| Metric | SPY | PFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 99.22% | 142.88% |
| CAGR﹪ | 13.43% | 17.62% |
| Sharpe | 0.63 | 0.52 |
| Prob. Sharpe Ratio | 92.97% | 89.07% |
| Smart Sharpe | 0.61 | 0.52 |
| Sortino | 0.9 | 0.79 |
| Smart Sortino | 0.88 | 0.78 |
| Sortino/√2 | 0.64 | 0.56 |
| Smart Sortino/√2 | 0.62 | 0.55 |
| Omega | 1.16 | 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.) | 16.72% | 37.92% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.55 | 0.49 |
| Skew | 0.3 | 0.22 |
| Kurtosis | 9.22 | 0.62 |
| Ulcer Performance Index | 12.28 | 7.61 |
| Risk-Adjusted Return | 13.43% | 17.62% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.09% |
| Avg. Win | 0.71% | 1.72% |
| Avg. Loss | -0.78% | -1.75% |
| Win/Loss Ratio | 0.92 | 0.98 |
| Profit Ratio | 0.83 | 1.19 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.03% | 1.33% |
| Expected Yearly | 12.17% | 15.94% |
| Kelly Criterion | 4.14% | -2.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.68% | -3.84% |
| Expected Shortfall (cVaR) | -2.48% | -4.9% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 10 |
| Gain/Pain Ratio | 0.16 | 0.11 |
| Gain/Pain (1M) | 0.93 | 0.56 |
| Payoff Ratio | 0.92 | 0.98 |
| Profit Factor | 1.16 | 1.11 |
| Common Sense Ratio | 1.15 | 1.25 |
| CPC Index | 0.58 | 0.53 |
| Tail Ratio | 0.99 | 1.13 |
| Outlier Win Ratio | 3.48 | 3.33 |
| Outlier Loss Ratio | 3.86 | 3.38 |
| 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.) | 13.43% | 17.62% |
| All-time (ann.) | 13.43% | 17.62% |
| 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% | -24.95% |
| Avg. Drawdown | -1.76% | -12.59% |
| Avg. Drawdown Days | 18 | 101 |
| Recovery Factor | 3.13 | 3.54 |
| Ulcer Index | 0.08 | 0.19 |
| Serenity Index | 0.54 | 0.5 |
| Avg. Up Month | 3.21% | 7.84% |
| Avg. Down Month | -0.97% | -8.99% |
| Win Days | 54.07% | 49.02% |
| Win Month | 64.18% | 50.75% |
| Win Quarter | 73.91% | 52.17% |
| Win Year | 83.33% | 83.33% |
| Beta | - | -0.18 |
| Alpha | - | 0.26 |
| Correlation | - | -7.91% |
| Treynor Ratio | - | -796.66% |
| Year | SPY | PFIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 15.82 | -24.95 | -1.58 | - |
| 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 |
| 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 |
| 2026-10-06 | 2026-11-04 | -18.62 | 30 |
| 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 |