| Metric | SPY | PEFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 208.72% | 140.02% |
| CAGR﹪ | 16.76% | 12.79% |
| Sharpe | 0.74 | 0.61 |
| Prob. Sharpe Ratio | 97.64% | 94.42% |
| Smart Sharpe | 0.64 | 0.52 |
| Sortino | 1.05 | 0.8 |
| Smart Sortino | 0.9 | 0.69 |
| Sortino/√2 | 0.74 | 0.57 |
| Smart Sortino/√2 | 0.64 | 0.49 |
| Omega | 1.19 | 1.15 |
| 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.) | 19.57% | 17.76% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.5 | 0.28 |
| Skew | -0.29 | -1.31 |
| Kurtosis | 13.83 | 10.28 |
| Ulcer Performance Index | 26.16 | 10.42 |
| Risk-Adjusted Return | 16.76% | 13.61% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.07% | 0.06% |
| Avg. Win | 0.86% | 0.86% |
| Avg. Loss | -1.03% | -0.99% |
| Win/Loss Ratio | 0.83 | 0.87 |
| Profit Ratio | 0.77 | 0.57 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 1.29% | 1.0% |
| Expected Yearly | 15.13% | 11.57% |
| Kelly Criterion | 1.66% | 4.9% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.79% |
| Expected Shortfall (cVaR) | -3.2% | -3.11% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 7 | 11 |
| Gain/Pain Ratio | 0.19 | 0.15 |
| Gain/Pain (1M) | 1.18 | 0.66 |
| Payoff Ratio | 0.83 | 0.87 |
| Profit Factor | 1.19 | 1.15 |
| Common Sense Ratio | 1.14 | 1.15 |
| CPC Index | 0.55 | 0.56 |
| Tail Ratio | 0.96 | 1.0 |
| Outlier Win Ratio | 3.69 | 3.74 |
| Outlier Loss Ratio | 4.1 | 3.57 |
| 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.) | 16.76% | 12.79% |
| All-time (ann.) | 16.76% | 12.79% |
| 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 | -1.78% | -4.34% |
| Avg. Drawdown Days | 16 | 46 |
| Recovery Factor | 3.76 | 2.15 |
| Ulcer Index | 0.08 | 0.13 |
| Serenity Index | 1.03 | 0.27 |
| Avg. Up Month | 4.2% | 4.5% |
| Avg. Down Month | -3.89% | -6.25% |
| Win Days | 55.32% | 55.73% |
| Win Month | 67.05% | 67.05% |
| Win Quarter | 76.67% | 76.67% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.38 |
| Alpha | - | 0.07 |
| Correlation | - | 41.36% |
| Treynor Ratio | - | 372.92% |
| 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 | 14.30 | 25.03 | 1.75 | + |
| 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 |
| 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 |
| 2026-05-07 | 2026-05-22 | -4.37 | 16 |