | 1.11 |
| CPC Index | 0.55 | 0.57 |
| Tail Ratio | 1.01 | 0.97 |
| Outlier Win Ratio | 3.42 | 3.53 |
| Outlier Loss Ratio | 3.76 | 3.43 |
| MTD | 1.08% | 1.16% |
| 3M | 3.82% | 6.67% |
| 6M | 19.85% | 17.82% |
| YTD | 14.3% | 25.03% |
| 1Y | 18.22% | 34.37% |
| 3Y (ann.) | 25.09% | 27.06% |
| 5Y (ann.) | 13.16% | 11.26% |
| 10Y (ann.) | 13.47% | 11.55% |
| All-time (ann.) | 13.47% | 11.55% |
| 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 | -1.89% | -4.15% |
| Avg. Drawdown Days | 20 | 52 |
| Recovery Factor | 2.86 | 1.91 |
| Ulcer Index | 0.08 | 0.12 |
| Serenity Index | 0.47 | 0.18 |
| Avg. Up Month | 4.04% | 4.07% |
| Avg. Down Month | -3.48% | -5.35% |
| Win Days | 54.12% | 55.64% |
| Win Month | 63.93% | 65.57% |
| Win Quarter | 66.67% | 76.19% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.28 |
| Alpha | - | 0.08 |
| Correlation | - | 30.37% |
| Treynor Ratio | - | 260.41% |
| Year | SPY | PEFIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -0.62 | -0.08 | - |
| 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 | 14.30 | 25.03 | 1.75 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-19 | 2024-03-11 | -31.56 | 875 |
| 2024-10-03 | 2025-06-30 | -20.78 | 271 |
| 2026-02-27 | 2026-05-05 | -11.85 | 68 |
| 2024-07-15 | 2024-09-23 | -9.34 | 71 |
| 2026-06-03 | 2026-09-02 | -9.13 | 92 |
| 2024-05-29 | 2024-07-10 | -4.62 | 43 |
| 2026-05-07 | 2026-05-22 | -4.37 | 16 |
| 2026-01-30 | 2026-02-10 | -4.04 | 12 |
| 2025-07-25 | 2025-08-12 | -3.96 | 19 |
| 2025-11-14 | 2025-12-03 | -3.95 | 20 |