| Metric | SPY | PFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 100.92% | 134.54% |
| CAGR﹪ | 13.94% | 17.29% |
| Sharpe | 0.65 | 0.52 |
| Prob. Sharpe Ratio | 93.44% | 88.45% |
| Smart Sharpe | 0.63 | 0.52 |
| Sortino | 0.94 | 0.78 |
| Smart Sortino | 0.91 | 0.78 |
| Sortino/√2 | 0.66 | 0.55 |
| Smart Sortino/√2 | 0.64 | 0.55 |
| Omega | 1.17 | 1.11 |
| 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.) | 16.83% | 37.96% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.57 | 0.48 |
| Skew | 0.31 | 0.22 |
| Kurtosis | 9.17 | 0.65 |
| Ulcer Performance Index | 12.36 | 7.12 |
| Risk-Adjusted Return | 13.94% | 17.29% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.09% |
| Avg. Win | 0.72% | 1.71% |
| Avg. Loss | -0.78% | -1.75% |
| Win/Loss Ratio | 0.93 | 0.98 |
| Profit Ratio | 0.83 | 1.18 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.08% | 1.32% |
| Expected Yearly | 12.33% | 15.27% |
| Kelly Criterion | 4.72% | -2.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.69% | -3.84% |
| Expected Shortfall (cVaR) | -2.51% | -4.91% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 10 |
| Gain/Pain Ratio | 0.17 | 0.11 |
| Gain/Pain (1M) | 0.95 | 0.58 |
| Payoff Ratio | 0.93 | 0.98 |
| Profit Factor | 1.17 | 1.11 |
| Common Sense Ratio | 1.16 | 1.25 |
| CPC Index | 0.58 | 0.53 |
| Tail Ratio | 0.99 | 1.13 |
| Outlier Win Ratio | 3.47 | 3.35 |
| Outlier Loss Ratio | 3.84 | 3.39 |
| 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.) | 13.94% | 17.29% |
| All-time (ann.) | 13.94% | 17.29% |
| 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% | -24.95% |
| Avg. Drawdown | -1.74% | -12.25% |
| Avg. Drawdown Days | 18 | 105 |
| Recovery Factor | 3.16 | 3.42 |
| Ulcer Index | 0.08 | 0.19 |
| Serenity Index | 0.54 | 0.47 |
| Avg. Up Month | 3.08% | 7.56% |
| Avg. Down Month | -0.99% | -8.49% |
| Win Days | 54.2% | 49.11% |
| Win Month | 66.15% | 52.31% |
| Win Quarter | 72.73% | 54.55% |
| Win Year | 83.33% | 83.33% |
| Beta | - | -0.18 |
| Alpha | - | 0.26 |
| Correlation | - | -8.18% |
| Treynor Ratio | - | -729.19% |
| Year | SPY | PFIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 15.82 | -24.95 | -1.58 | - |
| 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 |
| 2021-05-13 | 2022-03-25 | -26.04 | 317 |
| 2022-06-15 | 2022-09-23 | -25.57 | 101 |
| 2022-05-09 | 2022-06-13 | -18.75 | 36 |
| 2025-04-23 | 2025-05-09 | -10.74 | 17 |
| 2023-10-09 | 2023-10-18 | -8.76 | 10 |
| 2022-04-12 | 2022-04-29 | -6.71 | 18 |
| 2022-03-29 | 2022-04-06 | -6.40 | 9 |