| Metric | SPY | PMSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 14.39% | 8.09% |
| CAGR﹪ | 14.51% | 8.16% |
| Sharpe | 0.83 | 1.08 |
| Prob. Sharpe Ratio | 79.61% | 85.71% |
| Smart Sharpe | 0.82 | 1.03 |
| Sortino | 1.22 | 1.57 |
| Smart Sortino | 1.2 | 1.5 |
| Sortino/√2 | 0.86 | 1.11 |
| Smart Sortino/√2 | 0.85 | 1.06 |
| Omega | 1.2 | 1.38 |
| 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 | 2026-04-13 |
| Longest DD Days | 76 | 47 |
| Volatility (ann.) | 12.86% | 3.95% |
| R^2 | 0.73 | 0.73 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.63 | 3.43 |
| Skew | -0.02 | -0.14 |
| Kurtosis | 0.78 | 0.95 |
| Ulcer Performance Index | 6.68 | 12.74 |
| Risk-Adjusted Return | 14.51% | 9.27% |
| Risk-Return Ratio | 0.07 | 0.13 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.74% | 0.24% |
| Avg. Loss | -0.74% | -0.23% |
| Win/Loss Ratio | 1.0 | 1.06 |
| Profit Ratio | 1.02 | 0.5 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.6% |
| Expected Yearly | 6.95% | 3.97% |
| Kelly Criterion | 3.84% | 16.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.38% |
| Expected Shortfall (cVaR) | -1.66% | -0.53% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.38 |
| Gain/Pain (1M) | 1.83 | 3.26 |
| Payoff Ratio | 1.0 | 1.06 |
| Profit Factor | 1.2 | 1.38 |
| Common Sense Ratio | 1.19 | 1.39 |
| CPC Index | 0.62 | 0.84 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.84 | 3.57 |
| Outlier Loss Ratio | 3.01 | 2.9 |
| MTD | 1.47% | -0.08% |
| 3M | 1.46% | 0.17% |
| 6M | 6.94% | 2.02% |
| YTD | 13.33% | 6.12% |
| 1Y | 14.39% | 8.09% |
| 3Y (ann.) | 14.51% | 8.16% |
| 5Y (ann.) | 14.51% | 8.16% |
| 10Y (ann.) | 14.51% | 8.16% |
| All-time (ann.) | 14.51% | 8.16% |
| Best Day | 2.91% | 0.86% |
| Worst Day | -2.58% | -0.83% |
| Best Month | 10.51% | 2.67% |
| Worst Month | -4.94% | -1.53% |
| Best Year | 13.33% | 6.12% |
| Worst Year | 0.94% | 1.86% |
| Avg. Drawdown | -1.74% | -0.49% |
| Avg. Drawdown Days | 14 | 9 |
| Recovery Factor | 1.61 | 3.31 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 1.84 |
| Avg. Up Month | 2.98% | 1.28% |
| Avg. Down Month | -1.8% | -0.59% |
| Win Days | 52.0% | 57.08% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.26 |
| Alpha | - | 0.04 |
| Correlation | - | 85.5% |
| Treynor Ratio | - | 30.84% |
| Year | SPY | PMSAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.86 | 1.98 | + |
| 2026 | 13.33 | 6.12 | 0.46 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-13 | -2.37 | 47 |
| 2025-11-13 | 2025-11-26 | -1.34 | 14 |
| 2026-06-03 | 2026-07-13 | -1.32 | 41 |
| 2026-09-23 | 2026-11-04 | -1.14 | 43 |
| 2026-01-30 | 2026-02-05 | -0.86 | 7 |
| 2026-07-23 | 2026-07-31 | -0.74 | 9 |
| 2026-01-16 | 2026-01-22 | -0.69 | 7 |
| 2026-09-04 | 2026-09-18 | -0.57 | 15 |
| 2026-05-15 | 2026-05-22 | -0.50 | 8 |
| 2025-12-12 | 2025-12-18 | -0.50 | 7 |