| Metric | SPY | PFATX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 18.3% | 16.38% |
| CAGR﹪ | 18.62% | 16.66% |
| Sharpe | 1.07 | 1.12 |
| Prob. Sharpe Ratio | 85.46% | 86.41% |
| Smart Sharpe | 1.04 | 0.99 |
| Sortino | 1.56 | 1.61 |
| Smart Sortino | 1.52 | 1.42 |
| Sortino/√2 | 1.1 | 1.14 |
| Smart Sortino/√2 | 1.07 | 1.0 |
| Omega | 1.26 | 1.27 |
| Max Drawdown | -8.88% | -7.72% |
| Max DD Date | 2026-03-30 | 2026-05-13 |
| Max DD Period Start | 2026-01-28 | 2026-03-30 |
| Max DD Period End | 2026-04-13 | 2026-07-16 |
| Longest DD Days | 76 | 109 |
| Volatility (ann.) | 13.04% | 10.71% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.1 | 2.16 |
| Skew | -0.16 | -0.36 |
| Kurtosis | 1.03 | 0.42 |
| Ulcer Performance Index | 8.48 | 6.56 |
| Risk-Adjusted Return | 18.62% | 17.73% |
| Risk-Return Ratio | 0.09 | 0.09 |
| Avg. Return | 0.08% | 0.07% |
| Avg. Win | 0.53% | 0.5% |
| Avg. Loss | -0.5% | -0.38% |
| Win/Loss Ratio | 1.05 | 1.3 |
| Profit Ratio | 0.91 | 0.66 |
| Expected Daily | 0.07% | 0.06% |
| Expected Monthly | 1.3% | 1.17% |
| Expected Yearly | 8.77% | 7.88% |
| Kelly Criterion | 10.1% | 20.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.05% |
| Expected Shortfall (cVaR) | -1.72% | -1.4% |
| Max Consecutive Wins | 7 | 13 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.26 | 0.27 |
| Gain/Pain (1M) | 2.66 | 2.32 |
| Payoff Ratio | 1.05 | 1.3 |
| Profit Factor | 1.26 | 1.27 |
| Common Sense Ratio | 1.25 | 1.41 |
| CPC Index | 0.71 | 0.92 |
| Tail Ratio | 0.99 | 1.11 |
| Outlier Win Ratio | 2.88 | 2.71 |
| Outlier Loss Ratio | 3.16 | 3.01 |
| MTD | 1.08% | -3.33% |
| 3M | 3.82% | 4.28% |
| 6M | 19.85% | 3.57% |
| YTD | 14.3% | 12.8% |
| 1Y | 18.3% | 16.38% |
| 3Y (ann.) | 18.62% | 16.66% |
| 5Y (ann.) | 18.62% | 16.66% |
| 10Y (ann.) | 18.62% | 16.66% |
| All-time (ann.) | 18.62% | 16.66% |
| Best Day | 2.91% | 1.43% |
| Worst Day | -2.7% | -2.31% |
| Best Month | 10.51% | 5.36% |
| Worst Month | -4.94% | -3.33% |
| Best Year | 14.3% | 12.8% |
| Worst Year | 3.5% | 3.18% |
| Avg. Drawdown | -1.69% | -1.84% |
| Avg. Drawdown Days | 13 | 16 |
| Recovery Factor | 1.99 | 2.04 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.19 | 0.71 |
| Avg. Up Month | 1.2% | 2.15% |
| Avg. Down Month | - | - |
| Win Days | 54.03% | 55.17% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.31 |
| Alpha | - | 0.22 |
| Correlation | - | -37.61% |
| Treynor Ratio | - | -52.99% |
| Year | SPY | PFATX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | 3.18 | 0.91 | - |
| 2026 | 14.30 | 12.80 | 0.89 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-30 | 2026-07-16 | -7.72 | 109 |
| 2026-09-16 | 2026-09-22 | -4.75 | 7 |
| 2026-07-30 | 2026-08-25 | -3.78 | 27 |
| 2026-02-17 | 2026-03-23 | -2.82 | 35 |
| 2025-12-16 | 2026-01-13 | -2.52 | 29 |
| 2025-10-24 | 2025-11-17 | -1.88 | 25 |
| 2026-01-22 | 2026-02-02 | -1.54 | 12 |
| 2025-10-06 | 2025-10-14 | -1.52 | 9 |
| 2026-08-27 | 2026-09-01 | -1.44 | 6 |
| 2026-09-03 | 2026-09-14 | -1.13 | 12 |