| Metric | SPY | PIPAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 87.27% | 69.6% |
| CAGR﹪ | 13.47% | 11.23% |
| Sharpe | 0.6 | 0.56 |
| Prob. Sharpe Ratio | 91.03% | 88.9% |
| Smart Sharpe | 0.58 | 0.53 |
| Sortino | 0.87 | 0.76 |
| Smart Sortino | 0.84 | 0.72 |
| Sortino/√2 | 0.61 | 0.54 |
| Smart Sortino/√2 | 0.59 | 0.51 |
| Omega | 1.16 | 1.16 |
| Max Drawdown | -24.5% | -19.17% |
| Max DD Date | 2022-10-12 | 2022-09-29 |
| Max DD Period Start | 2022-01-04 | 2022-01-06 |
| Max DD Period End | 2023-12-12 | 2023-04-28 |
| Longest DD Days | 708 | 478 |
| Volatility (ann.) | 17.21% | 14.12% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.55 | 0.59 |
| Skew | 0.32 | -0.78 |
| Kurtosis | 8.93 | 6.42 |
| Ulcer Performance Index | 10.31 | 11.9 |
| Risk-Adjusted Return | 13.47% | 12.07% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.8% | 0.71% |
| Avg. Loss | -0.9% | -0.79% |
| Win/Loss Ratio | 0.89 | 0.9 |
| Profit Ratio | 0.83 | 0.58 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.03% | 0.87% |
| Expected Yearly | 11.02% | 9.2% |
| Kelly Criterion | 2.42% | 5.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.42% |
| Expected Shortfall (cVaR) | -2.58% | -2.15% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 13 |
| Gain/Pain Ratio | 0.16 | 0.16 |
| Gain/Pain (1M) | 0.88 | 0.9 |
| Payoff Ratio | 0.89 | 0.9 |
| Profit Factor | 1.16 | 1.16 |
| Common Sense Ratio | 1.17 | 1.07 |
| CPC Index | 0.56 | 0.58 |
| Tail Ratio | 1.01 | 0.92 |
| Outlier Win Ratio | 3.42 | 3.66 |
| Outlier Loss Ratio | 3.76 | 3.56 |
| MTD | 1.08% | -2.04% |
| 3M | 3.82% | -0.55% |
| 6M | 19.85% | 14.21% |
| YTD | 14.3% | 12.16% |
| 1Y | 18.22% | 20.97% |
| 3Y (ann.) | 25.09% | 20.76% |
| 5Y (ann.) | 13.16% | 11.48% |
| 10Y (ann.) | 13.47% | 11.23% |
| All-time (ann.) | 13.47% | 11.23% |
| Best Day | 10.5% | 4.48% |
| Worst Day | -5.85% | -6.08% |
| Best Month | 10.51% | 7.71% |
| Worst Month | -9.24% | -9.41% |
| Best Year | 26.18% | 24.81% |
| Worst Year | -18.18% | -9.26% |
| Avg. Drawdown | -1.89% | -2.22% |
| Avg. Drawdown Days | 20 | 25 |
| Recovery Factor | 2.86 | 3.02 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 0.47 | 0.62 |
| Avg. Up Month | 4.15% | 3.17% |
| Avg. Down Month | -4.2% | -3.34% |
| Win Days | 54.12% | 55.27% |
| Win Month | 63.93% | 63.93% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.29 |
| Alpha | - | 0.08 |
| Correlation | - | 35.31% |
| Treynor Ratio | - | 240.32% |
| Year | SPY | PIPAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 1.54 | 0.20 | - |
| 2022 | -18.18 | -9.26 | 0.51 | + |
| 2023 | 26.18 | 18.07 | 0.69 | - |
| 2024 | 24.89 | 11.36 | 0.46 | - |
| 2025 | 18.15 | 24.81 | 1.37 | + |
| 2026 | 14.30 | 12.16 | 0.85 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2023-04-28 | -19.17 | 478 |
| 2025-03-04 | 2025-05-23 | -15.24 | 81 |
| 2024-06-14 | 2025-02-12 | -12.81 | 244 |
| 2026-03-02 | 2026-05-28 | -10.72 | 88 |
| 2023-08-01 | 2023-12-19 | -9.44 | 141 |
| 2021-11-17 | 2022-01-03 | -6.21 | 48 |
| 2026-08-14 | 2026-09-22 | -5.01 | 40 |
| 2023-06-20 | 2023-07-26 | -3.94 | 37 |
| 2025-11-13 | 2025-12-12 | -3.84 | 30 |
| 2021-09-24 | 2021-10-19 | -3.61 | 26 |