| Metric | SPY | PEFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 18.6% | 19.73% |
| CAGR﹪ | 40.67% | 43.35% |
| Sharpe | 2.32 | 2.06 |
| Prob. Sharpe Ratio | 95.04% | 92.93% |
| Smart Sharpe | 2.3 | 1.77 |
| Sortino | 3.78 | 3.27 |
| Smart Sortino | 3.75 | 2.8 |
| Sortino/√2 | 2.67 | 2.31 |
| Smart Sortino/√2 | 2.65 | 1.98 |
| Omega | 1.54 | 1.47 |
| Max Drawdown | -4.49% | -9.13% |
| Max DD Date | 2026-06-10 | 2026-07-01 |
| Max DD Period Start | 2026-06-03 | 2026-06-03 |
| Max DD Period End | 2026-07-31 | 2026-09-02 |
| Longest DD Days | 59 | 92 |
| Volatility (ann.) | 13.55% | 16.35% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 9.05 | 4.75 |
| Skew | 0.1 | 0.19 |
| Kurtosis | 1.12 | 1.66 |
| Ulcer Performance Index | 11.86 | 4.45 |
| Risk-Adjusted Return | 40.67% | 45.16% |
| Risk-Return Ratio | 0.16 | 0.14 |
| Avg. Return | 0.1% | 0.16% |
| Avg. Win | 0.75% | 1.0% |
| Avg. Loss | -0.75% | -0.85% |
| Win/Loss Ratio | 1.01 | 1.17 |
| Profit Ratio | 1.12 | 0.73 |
| Expected Daily | 0.14% | 0.14% |
| Expected Monthly | 2.47% | 2.61% |
| Expected Yearly | 18.6% | 19.73% |
| Kelly Criterion | 8.35% | 19.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.55% |
| Expected Shortfall (cVaR) | -1.77% | -1.99% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.54 | 0.47 |
| Gain/Pain (1M) | 10.92 | 2.99 |
| Payoff Ratio | 1.01 | 1.17 |
| Profit Factor | 1.54 | 1.47 |
| Common Sense Ratio | 2.01 | 1.59 |
| CPC Index | 0.84 | 0.97 |
| Tail Ratio | 1.3 | 1.08 |
| Outlier Win Ratio | 3.21 | 2.89 |
| Outlier Loss Ratio | 3.16 | 3.15 |
| MTD | 1.08% | 1.16% |
| 3M | 3.82% | 6.67% |
| 6M | 18.6% | 19.73% |
| YTD | 18.6% | 19.73% |
| 1Y | 18.6% | 19.73% |
| 3Y (ann.) | 40.67% | 43.35% |
| 5Y (ann.) | 40.67% | 43.35% |
| 10Y (ann.) | 40.67% | 43.35% |
| All-time (ann.) | 40.67% | 43.35% |
| Best Day | 2.91% | 4.22% |
| Worst Day | -2.58% | -2.49% |
| Best Month | 10.51% | 7.71% |
| Worst Month | -1.03% | -6.25% |
| Best Year | 18.6% | 19.73% |
| Worst Year | 18.6% | 19.73% |
| Avg. Drawdown | -1.13% | -2.65% |
| Avg. Drawdown Days | 9 | 19 |
| Recovery Factor | 3.9 | 2.05 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 2.75 | 0.51 |
| Avg. Up Month | 3.91% | 4.63% |
| Avg. Down Month | -1.03% | -6.25% |
| Win Days | 53.97% | 56.67% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.61 |
| Alpha | - | 0.16 |
| Correlation | - | 50.87% |
| Treynor Ratio | - | 32.13% |
| Year | SPY | PEFIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 19.73 | 1.06 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-09-02 | -9.13 | 92 |
| 2026-05-07 | 2026-05-22 | -4.37 | 16 |
| 2026-09-10 | 2026-09-22 | -3.38 | 13 |
| 2026-03-26 | 2026-03-31 | -1.68 | 6 |
| 2026-04-20 | 2026-05-04 | -1.35 | 15 |
| 2026-04-02 | 2026-04-07 | -0.44 | 6 |
| 2026-04-13 | 2026-04-13 | -0.42 | 1 |
| 2026-05-28 | 2026-05-28 | -0.40 | 1 |