| Metric | SPY | PPUAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 14.81% | 13.45% |
| CAGR﹪ | 15.07% | 13.68% |
| Sharpe | 0.87 | 0.67 |
| Prob. Sharpe Ratio | 80.5% | 75.01% |
| Smart Sharpe | 0.86 | 0.65 |
| Sortino | 1.27 | 1.03 |
| Smart Sortino | 1.26 | 0.99 |
| Sortino/√2 | 0.9 | 0.73 |
| Smart Sortino/√2 | 0.89 | 0.7 |
| Omega | 1.21 | 1.17 |
| 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.) | 12.91% | 15.34% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 1.7 | 1.11 |
| Skew | -0.03 | 0.53 |
| Kurtosis | 0.75 | 4.23 |
| Ulcer Performance Index | 6.86 | 3.05 |
| Risk-Adjusted Return | 15.07% | 14.1% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.07% | 0.06% |
| Avg. Win | 0.74% | 0.85% |
| Avg. Loss | -0.66% | -0.76% |
| Win/Loss Ratio | 1.12 | 1.13 |
| Profit Ratio | 0.99 | 0.9 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 1.07% | 0.98% |
| Expected Yearly | 7.15% | 6.51% |
| Kelly Criterion | 9.92% | 8.88% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.53% |
| Expected Shortfall (cVaR) | -1.66% | -2.23% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.21 | 0.17 |
| Gain/Pain (1M) | 1.88 | 0.8 |
| Payoff Ratio | 1.12 | 1.13 |
| Profit Factor | 1.21 | 1.17 |
| Common Sense Ratio | 1.2 | 1.28 |
| CPC Index | 0.71 | 0.68 |
| Tail Ratio | 0.99 | 1.09 |
| Outlier Win Ratio | 2.84 | 3.52 |
| Outlier Loss Ratio | 2.98 | 3.16 |
| MTD | 1.47% | 1.2% |
| 3M | 1.46% | -2.63% |
| 6M | 6.94% | 2.74% |
| YTD | 13.33% | 8.12% |
| 1Y | 14.81% | 13.45% |
| 3Y (ann.) | 15.07% | 13.68% |
| 5Y (ann.) | 15.07% | 13.68% |
| 10Y (ann.) | 15.07% | 13.68% |
| All-time (ann.) | 15.07% | 13.68% |
| Best Day | 2.91% | 5.13% |
| Worst Day | -2.58% | -3.83% |
| Best Month | 10.51% | 7.6% |
| Worst Month | -4.94% | -11.68% |
| Best Year | 13.33% | 8.12% |
| Worst Year | 1.31% | 4.93% |
| Avg. Drawdown | -1.72% | -2.5% |
| Avg. Drawdown Days | 13 | 21 |
| Recovery Factor | 1.65 | 1.12 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.96 | 0.3 |
| Avg. Up Month | 2.84% | 3.17% |
| Avg. Down Month | -2.63% | -8.31% |
| Win Days | 52.42% | 51.67% |
| Win Month | 61.54% | 84.62% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.6 |
| Alpha | - | 0.05 |
| Correlation | - | 50.91% |
| Treynor Ratio | - | 22.23% |
| Year | SPY | PPUAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | 4.93 | 3.76 | + |
| 2026 | 13.33 | 8.12 | 0.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-07-02 | -12.27 | 123 |
| 2026-08-17 | 2026-11-04 | -7.84 | 80 |
| 2025-11-14 | 2025-12-10 | -4.62 | 27 |
| 2026-07-07 | 2026-07-31 | -2.79 | 25 |
| 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 |
| 2026-02-04 | 2026-02-05 | -0.99 | 2 |
| 2026-01-07 | 2026-01-09 | -0.94 | 3 |
| 2025-12-16 | 2025-12-19 | -0.88 | 4 |