| Metric | SPY | PFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 20.54% |
| CAGR﹪ | 18.02% | 20.72% |
| Sharpe | 1.04 | 0.66 |
| Prob. Sharpe Ratio | 84.73% | 74.68% |
| Smart Sharpe | 1.01 | 0.66 |
| Sortino | 1.51 | 1.04 |
| Smart Sortino | 1.47 | 1.04 |
| Sortino/√2 | 1.07 | 0.73 |
| Smart Sortino/√2 | 1.04 | 0.73 |
| Omega | 1.25 | 1.14 |
| 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.) | 12.99% | 28.72% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 2.03 | 1.06 |
| Skew | -0.15 | 0.64 |
| Kurtosis | 1.05 | 1.84 |
| Ulcer Performance Index | 8.3 | 2.81 |
| Risk-Adjusted Return | 18.02% | 20.72% |
| Risk-Return Ratio | 0.08 | 0.05 |
| Avg. Return | 0.07% | 0.09% |
| Avg. Win | 0.46% | 1.11% |
| Avg. Loss | -0.63% | -1.44% |
| Win/Loss Ratio | 0.73 | 0.77 |
| Profit Ratio | 0.94 | 1.0 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.27% | 1.45% |
| Expected Yearly | 8.57% | 9.79% |
| Kelly Criterion | -10.12% | -11.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.89% |
| Expected Shortfall (cVaR) | -1.72% | -3.53% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.25 | 0.14 |
| Gain/Pain (1M) | 2.6 | 0.82 |
| Payoff Ratio | 0.73 | 0.77 |
| Profit Factor | 1.25 | 1.14 |
| Common Sense Ratio | 1.24 | 1.18 |
| CPC Index | 0.49 | 0.45 |
| Tail Ratio | 0.99 | 1.04 |
| Outlier Win Ratio | 2.88 | 3.71 |
| Outlier Loss Ratio | 3.19 | 2.87 |
| MTD | 1.08% | 3.29% |
| 3M | 3.82% | 22.57% |
| 6M | 19.85% | 10.35% |
| YTD | 14.3% | 12.51% |
| 1Y | 17.87% | 20.54% |
| 3Y (ann.) | 18.02% | 20.72% |
| 5Y (ann.) | 18.02% | 20.72% |
| 10Y (ann.) | 18.02% | 20.72% |
| All-time (ann.) | 18.02% | 20.72% |
| Best Day | 2.91% | 8.52% |
| Worst Day | -2.7% | -4.39% |
| Best Month | 10.51% | 20.71% |
| Worst Month | -4.94% | -12.29% |
| Best Year | 14.3% | 12.51% |
| Worst Year | 3.13% | 7.13% |
| Avg. Drawdown | -1.71% | -6.5% |
| Avg. Drawdown Days | 13 | 27 |
| Recovery Factor | 1.94 | 1.17 |
| Ulcer Index | 0.02 | 0.07 |
| Serenity Index | 1.16 | 0.37 |
| Avg. Up Month | 2.06% | 6.65% |
| Avg. Down Month | -0.95% | -9.32% |
| Win Days | 53.6% | 51.41% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.72 |
| Alpha | - | 0.35 |
| Correlation | - | -32.52% |
| Treynor Ratio | - | -28.57% |
| Year | SPY | PFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 7.13 | 2.28 | + |
| 2026 | 14.30 | 12.51 | 0.88 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-20 | 2026-07-30 | -19.47 | 72 |
| 2026-01-05 | 2026-03-26 | -15.17 | 81 |
| 2026-03-30 | 2026-05-14 | -11.59 | 46 |
| 2025-10-10 | 2025-12-01 | -8.90 | 53 |
| 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 |
| 2025-09-29 | 2025-10-06 | -3.05 | 8 |
| 2025-09-25 | 2025-09-25 | -1.30 | 1 |
| 2025-12-09 | 2025-12-11 | -0.91 | 3 |