| Metric | SPY | PFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | 13.38% |
| CAGR﹪ | 40.67% | 28.54% |
| Sharpe | 2.32 | 0.87 |
| Prob. Sharpe Ratio | 95.04% | 73.16% |
| Smart Sharpe | 2.3 | 0.8 |
| Sortino | 3.78 | 1.32 |
| Smart Sortino | 3.75 | 1.22 |
| Sortino/√2 | 2.67 | 0.94 |
| Smart Sortino/√2 | 2.65 | 0.86 |
| Omega | 1.54 | 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.) | 13.55% | 29.62% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 9.05 | 1.47 |
| Skew | 0.1 | 0.13 |
| Kurtosis | 1.12 | -0.06 |
| Ulcer Performance Index | 11.86 | 1.64 |
| Risk-Adjusted Return | 40.67% | 28.54% |
| Risk-Return Ratio | 0.16 | 0.06 |
| Avg. Return | 0.14% | 0.12% |
| Avg. Win | 0.58% | 1.22% |
| Avg. Loss | -0.59% | -1.48% |
| Win/Loss Ratio | 0.98 | 0.83 |
| Profit Ratio | 1.12 | 1.03 |
| Expected Daily | 0.14% | 0.1% |
| Expected Monthly | 2.47% | 1.81% |
| Expected Yearly | 18.6% | 13.38% |
| Kelly Criterion | 6.95% | -7.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -2.95% |
| Expected Shortfall (cVaR) | -1.77% | -3.87% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.54 | 0.17 |
| Gain/Pain (1M) | 10.92 | 1.3 |
| Payoff Ratio | 0.98 | 0.83 |
| Profit Factor | 1.54 | 1.17 |
| Common Sense Ratio | 2.01 | 1.23 |
| CPC Index | 0.81 | 0.49 |
| Tail Ratio | 1.3 | 1.05 |
| Outlier Win Ratio | 3.21 | 2.8 |
| Outlier Loss Ratio | 3.16 | 2.92 |
| MTD | 1.08% | 3.29% |
| 3M | 3.82% | 22.57% |
| 6M | 18.6% | 13.38% |
| YTD | 18.6% | 13.38% |
| 1Y | 18.6% | 13.38% |
| 3Y (ann.) | 40.67% | 28.54% |
| 5Y (ann.) | 40.67% | 28.54% |
| 10Y (ann.) | 40.67% | 28.54% |
| All-time (ann.) | 40.67% | 28.54% |
| Best Day | 2.91% | 5.11% |
| Worst Day | -2.58% | -4.39% |
| Best Month | 10.51% | 20.71% |
| Worst Month | -1.03% | -6.35% |
| Best Year | 18.6% | 13.38% |
| Worst Year | 18.6% | 13.38% |
| Avg. Drawdown | -1.13% | -8.68% |
| Avg. Drawdown Days | 9 | 33 |
| Recovery Factor | 3.9 | 0.76 |
| Ulcer Index | 0.02 | 0.08 |
| Serenity Index | 2.75 | 0.2 |
| Avg. Up Month | 3.87% | 9.09% |
| Avg. Down Month | -0.9% | -4.25% |
| Win Days | 53.97% | 51.2% |
| Win Month | 71.43% | 42.86% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.75 |
| Alpha | - | 0.56 |
| Correlation | - | -34.42% |
| Treynor Ratio | - | -17.78% |
| Year | SPY | PFIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 13.38 | 0.72 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-20 | 2026-07-30 | -19.47 | 72 |
| 2026-03-30 | 2026-05-14 | -11.59 | 46 |
| 2026-08-18 | 2026-09-22 | -6.67 | 36 |
| 2026-08-04 | 2026-08-14 | -4.80 | 11 |
| 2026-03-24 | 2026-03-25 | -0.89 | 2 |