| Metric | SPY | PIPAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 14.81% | 16.08% |
| CAGR﹪ | 15.07% | 16.36% |
| Sharpe | 0.87 | 0.9 |
| Prob. Sharpe Ratio | 80.5% | 81.73% |
| Smart Sharpe | 0.86 | 0.89 |
| Sortino | 1.27 | 1.38 |
| Smart Sortino | 1.26 | 1.36 |
| Sortino/√2 | 0.9 | 0.98 |
| Smart Sortino/√2 | 0.89 | 0.96 |
| Omega | 1.21 | 1.23 |
| 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.) | 12.91% | 13.76% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.7 | 1.53 |
| Skew | -0.03 | 0.42 |
| Kurtosis | 0.75 | 4.87 |
| Ulcer Performance Index | 6.86 | 4.66 |
| Risk-Adjusted Return | 15.07% | 17.4% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.04% | 0.07% |
| Avg. Win | 0.71% | 0.76% |
| Avg. Loss | -0.69% | -0.68% |
| Win/Loss Ratio | 1.03 | 1.11 |
| Profit Ratio | 0.99 | 0.71 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.07% | 1.15% |
| Expected Yearly | 7.15% | 7.74% |
| Kelly Criterion | 6.37% | 12.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.36% |
| Expected Shortfall (cVaR) | -1.66% | -2.11% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.21 | 0.23 |
| Gain/Pain (1M) | 1.88 | 1.23 |
| Payoff Ratio | 1.03 | 1.11 |
| Profit Factor | 1.21 | 1.23 |
| Common Sense Ratio | 1.2 | 1.37 |
| CPC Index | 0.65 | 0.74 |
| Tail Ratio | 0.99 | 1.12 |
| Outlier Win Ratio | 2.84 | 4.12 |
| Outlier Loss Ratio | 2.98 | 2.91 |
| MTD | 1.47% | 0.91% |
| 3M | 1.46% | -1.2% |
| 6M | 6.94% | 6.07% |
| YTD | 13.33% | 12.04% |
| 1Y | 14.81% | 16.08% |
| 3Y (ann.) | 15.07% | 16.36% |
| 5Y (ann.) | 15.07% | 16.36% |
| 10Y (ann.) | 15.07% | 16.36% |
| All-time (ann.) | 15.07% | 16.36% |
| Best Day | 2.91% | 4.48% |
| Worst Day | -2.58% | -3.38% |
| Best Month | 10.51% | 6.04% |
| Worst Month | -4.94% | -9.41% |
| Best Year | 13.33% | 12.04% |
| Worst Year | 1.31% | 3.6% |
| Avg. Drawdown | -1.72% | -1.85% |
| Avg. Drawdown Days | 13 | 16 |
| Recovery Factor | 1.65 | 1.48 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.96 | 0.48 |
| Avg. Up Month | 2.84% | 2.51% |
| Avg. Down Month | -2.63% | -6.34% |
| Win Days | 52.42% | 53.88% |
| Win Month | 61.54% | 84.62% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.45 |
| Alpha | - | 0.09 |
| Correlation | - | 42.5% |
| Treynor Ratio | - | 35.49% |
| Year | SPY | PIPAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | 3.60 | 2.75 | + |
| 2026 | 13.33 | 12.04 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-05-28 | -10.72 | 88 |
| 2026-08-14 | 2026-11-04 | -6.21 | 83 |
| 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 |
| 2026-06-05 | 2026-06-11 | -1.68 | 7 |
| 2026-06-18 | 2026-07-01 | -1.31 | 14 |
| 2026-02-13 | 2026-02-17 | -0.89 | 5 |
| 2025-12-16 | 2025-12-18 | -0.79 | 3 |
| 2026-06-01 | 2026-06-01 | -0.66 | 1 |