| Metric | SPY | PFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 6.48% | 14.17% |
| CAGR﹪ | 13.27% | 30.08% |
| Sharpe | 0.78 | 0.88 |
| Prob. Sharpe Ratio | 70.87% | 73.32% |
| Smart Sharpe | 0.75 | 0.74 |
| Sortino | 1.14 | 1.35 |
| Smart Sortino | 1.09 | 1.13 |
| Sortino/√2 | 0.8 | 0.95 |
| Smart Sortino/√2 | 0.77 | 0.8 |
| Omega | 1.19 | 1.17 |
| Max Drawdown | -4.49% | -19.47% |
| Max DD Date | 2026-06-10 | 2026-06-29 |
| Max DD Period Start | 2026-06-03 | 2026-05-20 |
| Max DD Period End | 2026-07-31 | 2026-07-30 |
| Longest DD Days | 59 | 72 |
| Volatility (ann.) | 12.4% | 31.64% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 2.95 | 1.55 |
| Skew | -0.15 | 0.19 |
| Kurtosis | 0.59 | -0.24 |
| Ulcer Performance Index | 3.89 | 1.57 |
| Risk-Adjusted Return | 13.27% | 30.08% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.05% | 0.12% |
| Avg. Win | 0.54% | 1.5% |
| Avg. Loss | -0.68% | -1.66% |
| Win/Loss Ratio | 0.8 | 0.9 |
| Profit Ratio | 1.15 | 1.13 |
| Expected Daily | 0.05% | 0.1% |
| Expected Monthly | 0.9% | 1.91% |
| Expected Yearly | 6.48% | 14.17% |
| Kelly Criterion | -11.85% | -4.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -3.15% |
| Expected Shortfall (cVaR) | -1.63% | -4.04% |
| Max Consecutive Wins | 4 | 9 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.19 | 0.17 |
| Gain/Pain (1M) | 3.26 | 0.64 |
| Payoff Ratio | 0.8 | 0.9 |
| Profit Factor | 1.19 | 1.17 |
| Common Sense Ratio | 1.47 | 1.53 |
| CPC Index | 0.48 | 0.53 |
| Tail Ratio | 1.23 | 1.31 |
| Outlier Win Ratio | 2.66 | 2.82 |
| Outlier Loss Ratio | 3.07 | 2.9 |
| MTD | 1.47% | -2.11% |
| 3M | 1.46% | 4.81% |
| 6M | 6.48% | 14.17% |
| YTD | 6.48% | 14.17% |
| 1Y | 6.48% | 14.17% |
| 3Y (ann.) | 13.27% | 30.08% |
| 5Y (ann.) | 13.27% | 30.08% |
| 10Y (ann.) | 13.27% | 30.08% |
| All-time (ann.) | 13.27% | 30.08% |
| Best Day | 1.8% | 5.11% |
| Worst Day | -2.58% | -4.42% |
| Best Month | 4.52% | 22.78% |
| Worst Month | -1.03% | -11.0% |
| Best Year | 6.48% | 14.17% |
| Worst Year | 6.48% | 14.17% |
| Avg. Drawdown | -1.57% | -8.82% |
| Avg. Drawdown Days | 17 | 26 |
| Recovery Factor | 1.48 | 0.81 |
| Ulcer Index | 0.02 | 0.09 |
| Serenity Index | 0.91 | 0.19 |
| Avg. Up Month | 0.03% | 20.71% |
| Avg. Down Month | -0.97% | -8.68% |
| Win Days | 50.39% | 50.39% |
| Win Month | 57.14% | 28.57% |
| Win Quarter | 100.0% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.45 |
| Alpha | - | 0.37 |
| Correlation | - | -17.71% |
| Treynor Ratio | - | -31.34% |
| Year | SPY | PFIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 14.17 | 2.19 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-20 | 2026-07-30 | -19.47 | 72 |
| 2026-10-06 | 2026-11-04 | -18.62 | 30 |
| 2026-08-18 | 2026-09-22 | -6.67 | 36 |
| 2026-08-04 | 2026-08-14 | -4.80 | 11 |
| 2026-05-06 | 2026-05-12 | -2.54 | 7 |
| 2026-05-14 | 2026-05-14 | -0.80 | 1 |