| Metric | SPY | PFATX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 14.81% | 22.57% |
| CAGR﹪ | 15.07% | 22.97% |
| Sharpe | 0.87 | 1.49 |
| Prob. Sharpe Ratio | 80.5% | 92.97% |
| Smart Sharpe | 0.86 | 1.36 |
| Sortino | 1.27 | 2.25 |
| Smart Sortino | 1.26 | 2.05 |
| Sortino/√2 | 0.9 | 1.59 |
| Smart Sortino/√2 | 0.89 | 1.45 |
| Omega | 1.21 | 1.34 |
| 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.) | 12.91% | 11.88% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.7 | 2.98 |
| Skew | -0.03 | -0.08 |
| Kurtosis | 0.75 | 0.56 |
| Ulcer Performance Index | 6.86 | 8.23 |
| Risk-Adjusted Return | 15.07% | 24.43% |
| Risk-Return Ratio | 0.07 | 0.11 |
| Avg. Return | 0.07% | 0.09% |
| Avg. Win | 0.5% | 0.55% |
| Avg. Loss | -0.42% | -0.37% |
| Win/Loss Ratio | 1.2 | 1.5 |
| Profit Ratio | 0.99 | 0.72 |
| Expected Daily | 0.06% | 0.08% |
| Expected Monthly | 1.07% | 1.58% |
| Expected Yearly | 7.15% | 10.71% |
| Kelly Criterion | 12.8% | 24.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.15% |
| Expected Shortfall (cVaR) | -1.66% | -1.66% |
| Max Consecutive Wins | 7 | 13 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.21 | 0.34 |
| Gain/Pain (1M) | 1.88 | 2.51 |
| Payoff Ratio | 1.2 | 1.5 |
| Profit Factor | 1.21 | 1.34 |
| Common Sense Ratio | 1.2 | 1.54 |
| CPC Index | 0.76 | 1.1 |
| Tail Ratio | 0.99 | 1.15 |
| Outlier Win Ratio | 2.84 | 3.15 |
| Outlier Loss Ratio | 2.98 | 3.01 |
| MTD | 1.47% | -1.03% |
| 3M | 1.46% | 4.18% |
| 6M | 6.94% | 10.76% |
| YTD | 13.33% | 19.24% |
| 1Y | 14.81% | 22.57% |
| 3Y (ann.) | 15.07% | 22.97% |
| 5Y (ann.) | 15.07% | 22.97% |
| 10Y (ann.) | 15.07% | 22.97% |
| All-time (ann.) | 15.07% | 22.97% |
| Best Day | 2.91% | 2.58% |
| Worst Day | -2.58% | -2.31% |
| Best Month | 10.51% | 7.73% |
| Worst Month | -4.94% | -4.15% |
| Best Year | 13.33% | 19.24% |
| Worst Year | 1.31% | 2.78% |
| Avg. Drawdown | -1.72% | -2.05% |
| Avg. Drawdown Days | 13 | 17 |
| Recovery Factor | 1.65 | 2.73 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.96 | 0.92 |
| Avg. Up Month | 1.1% | 2.45% |
| Avg. Down Month | -0.33% | -4.15% |
| Win Days | 52.42% | 54.94% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.4 |
| Alpha | - | 0.27 |
| Correlation | - | -43.01% |
| Treynor Ratio | - | -56.99% |
| Year | SPY | PFATX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | 2.78 | 2.13 | + |
| 2026 | 13.33 | 19.24 | 1.44 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-30 | 2026-07-16 | -7.72 | 109 |
| 2026-09-16 | 2026-10-21 | -5.68 | 36 |
| 2026-07-30 | 2026-08-25 | -3.78 | 27 |
| 2026-10-23 | 2026-10-29 | -2.85 | 7 |
| 2026-02-17 | 2026-03-23 | -2.82 | 35 |
| 2025-12-16 | 2026-01-13 | -2.52 | 29 |
| 2026-11-03 | 2026-11-04 | -1.59 | 2 |
| 2026-01-22 | 2026-02-02 | -1.54 | 12 |
| 2026-08-27 | 2026-09-01 | -1.44 | 6 |
| 2025-11-10 | 2025-11-17 | -1.13 | 8 |