| Metric | SPY | PFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 74.99% | 213.11% |
| CAGR﹪ | 11.91% | 25.8% |
| Sharpe | 0.52 | 0.68 |
| Prob. Sharpe Ratio | 87.6% | 93.7% |
| Smart Sharpe | 0.5 | 0.68 |
| Sortino | 0.74 | 1.03 |
| Smart Sortino | 0.72 | 1.03 |
| Sortino/√2 | 0.53 | 0.73 |
| Smart Sortino/√2 | 0.51 | 0.72 |
| Omega | 1.14 | 1.14 |
| Max Drawdown | -24.5% | -36.17% |
| Max DD Date | 2022-10-12 | 2023-12-15 |
| Max DD Period Start | 2022-01-04 | 2023-10-23 |
| Max DD Period End | 2023-12-12 | 2025-04-17 |
| Longest DD Days | 708 | 543 |
| Volatility (ann.) | 17.19% | 39.07% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.49 | 0.71 |
| Skew | 0.33 | 0.2 |
| Kurtosis | 8.98 | 0.48 |
| Ulcer Performance Index | 8.86 | 11.8 |
| Risk-Adjusted Return | 11.91% | 25.8% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.12% |
| Avg. Win | 0.72% | 1.77% |
| Avg. Loss | -0.81% | -1.82% |
| Win/Loss Ratio | 0.9 | 0.97 |
| Profit Ratio | 0.86 | 1.13 |
| Expected Daily | 0.04% | 0.09% |
| Expected Monthly | 0.92% | 1.89% |
| Expected Yearly | 9.77% | 20.95% |
| Kelly Criterion | 1.65% | -1.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -3.93% |
| Expected Shortfall (cVaR) | -2.58% | -5.04% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | 0.14 |
| Gain/Pain (1M) | 0.79 | 0.75 |
| Payoff Ratio | 0.9 | 0.97 |
| Profit Factor | 1.14 | 1.14 |
| Common Sense Ratio | 1.15 | 1.27 |
| CPC Index | 0.55 | 0.55 |
| Tail Ratio | 1.0 | 1.12 |
| Outlier Win Ratio | 3.4 | 3.26 |
| Outlier Loss Ratio | 3.8 | 3.3 |
| MTD | 1.47% | -2.11% |
| 3M | 1.46% | 4.81% |
| 6M | 6.94% | 18.27% |
| YTD | 13.33% | 16.51% |
| 1Y | 13.43% | 29.44% |
| 3Y (ann.) | 20.78% | 12.29% |
| 5Y (ann.) | 12.86% | 26.16% |
| 10Y (ann.) | 11.91% | 25.8% |
| All-time (ann.) | 11.91% | 25.8% |
| Best Day | 10.5% | 9.0% |
| Worst Day | -5.85% | -7.72% |
| Best Month | 10.51% | 25.25% |
| Worst Month | -9.24% | -18.46% |
| Best Year | 26.18% | 92.05% |
| Worst Year | -18.18% | -3.25% |
| Avg. Drawdown | -1.94% | -9.59% |
| Avg. Drawdown Days | 21 | 69 |
| Recovery Factor | 2.58 | 4.2 |
| Ulcer Index | 0.08 | 0.18 |
| Serenity Index | 0.43 | 0.63 |
| Avg. Up Month | 3.21% | 7.84% |
| Avg. Down Month | -1.02% | -10.87% |
| Win Days | 53.48% | 49.92% |
| Win Month | 62.3% | 55.74% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 83.33% |
| Beta | - | -0.19 |
| Alpha | - | 0.33 |
| Correlation | - | -8.52% |
| Treynor Ratio | - | -1100.35% |
| Year | SPY | PFIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -3.25 | -1.88 | - |
| 2022 | -18.18 | 92.05 | -5.06 | + |
| 2023 | 26.18 | 5.67 | 0.22 | - |
| 2024 | 24.89 | 35.94 | 1.44 | + |
| 2025 | 17.72 | 0.68 | 0.04 | - |
| 2026 | 13.33 | 16.51 | 1.24 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-10-23 | 2025-04-17 | -36.17 | 543 |
| 2022-10-25 | 2023-09-20 | -32.20 | 331 |
| 2025-05-22 | 2026-09-23 | -28.03 | 490 |
| 2022-06-15 | 2022-09-23 | -25.57 | 101 |
| 2022-05-09 | 2022-06-13 | -18.75 | 36 |
| 2026-10-06 | 2026-11-04 | -18.62 | 30 |
| 2025-04-23 | 2025-05-09 | -10.74 | 17 |
| 2021-11-16 | 2022-02-03 | -9.04 | 80 |
| 2023-10-09 | 2023-10-18 | -8.76 | 10 |
| 2022-02-16 | 2022-03-11 | -7.52 | 24 |