| Metric | SPY | PEFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 206.09% | 119.66% |
| CAGR﹪ | 16.33% | 11.22% |
| Sharpe | 0.73 | 0.53 |
| Prob. Sharpe Ratio | 97.49% | 91.98% |
| Smart Sharpe | 0.63 | 0.45 |
| Sortino | 1.02 | 0.7 |
| Smart Sortino | 0.88 | 0.6 |
| Sortino/√2 | 0.72 | 0.49 |
| Smart Sortino/√2 | 0.63 | 0.42 |
| Omega | 1.18 | 1.14 |
| Max Drawdown | -33.72% | -46.17% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-01-21 |
| Max DD Period End | 2020-08-07 | 2020-12-08 |
| Longest DD Days | 708 | 1037 |
| Volatility (ann.) | 19.46% | 17.72% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.48 | 0.24 |
| Skew | -0.29 | -1.3 |
| Kurtosis | 13.92 | 10.18 |
| Ulcer Performance Index | 26.04 | 8.97 |
| Risk-Adjusted Return | 16.33% | 11.94% |
| Risk-Return Ratio | 0.06 | 0.04 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.86% | 0.86% |
| Avg. Loss | -1.02% | -0.99% |
| Win/Loss Ratio | 0.84 | 0.87 |
| Profit Ratio | 0.78 | 0.57 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.25% | 0.88% |
| Expected Yearly | 15.01% | 10.34% |
| Kelly Criterion | 1.77% | 4.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.79% |
| Expected Shortfall (cVaR) | -3.2% | -3.1% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 7 | 11 |
| Gain/Pain Ratio | 0.18 | 0.14 |
| Gain/Pain (1M) | 1.16 | 0.57 |
| Payoff Ratio | 0.84 | 0.87 |
| Profit Factor | 1.18 | 1.14 |
| Common Sense Ratio | 1.13 | 1.13 |
| CPC Index | 0.55 | 0.55 |
| Tail Ratio | 0.96 | 1.0 |
| Outlier Win Ratio | 3.69 | 3.76 |
| Outlier Loss Ratio | 4.11 | 3.53 |
| 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.) | 16.33% | 11.22% |
| All-time (ann.) | 16.33% | 11.22% |
| Best Day | 10.5% | 6.86% |
| Worst Day | -10.94% | -8.74% |
| Best Month | 12.7% | 16.97% |
| Worst Month | -12.49% | -24.33% |
| Best Year | 28.73% | 29.63% |
| Worst Year | -18.18% | -16.8% |
| Avg. Drawdown | -1.79% | -4.48% |
| Avg. Drawdown Days | 16 | 47 |
| Recovery Factor | 3.74 | 1.96 |
| Ulcer Index | 0.08 | 0.13 |
| Serenity Index | 1.03 | 0.25 |
| Avg. Up Month | 4.26% | 4.57% |
| Avg. Down Month | -3.61% | -6.04% |
| Win Days | 55.21% | 55.52% |
| Win Month | 65.56% | 64.44% |
| Win Quarter | 77.42% | 74.19% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.38 |
| Alpha | - | 0.06 |
| Correlation | - | 41.21% |
| Treynor Ratio | - | 318.7% |
| Year | SPY | PEFIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 9.52 | 0.58 | - |
| 2020 | 18.33 | 5.24 | 0.29 | - |
| 2021 | 28.73 | 20.29 | 0.71 | - |
| 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 |
|---|---|---|---|
| 2020-01-21 | 2020-12-08 | -46.17 | 323 |
| 2021-06-08 | 2024-04-09 | -32.26 | 1037 |
| 2024-10-03 | 2025-06-30 | -20.78 | 271 |
| 2019-07-02 | 2019-12-16 | -12.85 | 168 |
| 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 |
| 2021-01-22 | 2021-02-09 | -6.82 | 19 |
| 2024-05-29 | 2024-07-10 | -4.62 | 43 |