| Metric | SPY | PFATX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 75.63% | 33.97% |
| CAGR﹪ | 12.01% | 6.07% |
| Sharpe | 0.52 | 0.26 |
| Prob. Sharpe Ratio | 87.82% | 72.25% |
| Smart Sharpe | 0.51 | 0.25 |
| Sortino | 0.75 | 0.39 |
| Smart Sortino | 0.73 | 0.37 |
| Sortino/√2 | 0.53 | 0.27 |
| Smart Sortino/√2 | 0.52 | 0.26 |
| Omega | 1.14 | 1.12 |
| 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.) | 17.2% | 9.33% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.56 |
| Skew | 0.33 | 0.29 |
| Kurtosis | 8.96 | 2.72 |
| Ulcer Performance Index | 8.93 | 7.13 |
| Risk-Adjusted Return | 12.01% | 6.67% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.65% | 0.45% |
| Avg. Loss | -0.64% | -0.42% |
| Win/Loss Ratio | 1.02 | 1.07 |
| Profit Ratio | 0.85 | 0.65 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 0.93% | 0.48% |
| Expected Yearly | 9.84% | 5.0% |
| Kelly Criterion | 7.92% | 7.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.94% |
| Expected Shortfall (cVaR) | -2.58% | -1.26% |
| Max Consecutive Wins | 10 | 13 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.12 |
| Gain/Pain (1M) | 0.8 | 0.62 |
| Payoff Ratio | 1.02 | 1.07 |
| Profit Factor | 1.14 | 1.12 |
| Common Sense Ratio | 1.15 | 1.23 |
| CPC Index | 0.62 | 0.62 |
| Tail Ratio | 1.01 | 1.1 |
| Outlier Win Ratio | 3.4 | 3.43 |
| Outlier Loss Ratio | 3.79 | 2.92 |
| MTD | 1.47% | -1.03% |
| 3M | 1.46% | 4.18% |
| 6M | 6.94% | 10.76% |
| YTD | 13.33% | 19.24% |
| 1Y | 13.84% | 23.19% |
| 3Y (ann.) | 21.0% | 6.78% |
| 5Y (ann.) | 12.96% | 6.78% |
| 10Y (ann.) | 12.01% | 6.07% |
| All-time (ann.) | 12.01% | 6.07% |
| Best Day | 10.5% | 4.21% |
| Worst Day | -5.85% | -2.31% |
| Best Month | 10.51% | 7.73% |
| Worst Month | -9.24% | -5.37% |
| Best Year | 26.18% | 19.24% |
| Worst Year | -18.18% | -6.83% |
| Avg. Drawdown | -1.93% | -2.22% |
| Avg. Drawdown Days | 21 | 41 |
| Recovery Factor | 2.6 | 2.91 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.43 | 0.42 |
| Avg. Up Month | 3.37% | 2.0% |
| Avg. Down Month | -3.48% | -3.12% |
| Win Days | 53.56% | 52.04% |
| Win Month | 62.3% | 60.66% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | -0.13 |
| Alpha | - | 0.08 |
| Correlation | - | -24.38% |
| Treynor Ratio | - | -256.93% |
| Year | SPY | PFATX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -1.71 | -0.99 | - |
| 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 | 13.33 | 19.24 | 1.44 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-05 | 2026-01-20 | -10.78 | 656 |
| 2022-05-27 | 2022-10-25 | -9.17 | 152 |
| 2026-03-30 | 2026-07-16 | -7.72 | 109 |
| 2023-04-12 | 2023-12-21 | -6.77 | 254 |
| 2023-01-27 | 2023-04-04 | -6.20 | 68 |
| 2026-09-16 | 2026-10-21 | -5.68 | 36 |
| 2022-02-22 | 2022-04-25 | -4.61 | 63 |
| 2021-11-12 | 2022-01-04 | -4.19 | 54 |
| 2026-07-30 | 2026-08-21 | -3.78 | 23 |
| 2026-10-23 | 2026-10-29 | -2.85 | 7 |