| Metric | SPY | PPUAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 6.48% | 3.54% |
| CAGR﹪ | 13.27% | 7.14% |
| Sharpe | 0.78 | 0.32 |
| Prob. Sharpe Ratio | 70.87% | 59.02% |
| Smart Sharpe | 0.75 | 0.31 |
| Sortino | 1.14 | 0.47 |
| Smart Sortino | 1.09 | 0.46 |
| Sortino/√2 | 0.8 | 0.33 |
| Smart Sortino/√2 | 0.77 | 0.33 |
| Omega | 1.19 | 1.1 |
| Max Drawdown | -4.49% | -7.84% |
| Max DD Date | 2026-06-10 | 2026-10-08 |
| Max DD Period Start | 2026-06-03 | 2026-08-17 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 80 |
| Volatility (ann.) | 12.4% | 12.95% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.95 | 0.91 |
| Skew | -0.15 | 0.21 |
| Kurtosis | 0.59 | 0.4 |
| Ulcer Performance Index | 3.89 | 0.99 |
| Risk-Adjusted Return | 13.27% | 7.36% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.75% | 0.76% |
| Avg. Loss | -0.66% | -0.7% |
| Win/Loss Ratio | 1.15 | 1.09 |
| Profit Ratio | 1.15 | 0.83 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.9% | 0.5% |
| Expected Yearly | 6.48% | 3.54% |
| Kelly Criterion | 7.28% | 8.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.31% |
| Expected Shortfall (cVaR) | -1.63% | -1.64% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | 0.1 |
| Gain/Pain (1M) | 3.26 | 0.78 |
| Payoff Ratio | 1.15 | 1.09 |
| Profit Factor | 1.19 | 1.1 |
| Common Sense Ratio | 1.47 | 1.19 |
| CPC Index | 0.69 | 0.63 |
| Tail Ratio | 1.23 | 1.08 |
| Outlier Win Ratio | 2.66 | 3.64 |
| Outlier Loss Ratio | 3.07 | 2.72 |
| MTD | 1.47% | 1.2% |
| 3M | 1.46% | -2.63% |
| 6M | 6.48% | 3.54% |
| YTD | 6.48% | 3.54% |
| 1Y | 6.48% | 3.54% |
| 3Y (ann.) | 13.27% | 7.14% |
| 5Y (ann.) | 13.27% | 7.14% |
| 10Y (ann.) | 13.27% | 7.14% |
| All-time (ann.) | 13.27% | 7.14% |
| Best Day | 1.8% | 2.49% |
| Worst Day | -2.58% | -1.99% |
| Best Month | 4.52% | 3.81% |
| Worst Month | -1.03% | -4.93% |
| Best Year | 6.48% | 3.54% |
| Worst Year | 6.48% | 3.54% |
| Avg. Drawdown | -1.57% | -2.44% |
| Avg. Drawdown Days | 17 | 19 |
| Recovery Factor | 1.48 | 0.5 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.91 | 0.13 |
| Avg. Up Month | 2.18% | 2.05% |
| Avg. Down Month | -0.33% | -4.93% |
| Win Days | 50.39% | 52.03% |
| Win Month | 57.14% | 85.71% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.6 |
| Alpha | - | -0.0 |
| Correlation | - | 57.57% |
| Treynor Ratio | - | 5.88% |
| Year | SPY | PPUAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 3.54 | 0.55 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-17 | 2026-11-04 | -7.84 | 80 |
| 2026-05-08 | 2026-05-22 | -2.96 | 15 |
| 2026-06-01 | 2026-06-12 | -2.85 | 12 |
| 2026-07-07 | 2026-07-31 | -2.79 | 25 |
| 2026-06-18 | 2026-07-02 | -2.35 | 15 |
| 2026-05-27 | 2026-05-28 | -0.30 | 2 |
| 2026-08-06 | 2026-08-06 | -0.22 | 1 |
| 2026-08-10 | 2026-08-11 | -0.22 | 2 |