| Metric | SPY | PFATX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 6.48% | 10.63% |
| CAGR﹪ | 13.27% | 22.2% |
| Sharpe | 0.78 | 1.36 |
| Prob. Sharpe Ratio | 70.87% | 83.05% |
| Smart Sharpe | 0.75 | 1.17 |
| Sortino | 1.14 | 2.03 |
| Smart Sortino | 1.09 | 1.75 |
| Sortino/√2 | 0.8 | 1.43 |
| Smart Sortino/√2 | 0.77 | 1.24 |
| Omega | 1.19 | 1.32 |
| Max Drawdown | -4.49% | -5.68% |
| Max DD Date | 2026-06-10 | 2026-09-24 |
| Max DD Period Start | 2026-06-03 | 2026-09-16 |
| Max DD Period End | 2026-07-31 | 2026-10-21 |
| Longest DD Days | 59 | 36 |
| Volatility (ann.) | 12.4% | 12.76% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 2.95 | 3.91 |
| Skew | -0.15 | -0.08 |
| Kurtosis | 0.59 | 0.98 |
| Ulcer Performance Index | 3.89 | 4.54 |
| Risk-Adjusted Return | 13.27% | 23.62% |
| Risk-Return Ratio | 0.07 | 0.1 |
| Avg. Return | 0.05% | 0.09% |
| Avg. Win | 0.49% | 0.54% |
| Avg. Loss | -0.4% | -0.36% |
| Win/Loss Ratio | 1.22 | 1.48 |
| Profit Ratio | 1.15 | 0.72 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 0.9% | 1.45% |
| Expected Yearly | 6.48% | 10.63% |
| Kelly Criterion | 9.7% | 23.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.24% |
| Expected Shortfall (cVaR) | -1.63% | -1.86% |
| Max Consecutive Wins | 4 | 13 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | 0.32 |
| Gain/Pain (1M) | 3.26 | 2.02 |
| Payoff Ratio | 1.22 | 1.48 |
| Profit Factor | 1.19 | 1.32 |
| Common Sense Ratio | 1.47 | 1.48 |
| CPC Index | 0.73 | 1.06 |
| Tail Ratio | 1.23 | 1.12 |
| Outlier Win Ratio | 2.66 | 3.49 |
| Outlier Loss Ratio | 3.07 | 3.34 |
| MTD | 1.47% | -1.03% |
| 3M | 1.46% | 4.18% |
| 6M | 6.48% | 10.63% |
| YTD | 6.48% | 10.63% |
| 1Y | 6.48% | 10.63% |
| 3Y (ann.) | 13.27% | 22.2% |
| 5Y (ann.) | 13.27% | 22.2% |
| 10Y (ann.) | 13.27% | 22.2% |
| All-time (ann.) | 13.27% | 22.2% |
| Best Day | 1.8% | 2.58% |
| Worst Day | -2.58% | -2.31% |
| Best Month | 4.52% | 7.73% |
| Worst Month | -1.03% | -4.15% |
| Best Year | 6.48% | 10.63% |
| Worst Year | 6.48% | 10.63% |
| Avg. Drawdown | -1.57% | -2.48% |
| Avg. Drawdown Days | 17 | 14 |
| Recovery Factor | 1.48 | 1.85 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.91 | 0.72 |
| Avg. Up Month | 2.41% | 2.17% |
| Avg. Down Month | -0.33% | -4.15% |
| Win Days | 50.39% | 54.62% |
| Win Month | 57.14% | 71.43% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.5 |
| Alpha | - | 0.27 |
| Correlation | - | -48.27% |
| Treynor Ratio | - | -21.4% |
| Year | SPY | PFATX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 10.63 | 1.64 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-16 | 2026-10-21 | -5.68 | 36 |
| 2026-06-15 | 2026-07-16 | -4.51 | 32 |
| 2026-07-30 | 2026-08-25 | -3.78 | 27 |
| 2026-05-06 | 2026-05-21 | -3.01 | 16 |
| 2026-10-23 | 2026-10-29 | -2.85 | 7 |
| 2026-11-03 | 2026-11-04 | -1.59 | 2 |
| 2026-08-27 | 2026-09-01 | -1.44 | 6 |
| 2026-09-03 | 2026-09-14 | -1.13 | 12 |
| 2026-05-26 | 2026-05-27 | -0.46 | 2 |
| 2026-07-20 | 2026-07-23 | -0.34 | 4 |