| Metric | SPY | PMSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 74.99% | 31.27% |
| CAGR﹪ | 11.91% | 5.62% |
| Sharpe | 0.52 | 0.39 |
| Prob. Sharpe Ratio | 87.6% | 80.56% |
| Smart Sharpe | 0.5 | 0.37 |
| Sortino | 0.74 | 0.53 |
| Smart Sortino | 0.72 | 0.51 |
| Sortino/√2 | 0.53 | 0.37 |
| Smart Sortino/√2 | 0.51 | 0.36 |
| Omega | 1.14 | 1.24 |
| Max Drawdown | -24.5% | -6.57% |
| Max DD Date | 2022-10-12 | 2022-09-30 |
| Max DD Period Start | 2022-01-04 | 2022-03-30 |
| Max DD Period End | 2023-12-12 | 2023-07-27 |
| Longest DD Days | 708 | 485 |
| Volatility (ann.) | 17.19% | 4.38% |
| R^2 | 0.7 | 0.7 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.86 |
| Skew | 0.33 | -0.71 |
| Kurtosis | 8.98 | 3.38 |
| Ulcer Performance Index | 8.86 | 15.94 |
| Risk-Adjusted Return | 11.91% | 6.46% |
| Risk-Return Ratio | 0.05 | 0.08 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.87% | 0.24% |
| Avg. Loss | -0.96% | -0.26% |
| Win/Loss Ratio | 0.91 | 0.95 |
| Profit Ratio | 0.86 | 0.43 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.45% |
| Expected Yearly | 9.77% | 4.64% |
| Kelly Criterion | 2.09% | 12.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.43% |
| Expected Shortfall (cVaR) | -2.58% | -0.69% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.24 |
| Gain/Pain (1M) | 0.79 | 1.34 |
| Payoff Ratio | 0.91 | 0.95 |
| Profit Factor | 1.14 | 1.24 |
| Common Sense Ratio | 1.15 | 1.27 |
| CPC Index | 0.55 | 0.67 |
| Tail Ratio | 1.0 | 1.03 |
| Outlier Win Ratio | 3.4 | 3.43 |
| Outlier Loss Ratio | 3.8 | 3.62 |
| MTD | 1.47% | -0.08% |
| 3M | 1.46% | 0.17% |
| 6M | 6.94% | 2.02% |
| YTD | 13.33% | 6.12% |
| 1Y | 13.43% | 7.91% |
| 3Y (ann.) | 20.78% | 8.77% |
| 5Y (ann.) | 12.86% | 6.05% |
| 10Y (ann.) | 11.91% | 5.62% |
| All-time (ann.) | 11.91% | 5.62% |
| Best Day | 10.5% | 1.31% |
| Worst Day | -5.85% | -1.61% |
| Best Month | 10.51% | 2.67% |
| Worst Month | -9.24% | -3.69% |
| Best Year | 26.18% | 10.04% |
| Worst Year | -18.18% | -2.29% |
| Avg. Drawdown | -1.94% | -0.66% |
| Avg. Drawdown Days | 21 | 17 |
| Recovery Factor | 2.58 | 4.22 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.43 | 0.83 |
| Avg. Up Month | 4.05% | 1.38% |
| Avg. Down Month | -3.77% | -0.92% |
| Win Days | 53.48% | 57.26% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 80.95% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.21 |
| Alpha | - | 0.03 |
| Correlation | - | 83.71% |
| Treynor Ratio | - | 146.43% |
| Year | SPY | PMSAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.04 | -0.02 | - |
| 2022 | -18.18 | -2.29 | 0.13 | + |
| 2023 | 26.18 | 6.09 | 0.23 | - |
| 2024 | 24.89 | 8.49 | 0.34 | - |
| 2025 | 17.72 | 10.04 | 0.57 | - |
| 2026 | 13.33 | 6.12 | 0.46 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-03-30 | 2023-07-27 | -6.57 | 485 |
| 2025-02-20 | 2025-06-24 | -4.83 | 125 |
| 2024-07-17 | 2024-09-18 | -3.64 | 64 |
| 2026-02-26 | 2026-04-10 | -2.37 | 44 |
| 2024-10-21 | 2024-11-06 | -2.26 | 17 |
| 2021-11-17 | 2022-01-03 | -2.20 | 48 |
| 2022-02-11 | 2022-03-21 | -1.92 | 39 |
| 2023-09-15 | 2023-11-21 | -1.83 | 68 |
| 2022-01-05 | 2022-02-01 | -1.75 | 28 |
| 2024-04-09 | 2024-05-16 | -1.39 | 38 |