| Metric | SPY | PRRSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 75.63% | 6.91% |
| CAGR﹪ | 12.01% | 1.35% |
| Sharpe | 0.52 | -0.02 |
| Prob. Sharpe Ratio | 87.82% | 48.1% |
| Smart Sharpe | 0.51 | -0.02 |
| Sortino | 0.75 | -0.03 |
| Smart Sortino | 0.73 | -0.03 |
| Sortino/√2 | 0.53 | -0.02 |
| Smart Sortino/√2 | 0.52 | -0.02 |
| Omega | 1.14 | 1.03 |
| Max Drawdown | -24.5% | -37.14% |
| Max DD Date | 2022-10-12 | 2023-10-25 |
| Max DD Period Start | 2022-01-04 | 2022-01-03 |
| Max DD Period End | 2023-12-12 | 2026-06-08 |
| Longest DD Days | 708 | 1618 |
| Volatility (ann.) | 17.2% | 20.38% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.04 |
| Skew | 0.33 | -0.06 |
| Kurtosis | 8.96 | 3.03 |
| Ulcer Performance Index | 8.93 | 0.36 |
| Risk-Adjusted Return | 12.01% | 1.38% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.05% | 0.01% |
| Avg. Win | 0.9% | 1.06% |
| Avg. Loss | -0.88% | -1.16% |
| Win/Loss Ratio | 1.02 | 0.92 |
| Profit Ratio | 0.85 | 0.86 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 0.93% | 0.11% |
| Expected Yearly | 9.84% | 1.12% |
| Kelly Criterion | 8.18% | -2.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.1% |
| Expected Shortfall (cVaR) | -2.58% | -2.96% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 11 |
| Gain/Pain Ratio | 0.14 | 0.03 |
| Gain/Pain (1M) | 0.8 | 0.12 |
| Payoff Ratio | 1.02 | 0.92 |
| Profit Factor | 1.14 | 1.03 |
| Common Sense Ratio | 1.15 | 0.96 |
| CPC Index | 0.63 | 0.48 |
| Tail Ratio | 1.01 | 0.94 |
| Outlier Win Ratio | 3.4 | 3.4 |
| Outlier Loss Ratio | 3.79 | 3.63 |
| MTD | 1.47% | 3.76% |
| 3M | 1.46% | -2.98% |
| 6M | 6.94% | 1.36% |
| YTD | 13.33% | 15.7% |
| 1Y | 13.84% | 15.78% |
| 3Y (ann.) | 21.0% | 10.8% |
| 5Y (ann.) | 12.96% | 1.76% |
| 10Y (ann.) | 12.01% | 1.35% |
| All-time (ann.) | 12.01% | 1.35% |
| Best Day | 10.5% | 7.59% |
| Worst Day | -5.85% | -5.81% |
| Best Month | 10.51% | 12.2% |
| Worst Month | -9.24% | -15.97% |
| Best Year | 26.18% | 15.7% |
| Worst Year | -18.18% | -29.37% |
| Avg. Drawdown | -1.93% | -5.08% |
| Avg. Drawdown Days | 21 | 127 |
| Recovery Factor | 2.6 | 0.46 |
| Ulcer Index | 0.08 | 0.19 |
| Serenity Index | 0.43 | 0.03 |
| Avg. Up Month | 4.27% | 5.03% |
| Avg. Down Month | -4.06% | -6.22% |
| Win Days | 53.56% | 51.11% |
| Win Month | 62.3% | 52.46% |
| Win Quarter | 71.43% | 47.62% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.75 |
| Alpha | - | -0.06 |
| Correlation | - | 62.94% |
| Treynor Ratio | - | 9.26% |
| Year | SPY | PRRSX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 7.23 | 4.18 | + |
| 2022 | -18.18 | -29.37 | 1.62 | - |
| 2023 | 26.18 | 12.30 | 0.47 | - |
| 2024 | 24.89 | 4.89 | 0.20 | - |
| 2025 | 18.15 | 3.59 | 0.20 | - |
| 2026 | 13.33 | 15.70 | 1.18 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-03 | 2026-06-08 | -37.14 | 1618 |
| 2026-07-27 | 2026-11-04 | -13.82 | 101 |
| 2021-11-26 | 2021-12-07 | -6.54 | 12 |
| 2026-06-15 | 2026-06-24 | -3.53 | 10 |
| 2021-12-09 | 2021-12-21 | -2.25 | 13 |
| 2026-06-29 | 2026-07-06 | -2.04 | 8 |
| 2021-11-19 | 2021-11-23 | -1.92 | 5 |
| 2026-07-08 | 2026-07-15 | -1.78 | 8 |
| 2026-07-20 | 2026-07-23 | -1.11 | 4 |
| 2021-11-16 | 2021-11-16 | -0.61 | 1 |