| Metric | SPY | PMSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 85.0% |
| Cumulative Return | 204.97% | 49.91% |
| CAGR﹪ | 16.25% | 5.62% |
| Sharpe | 0.72 | 0.56 |
| Prob. Sharpe Ratio | 97.45% | 93.15% |
| Smart Sharpe | 0.63 | 0.51 |
| Sortino | 1.02 | 0.74 |
| Smart Sortino | 0.88 | 0.67 |
| Sortino/√2 | 0.72 | 0.52 |
| Smart Sortino/√2 | 0.62 | 0.47 |
| Omega | 1.18 | 1.24 |
| Max Drawdown | -33.72% | -13.95% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-21 |
| Max DD Period End | 2020-08-07 | 2020-09-01 |
| Longest DD Days | 708 | 485 |
| Volatility (ann.) | 19.45% | 4.83% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.4 |
| Skew | -0.29 | -1.46 |
| Kurtosis | 13.94 | 13.1 |
| Ulcer Performance Index | 25.91 | 21.08 |
| Risk-Adjusted Return | 16.25% | 6.61% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.09% | 0.03% |
| Avg. Win | 0.9% | 0.25% |
| Avg. Loss | -1.01% | -0.27% |
| Win/Loss Ratio | 0.89 | 0.91 |
| Profit Ratio | 0.78 | 0.37 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.45% |
| Expected Yearly | 14.96% | 5.19% |
| Kelly Criterion | 4.77% | 12.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.48% |
| Expected Shortfall (cVaR) | -3.2% | -0.85% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.24 |
| Gain/Pain (1M) | 1.15 | 1.25 |
| Payoff Ratio | 0.89 | 0.91 |
| Profit Factor | 1.18 | 1.24 |
| Common Sense Ratio | 1.13 | 1.2 |
| CPC Index | 0.58 | 0.66 |
| Tail Ratio | 0.96 | 0.97 |
| Outlier Win Ratio | 3.69 | 3.99 |
| Outlier Loss Ratio | 4.12 | 3.46 |
| 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.) | 16.25% | 5.62% |
| All-time (ann.) | 16.25% | 5.62% |
| Best Day | 10.5% | 2.1% |
| Worst Day | -10.94% | -3.11% |
| Best Month | 12.7% | 3.08% |
| Worst Month | -12.49% | -7.71% |
| Best Year | 28.73% | 10.04% |
| Worst Year | -18.18% | -2.29% |
| Avg. Drawdown | -1.79% | -0.73% |
| Avg. Drawdown Days | 16 | 18 |
| Recovery Factor | 3.72 | 2.97 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.03 | 0.78 |
| Avg. Up Month | 4.21% | 1.35% |
| Avg. Down Month | -3.83% | -1.09% |
| Win Days | 55.15% | 58.52% |
| Win Month | 65.56% | 62.22% |
| Win Quarter | 77.42% | 83.87% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.19 |
| Alpha | - | 0.02 |
| Correlation | - | 74.91% |
| Treynor Ratio | - | 268.22% |
| Year | SPY | PMSAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 3.73 | 0.23 | - |
| 2020 | 18.33 | 4.68 | 0.26 | - |
| 2021 | 28.73 | 5.14 | 0.18 | - |
| 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 |
|---|---|---|---|
| 2020-02-21 | 2020-09-01 | -13.95 | 194 |
| 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 |
| 2020-09-03 | 2020-11-06 | -2.09 | 65 |
| 2022-02-11 | 2022-03-21 | -1.92 | 39 |
| 2021-09-03 | 2021-11-05 | -1.87 | 64 |