| Metric | SPY | PIPAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 18.3% | 20.97% |
| CAGR﹪ | 18.62% | 21.34% |
| Sharpe | 1.07 | 1.2 |
| Prob. Sharpe Ratio | 85.46% | 88.46% |
| Smart Sharpe | 1.04 | 1.18 |
| Sortino | 1.56 | 1.84 |
| Smart Sortino | 1.52 | 1.82 |
| Sortino/√2 | 1.1 | 1.3 |
| Smart Sortino/√2 | 1.07 | 1.29 |
| Omega | 1.26 | 1.3 |
| Max Drawdown | -8.88% | -10.72% |
| Max DD Date | 2026-03-30 | 2026-03-23 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-05-28 |
| Longest DD Days | 76 | 88 |
| Volatility (ann.) | 13.04% | 13.65% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 2.1 | 1.99 |
| Skew | -0.16 | 0.39 |
| Kurtosis | 1.03 | 5.14 |
| Ulcer Performance Index | 8.48 | 7.05 |
| Risk-Adjusted Return | 18.62% | 22.95% |
| Risk-Return Ratio | 0.09 | 0.09 |
| Avg. Return | 0.06% | 0.09% |
| Avg. Win | 0.69% | 0.73% |
| Avg. Loss | -0.73% | -0.7% |
| Win/Loss Ratio | 0.95 | 1.04 |
| Profit Ratio | 0.91 | 0.58 |
| Expected Daily | 0.07% | 0.08% |
| Expected Monthly | 1.3% | 1.48% |
| Expected Yearly | 8.77% | 9.99% |
| Kelly Criterion | 5.49% | 15.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.33% |
| Expected Shortfall (cVaR) | -1.72% | -1.98% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.26 | 0.3 |
| Gain/Pain (1M) | 2.66 | 1.71 |
| Payoff Ratio | 0.95 | 1.04 |
| Profit Factor | 1.26 | 1.3 |
| Common Sense Ratio | 1.25 | 1.53 |
| CPC Index | 0.64 | 0.77 |
| Tail Ratio | 0.99 | 1.17 |
| Outlier Win Ratio | 2.88 | 4.34 |
| Outlier Loss Ratio | 3.16 | 2.86 |
| MTD | 1.08% | -2.04% |
| 3M | 3.82% | -0.55% |
| 6M | 19.85% | 14.21% |
| YTD | 14.3% | 12.16% |
| 1Y | 18.3% | 20.97% |
| 3Y (ann.) | 18.62% | 21.34% |
| 5Y (ann.) | 18.62% | 21.34% |
| 10Y (ann.) | 18.62% | 21.34% |
| All-time (ann.) | 18.62% | 21.34% |
| Best Day | 2.91% | 4.48% |
| Worst Day | -2.7% | -3.38% |
| Best Month | 10.51% | 6.04% |
| Worst Month | -4.94% | -9.41% |
| Best Year | 14.3% | 12.16% |
| Worst Year | 3.5% | 7.85% |
| Avg. Drawdown | -1.69% | -1.69% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | 1.99 | 1.86 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.19 | 0.73 |
| Avg. Up Month | 2.6% | 2.58% |
| Avg. Down Month | -4.94% | -9.41% |
| Win Days | 54.03% | 56.77% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.46 |
| Alpha | - | 0.12 |
| Correlation | - | 43.69% |
| Treynor Ratio | - | 45.84% |
| Year | SPY | PIPAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | 7.85 | 2.24 | + |
| 2026 | 14.30 | 12.16 | 0.85 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-05-28 | -10.72 | 88 |
| 2026-08-14 | 2026-09-22 | -5.01 | 40 |
| 2025-11-13 | 2025-12-12 | -3.84 | 30 |
| 2026-07-07 | 2026-08-03 | -2.59 | 28 |
| 2026-01-16 | 2026-02-02 | -1.95 | 18 |
| 2025-10-10 | 2025-10-17 | -1.86 | 8 |
| 2026-06-05 | 2026-06-11 | -1.68 | 7 |
| 2025-10-30 | 2025-11-10 | -1.49 | 12 |
| 2026-06-18 | 2026-07-01 | -1.31 | 14 |
| 2026-02-13 | 2026-02-17 | -0.89 | 5 |