| Metric | SPY | PPUAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 206.09% | 98.8% |
| CAGR﹪ | 16.33% | 9.73% |
| Sharpe | 0.73 | 0.46 |
| Prob. Sharpe Ratio | 97.49% | 89.16% |
| Smart Sharpe | 0.63 | 0.4 |
| Sortino | 1.02 | 0.64 |
| Smart Sortino | 0.88 | 0.57 |
| Sortino/√2 | 0.72 | 0.46 |
| Smart Sortino/√2 | 0.63 | 0.4 |
| Omega | 1.18 | 1.12 |
| Max Drawdown | -33.72% | -38.29% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-01-21 |
| Max DD Period End | 2020-08-07 | 2020-11-13 |
| Longest DD Days | 708 | 875 |
| Volatility (ann.) | 19.46% | 17.3% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.48 | 0.25 |
| Skew | -0.29 | -0.46 |
| Kurtosis | 13.92 | 13.58 |
| Ulcer Performance Index | 26.04 | 8.91 |
| Risk-Adjusted Return | 16.33% | 10.36% |
| Risk-Return Ratio | 0.06 | 0.04 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.86% | 0.83% |
| Avg. Loss | -0.97% | -0.93% |
| Win/Loss Ratio | 0.89 | 0.89 |
| Profit Ratio | 0.78 | 0.67 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.25% | 0.77% |
| Expected Yearly | 15.01% | 8.97% |
| Kelly Criterion | 4.63% | 1.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.75% |
| Expected Shortfall (cVaR) | -3.2% | -2.78% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 7 | 13 |
| Gain/Pain Ratio | 0.18 | 0.12 |
| Gain/Pain (1M) | 1.16 | 0.55 |
| Payoff Ratio | 0.89 | 0.89 |
| Profit Factor | 1.18 | 1.12 |
| Common Sense Ratio | 1.13 | 1.12 |
| CPC Index | 0.58 | 0.54 |
| Tail Ratio | 0.96 | 0.99 |
| Outlier Win Ratio | 3.69 | 3.81 |
| Outlier Loss Ratio | 4.11 | 3.6 |
| 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.) | 16.33% | 9.73% |
| All-time (ann.) | 16.33% | 9.73% |
| Best Day | 10.5% | 8.49% |
| Worst Day | -10.94% | -11.49% |
| Best Month | 12.7% | 15.9% |
| Worst Month | -12.49% | -17.11% |
| Best Year | 28.73% | 30.38% |
| Worst Year | -18.18% | -18.77% |
| Avg. Drawdown | -1.79% | -3.07% |
| Avg. Drawdown Days | 16 | 33 |
| Recovery Factor | 3.74 | 2.08 |
| Ulcer Index | 0.08 | 0.11 |
| Serenity Index | 1.03 | 0.3 |
| Avg. Up Month | 4.18% | 3.94% |
| Avg. Down Month | -4.11% | -5.36% |
| Win Days | 55.21% | 53.63% |
| Win Month | 65.56% | 66.67% |
| Win Quarter | 77.42% | 64.52% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.42 |
| Alpha | - | 0.04 |
| Correlation | - | 47.79% |
| Treynor Ratio | - | 232.48% |
| Year | SPY | PPUAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 12.09 | 0.74 | - |
| 2020 | 18.33 | 8.37 | 0.46 | - |
| 2021 | 28.73 | 10.58 | 0.37 | - |
| 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 |
|---|---|---|---|
| 2020-01-21 | 2020-11-13 | -38.29 | 298 |
| 2021-09-08 | 2024-01-30 | -33.51 | 875 |
| 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 |
| 2019-07-05 | 2019-10-24 | -8.29 | 112 |
| 2026-08-17 | 2026-11-04 | -7.84 | 80 |
| 2021-06-17 | 2021-08-31 | -5.42 | 76 |
| 2024-03-22 | 2024-05-09 | -5.08 | 49 |
| 2021-02-17 | 2021-04-07 | -4.93 | 50 |