| Metric | SPY | PIPAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 6.48% | 6.68% |
| CAGR﹪ | 13.27% | 13.69% |
| Sharpe | 0.78 | 0.87 |
| Prob. Sharpe Ratio | 70.87% | 73.26% |
| Smart Sharpe | 0.75 | 0.86 |
| Sortino | 1.14 | 1.31 |
| Smart Sortino | 1.09 | 1.29 |
| Sortino/√2 | 0.8 | 0.92 |
| Smart Sortino/√2 | 0.77 | 0.91 |
| Omega | 1.19 | 1.21 |
| Max Drawdown | -4.49% | -6.21% |
| Max DD Date | 2026-06-10 | 2026-10-08 |
| Max DD Period Start | 2026-06-03 | 2026-08-14 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 83 |
| Volatility (ann.) | 12.4% | 11.34% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 2.95 | 2.2 |
| Skew | -0.15 | 0.14 |
| Kurtosis | 0.59 | 0.45 |
| Ulcer Performance Index | 3.89 | 2.3 |
| Risk-Adjusted Return | 13.27% | 14.72% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.74% | 0.7% |
| Avg. Loss | -0.69% | -0.61% |
| Win/Loss Ratio | 1.08 | 1.14 |
| Profit Ratio | 1.15 | 0.7 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 0.9% | 0.93% |
| Expected Yearly | 6.48% | 6.68% |
| Kelly Criterion | 4.46% | 12.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.12% |
| Expected Shortfall (cVaR) | -1.63% | -1.4% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.19 | 0.21 |
| Gain/Pain (1M) | 3.26 | 2.08 |
| Payoff Ratio | 1.08 | 1.14 |
| Profit Factor | 1.19 | 1.21 |
| Common Sense Ratio | 1.47 | 1.28 |
| CPC Index | 0.65 | 0.73 |
| Tail Ratio | 1.23 | 1.06 |
| Outlier Win Ratio | 2.66 | 3.25 |
| Outlier Loss Ratio | 3.07 | 2.4 |
| MTD | 1.47% | 0.91% |
| 3M | 1.46% | -1.2% |
| 6M | 6.48% | 6.68% |
| YTD | 6.48% | 6.68% |
| 1Y | 6.48% | 6.68% |
| 3Y (ann.) | 13.27% | 13.69% |
| 5Y (ann.) | 13.27% | 13.69% |
| 10Y (ann.) | 13.27% | 13.69% |
| All-time (ann.) | 13.27% | 13.69% |
| Best Day | 1.8% | 2.51% |
| Worst Day | -2.58% | -1.85% |
| Best Month | 4.52% | 4.21% |
| Worst Month | -1.03% | -3.26% |
| Best Year | 6.48% | 6.68% |
| Worst Year | 6.48% | 6.68% |
| Avg. Drawdown | -1.57% | -1.86% |
| Avg. Drawdown Days | 17 | 19 |
| Recovery Factor | 1.48 | 1.09 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.91 | 0.29 |
| Avg. Up Month | 2.18% | 1.72% |
| Avg. Down Month | -0.33% | -3.26% |
| Win Days | 50.39% | 53.39% |
| Win Month | 57.14% | 85.71% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.44 |
| Alpha | - | 0.08 |
| Correlation | - | 48.12% |
| Treynor Ratio | - | 15.17% |
| Year | SPY | PIPAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 6.68 | 1.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-14 | 2026-11-04 | -6.21 | 83 |
| 2026-07-07 | 2026-08-03 | -2.59 | 28 |
| 2026-05-08 | 2026-05-21 | -2.00 | 14 |
| 2026-06-05 | 2026-06-11 | -1.68 | 7 |
| 2026-06-18 | 2026-07-01 | -1.31 | 14 |
| 2026-06-01 | 2026-06-01 | -0.66 | 1 |
| 2026-05-28 | 2026-05-28 | -0.33 | 1 |
| 2026-08-11 | 2026-08-11 | -0.11 | 1 |