| Metric | SPY | PPUAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 75.63% | 45.72% |
| CAGR﹪ | 12.01% | 7.88% |
| Sharpe | 0.52 | 0.31 |
| Prob. Sharpe Ratio | 87.82% | 75.43% |
| Smart Sharpe | 0.51 | 0.28 |
| Sortino | 0.75 | 0.45 |
| Smart Sortino | 0.73 | 0.41 |
| Sortino/√2 | 0.53 | 0.32 |
| Smart Sortino/√2 | 0.52 | 0.29 |
| Omega | 1.14 | 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.) | 17.2% | 16.52% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.49 | 0.24 |
| Skew | 0.33 | 0.26 |
| Kurtosis | 8.96 | 7.35 |
| Ulcer Performance Index | 8.93 | 4.04 |
| Risk-Adjusted Return | 12.01% | 8.21% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.81% | 0.81% |
| Avg. Loss | -0.87% | -0.87% |
| Win/Loss Ratio | 0.94 | 0.93 |
| Profit Ratio | 0.85 | 0.78 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.93% | 0.62% |
| Expected Yearly | 9.84% | 6.48% |
| Kelly Criterion | 4.19% | 0.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.68% |
| Expected Shortfall (cVaR) | -2.58% | -2.52% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 6 | 13 |
| Gain/Pain Ratio | 0.14 | 0.1 |
| Gain/Pain (1M) | 0.8 | 0.43 |
| Payoff Ratio | 0.94 | 0.93 |
| Profit Factor | 1.14 | 1.1 |
| Common Sense Ratio | 1.15 | 1.11 |
| CPC Index | 0.58 | 0.53 |
| Tail Ratio | 1.01 | 1.01 |
| Outlier Win Ratio | 3.4 | 3.58 |
| Outlier Loss Ratio | 3.79 | 3.45 |
| MTD | 1.47% | 1.2% |
| 3M | 1.46% | -2.63% |
| 6M | 6.94% | 2.74% |
| YTD | 13.33% | 8.12% |
| 1Y | 13.84% | 12.41% |
| 3Y (ann.) | 21.0% | 18.49% |
| 5Y (ann.) | 12.96% | 9.39% |
| 10Y (ann.) | 12.01% | 7.88% |
| All-time (ann.) | 12.01% | 7.88% |
| 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 | -1.93% | -3.25% |
| Avg. Drawdown Days | 21 | 39 |
| Recovery Factor | 2.6 | 1.36 |
| Ulcer Index | 0.08 | 0.11 |
| Serenity Index | 0.43 | 0.16 |
| Avg. Up Month | 3.93% | 3.85% |
| Avg. Down Month | -4.15% | -5.55% |
| Win Days | 53.56% | 52.17% |
| Win Month | 62.3% | 67.21% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.36 |
| Alpha | - | 0.04 |
| Correlation | - | 37.77% |
| Treynor Ratio | - | 126.06% |
| Year | SPY | PPUAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -1.54 | -0.89 | - |
| 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 | 13.33 | 8.12 | 0.61 | - |
| 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 |
| 2026-08-17 | 2026-11-04 | -7.84 | 80 |
| 2024-03-22 | 2024-05-09 | -5.08 | 49 |
| 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 |
| 2025-07-25 | 2025-08-12 | -3.63 | 19 |