| Metric | SPY | PPUAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 18.3% | 15.49% |
| CAGR﹪ | 18.62% | 15.75% |
| Sharpe | 1.07 | 0.78 |
| Prob. Sharpe Ratio | 85.46% | 78.32% |
| Smart Sharpe | 1.04 | 0.74 |
| Sortino | 1.56 | 1.2 |
| Smart Sortino | 1.52 | 1.14 |
| Sortino/√2 | 1.1 | 0.85 |
| Smart Sortino/√2 | 1.07 | 0.8 |
| Omega | 1.26 | 1.2 |
| Max Drawdown | -8.88% | -12.27% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-07-02 |
| Longest DD Days | 76 | 123 |
| Volatility (ann.) | 13.04% | 15.13% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.1 | 1.28 |
| Skew | -0.16 | 0.55 |
| Kurtosis | 1.03 | 4.54 |
| Ulcer Performance Index | 8.48 | 4.08 |
| Risk-Adjusted Return | 18.62% | 16.41% |
| Risk-Return Ratio | 0.09 | 0.07 |
| Avg. Return | 0.09% | 0.07% |
| Avg. Win | 0.72% | 0.82% |
| Avg. Loss | -0.66% | -0.75% |
| Win/Loss Ratio | 1.09 | 1.09 |
| Profit Ratio | 0.91 | 0.87 |
| Expected Daily | 0.07% | 0.06% |
| Expected Monthly | 1.3% | 1.11% |
| Expected Yearly | 8.77% | 7.46% |
| Kelly Criterion | 12.0% | 8.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.51% |
| Expected Shortfall (cVaR) | -1.72% | -2.23% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.26 | 0.2 |
| Gain/Pain (1M) | 2.66 | 1.04 |
| Payoff Ratio | 1.09 | 1.09 |
| Profit Factor | 1.26 | 1.2 |
| Common Sense Ratio | 1.25 | 1.31 |
| CPC Index | 0.74 | 0.68 |
| Tail Ratio | 0.99 | 1.1 |
| Outlier Win Ratio | 2.88 | 3.62 |
| Outlier Loss Ratio | 3.16 | 3.22 |
| MTD | 1.08% | -2.8% |
| 3M | 3.82% | -0.36% |
| 6M | 19.85% | 12.58% |
| YTD | 14.3% | 9.14% |
| 1Y | 18.3% | 15.49% |
| 3Y (ann.) | 18.62% | 15.75% |
| 5Y (ann.) | 18.62% | 15.75% |
| 10Y (ann.) | 18.62% | 15.75% |
| All-time (ann.) | 18.62% | 15.75% |
| Best Day | 2.91% | 5.13% |
| Worst Day | -2.7% | -3.83% |
| Best Month | 10.51% | 7.6% |
| Worst Month | -4.94% | -11.68% |
| Best Year | 14.3% | 9.14% |
| Worst Year | 3.5% | 5.81% |
| Avg. Drawdown | -1.69% | -2.25% |
| Avg. Drawdown Days | 13 | 17 |
| Recovery Factor | 1.99 | 1.26 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.19 | 0.39 |
| Avg. Up Month | 2.6% | 2.78% |
| Avg. Down Month | -4.94% | -11.68% |
| Win Days | 54.03% | 52.1% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.6 |
| Alpha | - | 0.05 |
| Correlation | - | 51.53% |
| Treynor Ratio | - | 25.89% |
| Year | SPY | PPUAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | 5.81 | 1.66 | + |
| 2026 | 14.30 | 9.14 | 0.64 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-07-02 | -12.27 | 123 |
| 2026-08-17 | 2026-09-22 | -4.91 | 37 |
| 2025-11-14 | 2025-12-10 | -4.62 | 27 |
| 2026-07-07 | 2026-07-31 | -2.79 | 25 |
| 2025-10-07 | 2025-10-17 | -2.48 | 11 |
| 2025-10-29 | 2025-11-10 | -2.29 | 13 |
| 2025-09-24 | 2025-09-29 | -1.52 | 6 |
| 2026-01-16 | 2026-01-23 | -1.48 | 8 |
| 2026-02-13 | 2026-02-24 | -1.11 | 12 |
| 2026-01-28 | 2026-02-02 | -0.99 | 6 |