| Metric | SPY | PMSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 86.58% | 33.58% |
| CAGR﹪ | 13.36% | 6.0% |
| Sharpe | 0.59 | 0.48 |
| Prob. Sharpe Ratio | 90.85% | 85.63% |
| Smart Sharpe | 0.58 | 0.47 |
| Sortino | 0.86 | 0.65 |
| Smart Sortino | 0.83 | 0.63 |
| Sortino/√2 | 0.61 | 0.46 |
| Smart Sortino/√2 | 0.59 | 0.45 |
| Omega | 1.16 | 1.26 |
| 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.) | 17.2% | 4.41% |
| R^2 | 0.7 | 0.7 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.91 |
| Skew | 0.32 | -0.71 |
| Kurtosis | 8.95 | 3.31 |
| Ulcer Performance Index | 10.24 | 17.12 |
| Risk-Adjusted Return | 13.36% | 6.89% |
| Risk-Return Ratio | 0.05 | 0.08 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.87% | 0.25% |
| Avg. Loss | -0.96% | -0.26% |
| Win/Loss Ratio | 0.9 | 0.94 |
| Profit Ratio | 0.83 | 0.41 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.48% |
| Expected Yearly | 10.95% | 4.94% |
| Kelly Criterion | 2.9% | 12.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.43% |
| Expected Shortfall (cVaR) | -2.58% | -0.7% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.16 | 0.26 |
| Gain/Pain (1M) | 0.87 | 1.46 |
| Payoff Ratio | 0.9 | 0.94 |
| Profit Factor | 1.16 | 1.26 |
| Common Sense Ratio | 1.17 | 1.24 |
| CPC Index | 0.56 | 0.68 |
| Tail Ratio | 1.01 | 0.99 |
| Outlier Win Ratio | 3.41 | 3.63 |
| Outlier Loss Ratio | 3.77 | 3.57 |
| MTD | 1.08% | 0.25% |
| 3M | 3.82% | 1.83% |
| 6M | 19.85% | 6.24% |
| YTD | 14.3% | 7.17% |
| 1Y | 17.78% | 10.37% |
| 3Y (ann.) | 24.86% | 9.9% |
| 5Y (ann.) | 13.06% | 6.1% |
| 10Y (ann.) | 13.36% | 6.0% |
| All-time (ann.) | 13.36% | 6.0% |
| 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 | -1.89% | -0.67% |
| Avg. Drawdown Days | 20 | 17 |
| Recovery Factor | 2.85 | 4.48 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.47 | 0.89 |
| Avg. Up Month | 4.05% | 1.34% |
| Avg. Down Month | -3.95% | -0.95% |
| Win Days | 54.04% | 57.84% |
| Win Month | 63.93% | 62.3% |
| Win Quarter | 66.67% | 85.71% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.21 |
| Alpha | - | 0.03 |
| Correlation | - | 83.68% |
| Treynor Ratio | - | 156.47% |
| Year | SPY | PMSAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.73 | 0.10 | - |
| 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 | 14.30 | 7.17 | 0.50 | - |
| 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 | 2026-04-13 | -2.37 | 47 |
| 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 |