| Metric | SPY | PMSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 17.87% | 10.09% |
| CAGR﹪ | 18.02% | 10.17% |
| Sharpe | 1.04 | 1.4 |
| Prob. Sharpe Ratio | 84.73% | 91.54% |
| Smart Sharpe | 1.01 | 1.28 |
| Sortino | 1.51 | 2.03 |
| Smart Sortino | 1.47 | 1.86 |
| Sortino/√2 | 1.07 | 1.43 |
| Smart Sortino/√2 | 1.04 | 1.31 |
| Omega | 1.25 | 1.46 |
| Max Drawdown | -8.88% | -2.37% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-04-10 |
| Longest DD Days | 76 | 44 |
| Volatility (ann.) | 12.99% | 4.15% |
| R^2 | 0.74 | 0.74 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.03 | 4.28 |
| Skew | -0.15 | -0.33 |
| Kurtosis | 1.05 | 1.17 |
| Ulcer Performance Index | 8.3 | 16.38 |
| Risk-Adjusted Return | 18.02% | 11.43% |
| Risk-Return Ratio | 0.08 | 0.15 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.73% | 0.25% |
| Avg. Loss | -0.74% | -0.24% |
| Win/Loss Ratio | 0.97 | 1.04 |
| Profit Ratio | 0.94 | 0.46 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.27% | 0.74% |
| Expected Yearly | 8.57% | 4.92% |
| Kelly Criterion | 6.0% | 20.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.39% |
| Expected Shortfall (cVaR) | -1.72% | -0.56% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.46 |
| Gain/Pain (1M) | 2.6 | 5.77 |
| Payoff Ratio | 0.97 | 1.04 |
| Profit Factor | 1.25 | 1.46 |
| Common Sense Ratio | 1.24 | 1.45 |
| CPC Index | 0.65 | 0.9 |
| Tail Ratio | 0.99 | 0.99 |
| Outlier Win Ratio | 2.88 | 3.62 |
| Outlier Loss Ratio | 3.19 | 2.9 |
| MTD | 1.08% | 0.25% |
| 3M | 3.82% | 1.83% |
| 6M | 19.85% | 6.24% |
| YTD | 14.3% | 7.17% |
| 1Y | 17.87% | 10.09% |
| 3Y (ann.) | 18.02% | 10.17% |
| 5Y (ann.) | 18.02% | 10.17% |
| 10Y (ann.) | 18.02% | 10.17% |
| All-time (ann.) | 18.02% | 10.17% |
| Best Day | 2.91% | 0.86% |
| Worst Day | -2.7% | -0.93% |
| Best Month | 10.51% | 2.67% |
| Worst Month | -4.94% | -1.53% |
| Best Year | 14.3% | 7.17% |
| Worst Year | 3.13% | 2.73% |
| Avg. Drawdown | -1.71% | -0.46% |
| Avg. Drawdown Days | 13 | 7 |
| Recovery Factor | 1.94 | 4.08 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 2.56 |
| Avg. Up Month | 2.41% | 1.0% |
| Avg. Down Month | -2.98% | -0.85% |
| Win Days | 53.6% | 59.46% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.27 |
| Alpha | - | 0.05 |
| Correlation | - | 85.97% |
| Treynor Ratio | - | 36.77% |
| Year | SPY | PMSAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 2.73 | 0.87 | - |
| 2026 | 14.30 | 7.17 | 0.50 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-10 | -2.37 | 44 |
| 2025-11-13 | 2025-11-26 | -1.34 | 14 |
| 2026-06-03 | 2026-07-13 | -1.32 | 41 |
| 2025-10-09 | 2025-10-15 | -1.10 | 7 |
| 2026-01-30 | 2026-02-05 | -0.86 | 7 |
| 2025-10-29 | 2025-11-10 | -0.76 | 13 |
| 2026-07-23 | 2026-07-31 | -0.74 | 9 |
| 2026-01-16 | 2026-01-21 | -0.69 | 6 |
| 2026-09-04 | 2026-09-18 | -0.57 | 15 |
| 2026-05-15 | 2026-05-22 | -0.50 | 8 |