| Metric | SPY | PFATX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 87.27% | 25.41% |
| CAGR﹪ | 13.47% | 4.67% |
| Sharpe | 0.6 | 0.13 |
| Prob. Sharpe Ratio | 91.03% | 61.36% |
| Smart Sharpe | 0.58 | 0.12 |
| Sortino | 0.87 | 0.19 |
| Smart Sortino | 0.84 | 0.18 |
| Sortino/√2 | 0.61 | 0.13 |
| Smart Sortino/√2 | 0.59 | 0.13 |
| Omega | 1.16 | 1.1 |
| Max Drawdown | -24.5% | -10.78% |
| Max DD Date | 2022-10-12 | 2024-12-26 |
| Max DD Period Start | 2022-01-04 | 2024-04-05 |
| Max DD Period End | 2023-12-12 | 2026-01-20 |
| Longest DD Days | 708 | 656 |
| Volatility (ann.) | 17.21% | 9.13% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.43 |
| Skew | 0.32 | 0.21 |
| Kurtosis | 8.93 | 2.59 |
| Ulcer Performance Index | 10.31 | 5.28 |
| Risk-Adjusted Return | 13.47% | 5.18% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.66% | 0.45% |
| Avg. Loss | -0.65% | -0.44% |
| Win/Loss Ratio | 1.01 | 1.04 |
| Profit Ratio | 0.83 | 0.63 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.37% |
| Expected Yearly | 11.02% | 3.85% |
| Kelly Criterion | 8.59% | 5.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.93% |
| Expected Shortfall (cVaR) | -2.58% | -1.24% |
| Max Consecutive Wins | 10 | 13 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.1 |
| Gain/Pain (1M) | 0.88 | 0.49 |
| Payoff Ratio | 1.01 | 1.04 |
| Profit Factor | 1.16 | 1.1 |
| Common Sense Ratio | 1.17 | 1.16 |
| CPC Index | 0.63 | 0.59 |
| Tail Ratio | 1.01 | 1.06 |
| Outlier Win Ratio | 3.42 | 3.47 |
| Outlier Loss Ratio | 3.76 | 2.9 |
| MTD | 1.08% | -3.33% |
| 3M | 3.82% | 4.28% |
| 6M | 19.85% | 3.57% |
| YTD | 14.3% | 12.8% |
| 1Y | 18.22% | 17.27% |
| 3Y (ann.) | 25.09% | 4.85% |
| 5Y (ann.) | 13.16% | 5.12% |
| 10Y (ann.) | 13.47% | 4.67% |
| All-time (ann.) | 13.47% | 4.67% |
| Best Day | 10.5% | 4.21% |
| Worst Day | -5.85% | -2.31% |
| Best Month | 10.51% | 6.33% |
| Worst Month | -9.24% | -5.37% |
| Best Year | 26.18% | 12.8% |
| Worst Year | -18.18% | -6.83% |
| Avg. Drawdown | -1.89% | -2.4% |
| Avg. Drawdown Days | 20 | 46 |
| Recovery Factor | 2.86 | 2.29 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.47 | 0.32 |
| Avg. Up Month | 3.37% | 2.0% |
| Avg. Down Month | -3.63% | -2.6% |
| Win Days | 54.12% | 52.05% |
| Win Month | 63.93% | 60.66% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | -0.12 |
| Alpha | - | 0.07 |
| Correlation | - | -23.38% |
| Treynor Ratio | - | -204.88% |
| Year | SPY | PFATX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -2.73 | -0.36 | - |
| 2022 | -18.18 | 12.80 | -0.70 | + |
| 2023 | 26.18 | 1.94 | 0.07 | - |
| 2024 | 24.89 | -6.83 | -0.27 | - |
| 2025 | 18.15 | 6.69 | 0.37 | - |
| 2026 | 14.30 | 12.80 | 0.89 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-05 | 2026-01-20 | -10.78 | 656 |
| 2022-06-08 | 2022-10-25 | -9.17 | 140 |
| 2026-03-30 | 2026-07-16 | -7.72 | 109 |
| 2023-04-12 | 2023-12-21 | -6.77 | 254 |
| 2021-09-29 | 2022-01-12 | -6.36 | 106 |
| 2023-01-27 | 2023-04-04 | -6.20 | 68 |
| 2026-09-16 | 2026-09-22 | -4.75 | 7 |
| 2022-02-22 | 2022-04-25 | -4.61 | 63 |
| 2026-07-30 | 2026-08-25 | -3.78 | 27 |
| 2026-02-17 | 2026-03-23 | -2.82 | 35 |