| Metric | SPY | PRRSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.81% | 15.53% |
| CAGR﹪ | 15.07% | 15.8% |
| Sharpe | 0.87 | 0.81 |
| Prob. Sharpe Ratio | 80.5% | 78.65% |
| Smart Sharpe | 0.86 | 0.75 |
| Sortino | 1.27 | 1.17 |
| Smart Sortino | 1.26 | 1.09 |
| Sortino/√2 | 0.9 | 0.83 |
| Smart Sortino/√2 | 0.89 | 0.77 |
| Omega | 1.21 | 1.19 |
| Max Drawdown | -8.88% | -13.82% |
| Max DD Date | 2026-03-30 | 2026-10-07 |
| Max DD Period Start | 2026-01-28 | 2026-07-27 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 101 |
| Volatility (ann.) | 12.91% | 15.09% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 1.7 | 1.14 |
| Skew | -0.03 | -0.17 |
| Kurtosis | 0.75 | 0.8 |
| Ulcer Performance Index | 6.86 | 3.02 |
| Risk-Adjusted Return | 15.07% | 15.8% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.06% | 0.06% |
| Avg. Win | 0.7% | 0.74% |
| Avg. Loss | -0.65% | -0.86% |
| Win/Loss Ratio | 1.08 | 0.86 |
| Profit Ratio | 0.99 | 0.78 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.07% | 1.12% |
| Expected Yearly | 7.15% | 7.48% |
| Kelly Criterion | 8.27% | 2.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.5% |
| Expected Shortfall (cVaR) | -1.66% | -2.01% |
| Max Consecutive Wins | 7 | 10 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.21 | 0.19 |
| Gain/Pain (1M) | 1.88 | 0.75 |
| Payoff Ratio | 1.08 | 0.86 |
| Profit Factor | 1.21 | 1.19 |
| Common Sense Ratio | 1.2 | 1.3 |
| CPC Index | 0.68 | 0.56 |
| Tail Ratio | 0.99 | 1.1 |
| Outlier Win Ratio | 2.84 | 3.32 |
| Outlier Loss Ratio | 2.98 | 2.61 |
| MTD | 1.47% | 3.76% |
| 3M | 1.46% | -2.98% |
| 6M | 6.94% | 1.36% |
| YTD | 13.33% | 15.7% |
| 1Y | 14.81% | 15.53% |
| 3Y (ann.) | 15.07% | 15.8% |
| 5Y (ann.) | 15.07% | 15.8% |
| 10Y (ann.) | 15.07% | 15.8% |
| All-time (ann.) | 15.07% | 15.8% |
| Best Day | 2.91% | 2.78% |
| Worst Day | -2.58% | -3.6% |
| Best Month | 10.51% | 9.71% |
| Worst Month | -4.94% | -7.36% |
| Best Year | 13.33% | 15.7% |
| Worst Year | 1.31% | -0.15% |
| Avg. Drawdown | -1.72% | -3.14% |
| Avg. Drawdown Days | 13 | 18 |
| Recovery Factor | 1.65 | 1.13 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.96 | 0.25 |
| Avg. Up Month | 2.87% | 4.3% |
| Avg. Down Month | -2.63% | -7.03% |
| Win Days | 52.42% | 55.06% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.3 |
| Alpha | - | 0.11 |
| Correlation | - | 25.48% |
| Treynor Ratio | - | 52.13% |
| Year | SPY | PRRSX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | -0.15 | -0.11 | - |
| 2026 | 13.33 | 15.70 | 1.18 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-27 | 2026-11-04 | -13.82 | 101 |
| 2026-03-03 | 2026-04-15 | -9.04 | 44 |
| 2026-05-27 | 2026-06-08 | -3.65 | 13 |
| 2026-06-15 | 2026-06-24 | -3.53 | 10 |
| 2025-12-01 | 2026-01-13 | -3.45 | 44 |
| 2026-01-20 | 2026-02-04 | -3.19 | 16 |
| 2025-11-12 | 2025-11-25 | -2.96 | 14 |
| 2026-05-13 | 2026-05-22 | -2.84 | 10 |
| 2026-04-21 | 2026-05-05 | -2.82 | 15 |
| 2026-06-29 | 2026-07-06 | -2.04 | 8 |