| Metric | SPY | PFATX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 18.6% | 3.69% |
| CAGR﹪ | 40.67% | 7.51% |
| Sharpe | 2.32 | 0.36 |
| Prob. Sharpe Ratio | 95.04% | 60.03% |
| Smart Sharpe | 2.3 | 0.29 |
| Sortino | 3.78 | 0.49 |
| Smart Sortino | 3.75 | 0.39 |
| Sortino/√2 | 2.67 | 0.35 |
| Smart Sortino/√2 | 2.65 | 0.28 |
| Omega | 1.54 | 1.11 |
| Max Drawdown | -4.49% | -7.72% |
| Max DD Date | 2026-06-10 | 2026-05-13 |
| Max DD Period Start | 2026-06-03 | 2026-03-30 |
| Max DD Period End | 2026-07-31 | 2026-07-16 |
| Longest DD Days | 59 | 109 |
| Volatility (ann.) | 13.55% | 12.01% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 9.05 | 0.97 |
| Skew | 0.1 | -0.53 |
| Kurtosis | 1.12 | 0.31 |
| Ulcer Performance Index | 11.86 | 1.1 |
| Risk-Adjusted Return | 40.67% | 7.83% |
| Risk-Return Ratio | 0.16 | 0.04 |
| Avg. Return | 0.14% | 0.03% |
| Avg. Win | 0.51% | 0.47% |
| Avg. Loss | -0.38% | -0.41% |
| Win/Loss Ratio | 1.34 | 1.17 |
| Profit Ratio | 1.12 | 0.59 |
| Expected Daily | 0.14% | 0.03% |
| Expected Monthly | 2.47% | 0.52% |
| Expected Yearly | 18.6% | 3.69% |
| Kelly Criterion | 19.67% | 17.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.21% |
| Expected Shortfall (cVaR) | -1.77% | -1.79% |
| Max Consecutive Wins | 7 | 13 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.11 |
| Gain/Pain (1M) | 10.92 | 0.61 |
| Payoff Ratio | 1.34 | 1.17 |
| Profit Factor | 1.54 | 1.11 |
| Common Sense Ratio | 2.01 | 1.18 |
| CPC Index | 1.12 | 0.73 |
| Tail Ratio | 1.3 | 1.06 |
| Outlier Win Ratio | 3.21 | 2.56 |
| Outlier Loss Ratio | 3.16 | 3.03 |
| MTD | 1.08% | -3.33% |
| 3M | 3.82% | 4.28% |
| 6M | 18.6% | 3.69% |
| YTD | 18.6% | 3.69% |
| 1Y | 18.6% | 3.69% |
| 3Y (ann.) | 40.67% | 7.51% |
| 5Y (ann.) | 40.67% | 7.51% |
| 10Y (ann.) | 40.67% | 7.51% |
| All-time (ann.) | 40.67% | 7.51% |
| Best Day | 2.91% | 1.39% |
| Worst Day | -2.58% | -2.31% |
| Best Month | 10.51% | 5.36% |
| Worst Month | -1.03% | -3.33% |
| Best Year | 18.6% | 3.69% |
| Worst Year | 18.6% | 3.69% |
| Avg. Drawdown | -1.13% | -2.79% |
| Avg. Drawdown Days | 9 | 23 |
| Recovery Factor | 3.9 | 0.52 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 2.75 | 0.13 |
| Avg. Up Month | 1.36% | 3.08% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 55.83% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.45 |
| Alpha | - | 0.24 |
| Correlation | - | -51.11% |
| Treynor Ratio | - | -8.14% |
| Year | SPY | PFATX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 3.69 | 0.20 | - |
| 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 | 2026-08-21 | -3.78 | 23 |
| 2026-08-27 | 2026-09-01 | -1.44 | 6 |
| 2026-09-03 | 2026-09-14 | -1.13 | 12 |
| 2026-07-20 | 2026-07-23 | -0.34 | 4 |
| 2026-08-25 | 2026-08-25 | -0.33 | 1 |