| Metric | SPY | PFATX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 206.09% | 21.91% |
| CAGR﹪ | 16.33% | 2.71% |
| Sharpe | 0.73 | 0.03 |
| Prob. Sharpe Ratio | 97.49% | 52.74% |
| Smart Sharpe | 0.63 | 0.02 |
| Sortino | 1.02 | 0.04 |
| Smart Sortino | 0.88 | 0.03 |
| Sortino/√2 | 0.72 | 0.03 |
| Smart Sortino/√2 | 0.63 | 0.02 |
| Omega | 1.18 | 1.06 |
| Max Drawdown | -33.72% | -16.25% |
| Max DD Date | 2020-03-23 | 2020-09-01 |
| Max DD Period Start | 2020-02-20 | 2019-11-11 |
| Max DD Period End | 2020-08-07 | 2022-11-01 |
| Longest DD Days | 708 | 1087 |
| Volatility (ann.) | 19.46% | 9.23% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.17 |
| Skew | -0.29 | 0.25 |
| Kurtosis | 13.92 | 2.93 |
| Ulcer Performance Index | 26.04 | 3.22 |
| Risk-Adjusted Return | 16.33% | 3.02% |
| Risk-Return Ratio | 0.06 | 0.02 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.75% | 0.47% |
| Avg. Loss | -0.81% | -0.43% |
| Win/Loss Ratio | 0.92 | 1.08 |
| Profit Ratio | 0.78 | 0.71 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.25% | 0.22% |
| Expected Yearly | 15.01% | 2.51% |
| Kelly Criterion | 6.28% | 3.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.94% |
| Expected Shortfall (cVaR) | -3.2% | -1.31% |
| Max Consecutive Wins | 11 | 13 |
| Max Consecutive Losses | 7 | 12 |
| Gain/Pain Ratio | 0.18 | 0.06 |
| Gain/Pain (1M) | 1.16 | 0.28 |
| Payoff Ratio | 0.92 | 1.08 |
| Profit Factor | 1.18 | 1.06 |
| Common Sense Ratio | 1.13 | 1.12 |
| CPC Index | 0.6 | 0.57 |
| Tail Ratio | 0.96 | 1.06 |
| Outlier Win Ratio | 3.69 | 3.59 |
| Outlier Loss Ratio | 4.11 | 3.05 |
| 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.) | 16.33% | 2.71% |
| All-time (ann.) | 16.33% | 2.71% |
| Best Day | 10.5% | 4.21% |
| Worst Day | -10.94% | -2.95% |
| Best Month | 12.7% | 7.73% |
| Worst Month | -12.49% | -8.53% |
| Best Year | 28.73% | 19.24% |
| Worst Year | -18.18% | -9.72% |
| Avg. Drawdown | -1.79% | -2.76% |
| Avg. Drawdown Days | 16 | 84 |
| Recovery Factor | 3.74 | 1.41 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 1.03 | 0.14 |
| Avg. Up Month | 3.78% | 1.91% |
| Avg. Down Month | -4.01% | -2.88% |
| Win Days | 55.21% | 49.82% |
| Win Month | 65.56% | 53.33% |
| Win Quarter | 77.42% | 58.06% |
| Win Year | 87.5% | 62.5% |
| Beta | - | -0.04 |
| Alpha | - | 0.04 |
| Correlation | - | -9.45% |
| Treynor Ratio | - | -488.51% |
| Year | SPY | PFATX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 0.10 | 0.01 | - |
| 2020 | 18.33 | -9.72 | -0.53 | - |
| 2021 | 28.73 | -1.03 | -0.04 | - |
| 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 |
|---|---|---|---|
| 2019-11-11 | 2022-11-01 | -16.25 | 1087 |
| 2024-04-05 | 2026-01-20 | -10.78 | 656 |
| 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 |
| 2026-07-30 | 2026-08-21 | -3.78 | 23 |
| 2019-06-05 | 2019-11-01 | -3.68 | 150 |
| 2026-10-23 | 2026-10-29 | -2.85 | 7 |
| 2026-02-17 | 2026-03-23 | -2.82 | 35 |