| Metric | SPY | PIPAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 206.09% | 131.68% |
| CAGR﹪ | 16.33% | 12.03% |
| Sharpe | 0.73 | 0.63 |
| Prob. Sharpe Ratio | 97.49% | 95.12% |
| Smart Sharpe | 0.63 | 0.59 |
| Sortino | 1.02 | 0.84 |
| Smart Sortino | 0.88 | 0.79 |
| Sortino/√2 | 0.72 | 0.59 |
| Smart Sortino/√2 | 0.63 | 0.56 |
| Omega | 1.18 | 1.17 |
| Max Drawdown | -33.72% | -35.41% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-13 |
| Max DD Period End | 2020-08-07 | 2020-12-16 |
| Longest DD Days | 708 | 478 |
| Volatility (ann.) | 19.46% | 15.44% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.48 | 0.34 |
| Skew | -0.29 | -1.42 |
| Kurtosis | 13.92 | 15.41 |
| Ulcer Performance Index | 26.04 | 18.4 |
| Risk-Adjusted Return | 16.33% | 12.93% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.87% | 0.74% |
| Avg. Loss | -0.99% | -0.86% |
| Win/Loss Ratio | 0.87 | 0.86 |
| Profit Ratio | 0.78 | 0.55 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 1.25% | 0.94% |
| Expected Yearly | 15.01% | 11.07% |
| Kelly Criterion | 3.86% | 4.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.55% |
| Expected Shortfall (cVaR) | -3.2% | -2.67% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 13 |
| Gain/Pain Ratio | 0.18 | 0.17 |
| Gain/Pain (1M) | 1.16 | 0.93 |
| Payoff Ratio | 0.87 | 0.86 |
| Profit Factor | 1.18 | 1.17 |
| Common Sense Ratio | 1.13 | 1.1 |
| CPC Index | 0.57 | 0.56 |
| Tail Ratio | 0.96 | 0.94 |
| Outlier Win Ratio | 3.69 | 3.86 |
| Outlier Loss Ratio | 4.11 | 3.93 |
| MTD | 1.47% | 0.91% |
| 3M | 1.46% | -1.2% |
| 6M | 6.94% | 6.07% |
| YTD | 13.33% | 12.04% |
| 1Y | 13.84% | 15.41% |
| 3Y (ann.) | 21.0% | 17.88% |
| 5Y (ann.) | 12.96% | 12.03% |
| 10Y (ann.) | 16.33% | 12.03% |
| All-time (ann.) | 16.33% | 12.03% |
| Best Day | 10.5% | 6.54% |
| Worst Day | -10.94% | -10.57% |
| Best Month | 12.7% | 14.33% |
| Worst Month | -12.49% | -16.94% |
| Best Year | 28.73% | 24.81% |
| Worst Year | -18.18% | -9.26% |
| Avg. Drawdown | -1.79% | -2.41% |
| Avg. Drawdown Days | 16 | 25 |
| Recovery Factor | 3.74 | 2.62 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 1.03 | 0.65 |
| Avg. Up Month | 4.1% | 3.31% |
| Avg. Down Month | -4.23% | -3.89% |
| Win Days | 55.21% | 56.08% |
| Win Month | 65.56% | 67.78% |
| Win Quarter | 77.42% | 74.19% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.39 |
| Alpha | - | 0.06 |
| Correlation | - | 49.47% |
| Treynor Ratio | - | 335.45% |
| Year | SPY | PIPAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 13.11 | 0.80 | - |
| 2020 | 18.33 | 4.01 | 0.22 | - |
| 2021 | 28.73 | 18.04 | 0.63 | - |
| 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 | 13.33 | 12.04 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-13 | 2020-12-16 | -35.41 | 308 |
| 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 |
| 2019-07-05 | 2019-10-14 | -7.34 | 102 |
| 2021-11-17 | 2022-01-03 | -6.21 | 48 |
| 2026-08-14 | 2026-11-04 | -6.21 | 83 |
| 2021-09-08 | 2021-11-03 | -5.06 | 57 |