| Metric | SPY | PFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 26.93% |
| CAGR﹪ | 14.51% | 27.17% |
| Sharpe | 0.83 | 0.82 |
| Prob. Sharpe Ratio | 79.61% | 79.58% |
| Smart Sharpe | 0.82 | 0.77 |
| Sortino | 1.22 | 1.3 |
| Smart Sortino | 1.2 | 1.22 |
| Sortino/√2 | 0.86 | 0.92 |
| Smart Sortino/√2 | 0.85 | 0.86 |
| Omega | 1.2 | 1.17 |
| Max Drawdown | -8.88% | -19.47% |
| Max DD Date | 2026-03-30 | 2026-06-29 |
| Max DD Period Start | 2026-01-28 | 2026-05-20 |
| Max DD Period End | 2026-04-13 | 2026-07-30 |
| Longest DD Days | 76 | 81 |
| Volatility (ann.) | 12.86% | 30.5% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.63 | 1.4 |
| Skew | -0.02 | 0.58 |
| Kurtosis | 0.78 | 1.28 |
| Ulcer Performance Index | 6.68 | 3.35 |
| Risk-Adjusted Return | 14.51% | 27.17% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.06% | 0.11% |
| Avg. Win | 0.48% | 1.24% |
| Avg. Loss | -0.64% | -1.49% |
| Win/Loss Ratio | 0.75 | 0.83 |
| Profit Ratio | 1.02 | 1.09 |
| Expected Daily | 0.05% | 0.1% |
| Expected Monthly | 1.04% | 1.85% |
| Expected Yearly | 6.95% | 12.66% |
| Kelly Criterion | -12.04% | -8.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -3.05% |
| Expected Shortfall (cVaR) | -1.66% | -3.85% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.2 | 0.17 |
| Gain/Pain (1M) | 1.83 | 0.79 |
| Payoff Ratio | 0.75 | 0.83 |
| Profit Factor | 1.2 | 1.17 |
| Common Sense Ratio | 1.19 | 1.45 |
| CPC Index | 0.47 | 0.49 |
| Tail Ratio | 0.99 | 1.25 |
| Outlier Win Ratio | 2.84 | 3.38 |
| Outlier Loss Ratio | 3.01 | 2.92 |
| MTD | 1.47% | -2.11% |
| 3M | 1.46% | 4.81% |
| 6M | 6.94% | 18.27% |
| YTD | 13.33% | 16.51% |
| 1Y | 14.39% | 26.93% |
| 3Y (ann.) | 14.51% | 27.17% |
| 5Y (ann.) | 14.51% | 27.17% |
| 10Y (ann.) | 14.51% | 27.17% |
| All-time (ann.) | 14.51% | 27.17% |
| Best Day | 2.91% | 8.52% |
| Worst Day | -2.58% | -4.42% |
| Best Month | 10.51% | 22.78% |
| Worst Month | -4.94% | -12.29% |
| Best Year | 13.33% | 16.51% |
| Worst Year | 0.94% | 8.94% |
| Avg. Drawdown | -1.74% | -7.44% |
| Avg. Drawdown Days | 14 | 26 |
| Recovery Factor | 1.61 | 1.46 |
| Ulcer Index | 0.02 | 0.08 |
| Serenity Index | 0.94 | 0.41 |
| Avg. Up Month | 2.87% | 8.21% |
| Avg. Down Month | -0.93% | -9.88% |
| Win Days | 52.0% | 50.6% |
| Win Month | 61.54% | 46.15% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.71 |
| Alpha | - | 0.39 |
| Correlation | - | -30.09% |
| Treynor Ratio | - | -37.74% |
| Year | SPY | PFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 8.94 | 9.53 | + |
| 2026 | 13.33 | 16.51 | 1.24 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-20 | 2026-07-30 | -19.47 | 72 |
| 2026-10-06 | 2026-11-04 | -18.62 | 30 |
| 2026-01-05 | 2026-03-26 | -15.17 | 81 |
| 2026-03-30 | 2026-05-14 | -11.59 | 46 |
| 2026-08-18 | 2026-09-22 | -6.67 | 36 |
| 2025-12-16 | 2025-12-31 | -4.84 | 16 |
| 2026-08-04 | 2026-08-14 | -4.80 | 11 |
| 2025-11-24 | 2025-12-01 | -4.16 | 8 |
| 2025-11-06 | 2025-11-12 | -1.20 | 7 |
| 2025-11-19 | 2025-11-20 | -1.02 | 2 |