| Metric | SPY | PFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 86.58% | 196.19% |
| CAGR﹪ | 13.36% | 24.41% |
| Sharpe | 0.59 | 0.66 |
| Prob. Sharpe Ratio | 90.85% | 92.97% |
| Smart Sharpe | 0.58 | 0.66 |
| Sortino | 0.86 | 0.99 |
| Smart Sortino | 0.83 | 0.99 |
| Sortino/√2 | 0.61 | 0.7 |
| Smart Sortino/√2 | 0.59 | 0.7 |
| Omega | 1.16 | 1.13 |
| 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.) | 17.2% | 38.84% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.55 | 0.67 |
| Skew | 0.32 | 0.2 |
| Kurtosis | 8.95 | 0.54 |
| Ulcer Performance Index | 10.24 | 10.89 |
| Risk-Adjusted Return | 13.36% | 24.41% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.11% |
| Avg. Win | 0.73% | 1.75% |
| Avg. Loss | -0.8% | -1.81% |
| Win/Loss Ratio | 0.9 | 0.97 |
| Profit Ratio | 0.83 | 1.14 |
| Expected Daily | 0.05% | 0.09% |
| Expected Monthly | 1.03% | 1.8% |
| Expected Yearly | 10.95% | 19.84% |
| Kelly Criterion | 3.22% | -2.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -3.91% |
| Expected Shortfall (cVaR) | -2.58% | -4.99% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.16 | 0.13 |
| Gain/Pain (1M) | 0.87 | 0.76 |
| Payoff Ratio | 0.9 | 0.97 |
| Profit Factor | 1.16 | 1.13 |
| Common Sense Ratio | 1.17 | 1.27 |
| CPC Index | 0.57 | 0.55 |
| Tail Ratio | 1.01 | 1.12 |
| Outlier Win Ratio | 3.41 | 3.28 |
| Outlier Loss Ratio | 3.77 | 3.34 |
| MTD | 1.08% | 3.29% |
| 3M | 3.82% | 22.57% |
| 6M | 19.85% | 10.35% |
| YTD | 14.3% | 12.51% |
| 1Y | 17.78% | 21.48% |
| 3Y (ann.) | 24.86% | 1.19% |
| 5Y (ann.) | 13.06% | 23.54% |
| 10Y (ann.) | 13.36% | 24.41% |
| All-time (ann.) | 13.36% | 24.41% |
| 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% | 92.06% |
| Worst Year | -18.18% | -5.22% |
| Avg. Drawdown | -1.89% | -8.97% |
| Avg. Drawdown Days | 20 | 69 |
| Recovery Factor | 2.85 | 4.04 |
| Ulcer Index | 0.08 | 0.18 |
| Serenity Index | 0.47 | 0.61 |
| Avg. Up Month | 3.08% | 7.56% |
| Avg. Down Month | -0.99% | -8.49% |
| Win Days | 54.04% | 49.76% |
| Win Month | 63.93% | 55.74% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | - | -0.2 |
| Alpha | - | 0.32 |
| Correlation | - | -8.72% |
| Treynor Ratio | - | -996.84% |
| Year | SPY | PFIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -5.22 | -0.69 | - |
| 2022 | -18.18 | 92.06 | -5.06 | + |
| 2023 | 26.18 | 5.67 | 0.22 | - |
| 2024 | 24.89 | 35.94 | 1.44 | + |
| 2025 | 17.72 | 0.68 | 0.04 | - |
| 2026 | 14.30 | 12.51 | 0.88 | - |
| 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 | 2026-09-22 | -28.03 | 489 |
| 2022-06-15 | 2022-09-23 | -25.57 | 101 |
| 2022-05-09 | 2022-06-13 | -18.75 | 36 |
| 2021-10-11 | 2022-02-07 | -10.95 | 120 |
| 2025-04-23 | 2025-05-09 | -10.74 | 17 |
| 2023-10-09 | 2023-10-18 | -8.76 | 10 |
| 2022-02-16 | 2022-03-11 | -7.52 | 24 |
| 2022-04-12 | 2022-04-29 | -6.71 | 18 |