| Metric | SPY | PPUAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 87.27% | 47.63% |
| CAGR﹪ | 13.47% | 8.16% |
| Sharpe | 0.6 | 0.33 |
| Prob. Sharpe Ratio | 91.03% | 76.82% |
| Smart Sharpe | 0.58 | 0.3 |
| Sortino | 0.87 | 0.48 |
| Smart Sortino | 0.84 | 0.44 |
| Sortino/√2 | 0.61 | 0.34 |
| Smart Sortino/√2 | 0.59 | 0.31 |
| Omega | 1.16 | 1.1 |
| Max Drawdown | -24.5% | -32.75% |
| Max DD Date | 2022-10-12 | 2022-10-12 |
| Max DD Period Start | 2022-01-04 | 2021-11-09 |
| Max DD Period End | 2023-12-12 | 2024-01-30 |
| Longest DD Days | 708 | 813 |
| Volatility (ann.) | 17.21% | 16.48% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.55 | 0.25 |
| Skew | 0.32 | 0.26 |
| Kurtosis | 8.93 | 7.44 |
| Ulcer Performance Index | 10.31 | 4.22 |
| Risk-Adjusted Return | 13.47% | 8.5% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.81% | 0.81% |
| Avg. Loss | -0.87% | -0.87% |
| Win/Loss Ratio | 0.93 | 0.93 |
| Profit Ratio | 0.83 | 0.78 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.03% | 0.64% |
| Expected Yearly | 11.02% | 6.71% |
| Kelly Criterion | 5.05% | 0.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.67% |
| Expected Shortfall (cVaR) | -2.58% | -2.49% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 6 | 13 |
| Gain/Pain Ratio | 0.16 | 0.1 |
| Gain/Pain (1M) | 0.88 | 0.45 |
| Payoff Ratio | 0.93 | 0.93 |
| Profit Factor | 1.16 | 1.1 |
| Common Sense Ratio | 1.17 | 1.1 |
| CPC Index | 0.59 | 0.54 |
| Tail Ratio | 1.01 | 1.0 |
| Outlier Win Ratio | 3.42 | 3.59 |
| Outlier Loss Ratio | 3.76 | 3.46 |
| MTD | 1.08% | -2.8% |
| 3M | 3.82% | -0.36% |
| 6M | 19.85% | 12.58% |
| YTD | 14.3% | 9.14% |
| 1Y | 18.22% | 15.97% |
| 3Y (ann.) | 25.09% | 22.68% |
| 5Y (ann.) | 13.16% | 8.58% |
| 10Y (ann.) | 13.47% | 8.16% |
| All-time (ann.) | 13.47% | 8.16% |
| Best Day | 10.5% | 8.49% |
| Worst Day | -5.85% | -6.63% |
| Best Month | 10.51% | 11.39% |
| Worst Month | -9.24% | -11.68% |
| Best Year | 26.18% | 30.38% |
| Worst Year | -18.18% | -18.77% |
| Avg. Drawdown | -1.89% | -3.21% |
| Avg. Drawdown Days | 20 | 38 |
| Recovery Factor | 2.86 | 1.39 |
| Ulcer Index | 0.08 | 0.11 |
| Serenity Index | 0.47 | 0.16 |
| Avg. Up Month | 4.09% | 3.87% |
| Avg. Down Month | -4.2% | -5.34% |
| Win Days | 54.12% | 52.18% |
| Win Month | 63.93% | 65.57% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.36 |
| Alpha | - | 0.04 |
| Correlation | - | 37.81% |
| Treynor Ratio | - | 131.58% |
| Year | SPY | PPUAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -1.19 | -0.16 | - |
| 2022 | -18.18 | -18.77 | 1.03 | - |
| 2023 | 26.18 | 17.52 | 0.67 | - |
| 2024 | 24.89 | 9.98 | 0.40 | - |
| 2025 | 18.15 | 30.38 | 1.67 | + |
| 2026 | 14.30 | 9.14 | 0.64 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2024-01-30 | -32.75 | 813 |
| 2024-09-30 | 2025-05-19 | -17.34 | 232 |
| 2026-03-02 | 2026-07-02 | -12.27 | 123 |
| 2024-07-15 | 2024-08-21 | -8.90 | 38 |
| 2024-03-22 | 2024-05-09 | -5.08 | 49 |
| 2026-08-17 | 2026-09-22 | -4.91 | 37 |
| 2021-09-24 | 2021-11-03 | -4.63 | 41 |
| 2025-11-14 | 2025-12-10 | -4.62 | 27 |
| 2024-06-07 | 2024-07-10 | -3.70 | 34 |
| 2024-09-03 | 2024-09-18 | -3.64 | 16 |