| Metric | SPY | PRRSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.3% | 9.11% |
| CAGR﹪ | 18.62% | 9.26% |
| Sharpe | 1.07 | 0.41 |
| Prob. Sharpe Ratio | 85.46% | 65.53% |
| Smart Sharpe | 1.04 | 0.4 |
| Sortino | 1.56 | 0.56 |
| Smart Sortino | 1.52 | 0.55 |
| Sortino/√2 | 1.1 | 0.4 |
| Smart Sortino/√2 | 1.07 | 0.39 |
| Omega | 1.26 | 1.12 |
| Max Drawdown | -8.88% | -10.58% |
| Max DD Date | 2026-03-30 | 2026-09-18 |
| Max DD Period Start | 2026-01-28 | 2026-07-27 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 80 |
| Volatility (ann.) | 13.04% | 14.77% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.1 | 0.88 |
| Skew | -0.16 | -0.38 |
| Kurtosis | 1.03 | 0.9 |
| Ulcer Performance Index | 8.48 | 2.67 |
| Risk-Adjusted Return | 18.62% | 9.26% |
| Risk-Return Ratio | 0.09 | 0.04 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.7% | 0.69% |
| Avg. Loss | -0.68% | -0.84% |
| Win/Loss Ratio | 1.03 | 0.82 |
| Profit Ratio | 0.91 | 0.71 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.3% | 0.67% |
| Expected Yearly | 8.77% | 4.45% |
| Kelly Criterion | 9.19% | 1.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.49% |
| Expected Shortfall (cVaR) | -1.72% | -2.13% |
| Max Consecutive Wins | 7 | 10 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.26 | 0.12 |
| Gain/Pain (1M) | 2.66 | 0.52 |
| Payoff Ratio | 1.03 | 0.82 |
| Profit Factor | 1.26 | 1.12 |
| Common Sense Ratio | 1.25 | 1.14 |
| CPC Index | 0.7 | 0.51 |
| Tail Ratio | 0.99 | 1.03 |
| Outlier Win Ratio | 2.88 | 3.09 |
| Outlier Loss Ratio | 3.16 | 3.09 |
| MTD | 1.08% | -4.15% |
| 3M | 3.82% | -3.04% |
| 6M | 19.85% | 7.65% |
| YTD | 14.3% | 10.4% |
| 1Y | 18.3% | 9.11% |
| 3Y (ann.) | 18.62% | 9.26% |
| 5Y (ann.) | 18.62% | 9.26% |
| 10Y (ann.) | 18.62% | 9.26% |
| All-time (ann.) | 18.62% | 9.26% |
| Best Day | 2.91% | 2.51% |
| Worst Day | -2.7% | -3.6% |
| Best Month | 10.51% | 9.71% |
| Worst Month | -4.94% | -6.7% |
| Best Year | 14.3% | 10.4% |
| Worst Year | 3.5% | -1.17% |
| Avg. Drawdown | -1.69% | -2.98% |
| Avg. Drawdown Days | 13 | 17 |
| Recovery Factor | 1.99 | 0.93 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.19 | 0.31 |
| Avg. Up Month | 2.53% | 3.66% |
| Avg. Down Month | -4.94% | -6.7% |
| Win Days | 54.03% | 55.47% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.31 |
| Alpha | - | 0.04 |
| Correlation | - | 27.52% |
| Treynor Ratio | - | 29.21% |
| Year | SPY | PRRSX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | -1.17 | -0.33 | - |
| 2026 | 14.30 | 10.40 | 0.73 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-27 | 2026-09-22 | -10.58 | 58 |
| 2026-03-03 | 2026-04-15 | -9.04 | 44 |
| 2025-10-28 | 2026-01-15 | -4.67 | 80 |
| 2026-05-27 | 2026-06-08 | -3.65 | 13 |
| 2025-10-02 | 2025-10-16 | -3.56 | 15 |
| 2026-06-15 | 2026-06-25 | -3.53 | 11 |
| 2026-01-20 | 2026-02-04 | -3.19 | 16 |
| 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 |