| Metric | SPY | PRRSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 87.27% | 8.95% |
| CAGR﹪ | 13.47% | 1.74% |
| Sharpe | 0.6 | -0.0 |
| Prob. Sharpe Ratio | 91.03% | 50.0% |
| Smart Sharpe | 0.58 | -0.0 |
| Sortino | 0.87 | -0.0 |
| Smart Sortino | 0.84 | -0.0 |
| Sortino/√2 | 0.61 | -0.0 |
| Smart Sortino/√2 | 0.59 | -0.0 |
| Omega | 1.16 | 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.) | 17.21% | 20.33% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.05 |
| Skew | 0.32 | -0.07 |
| Kurtosis | 8.93 | 3.06 |
| Ulcer Performance Index | 10.31 | 0.46 |
| Risk-Adjusted Return | 13.47% | 1.78% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.89% | 1.06% |
| Avg. Loss | -0.88% | -1.16% |
| Win/Loss Ratio | 1.01 | 0.91 |
| Profit Ratio | 0.83 | 0.84 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.14% |
| Expected Yearly | 11.02% | 1.44% |
| Kelly Criterion | 8.55% | -2.18% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.09% |
| Expected Shortfall (cVaR) | -2.58% | -2.96% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 11 |
| Gain/Pain Ratio | 0.16 | 0.03 |
| Gain/Pain (1M) | 0.88 | 0.13 |
| Payoff Ratio | 1.01 | 0.91 |
| Profit Factor | 1.16 | 1.03 |
| Common Sense Ratio | 1.17 | 0.95 |
| CPC Index | 0.63 | 0.48 |
| Tail Ratio | 1.01 | 0.92 |
| Outlier Win Ratio | 3.42 | 3.42 |
| Outlier Loss Ratio | 3.76 | 3.61 |
| MTD | 1.08% | -4.15% |
| 3M | 3.82% | -3.04% |
| 6M | 19.85% | 7.65% |
| YTD | 14.3% | 10.4% |
| 1Y | 18.22% | 10.16% |
| 3Y (ann.) | 25.09% | 14.44% |
| 5Y (ann.) | 13.16% | 0.88% |
| 10Y (ann.) | 13.47% | 1.74% |
| All-time (ann.) | 13.47% | 1.74% |
| 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% | 14.51% |
| Worst Year | -18.18% | -29.37% |
| Avg. Drawdown | -1.89% | -3.91% |
| Avg. Drawdown Days | 20 | 93 |
| Recovery Factor | 2.86 | 0.51 |
| Ulcer Index | 0.08 | 0.19 |
| Serenity Index | 0.47 | 0.04 |
| Avg. Up Month | 4.47% | 5.19% |
| Avg. Down Month | -4.11% | -5.91% |
| Win Days | 54.12% | 51.39% |
| Win Month | 63.93% | 50.82% |
| Win Quarter | 66.67% | 42.86% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.75 |
| Alpha | - | -0.07 |
| Correlation | - | 63.35% |
| Treynor Ratio | - | 11.96% |
| Year | SPY | PRRSX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 14.51 | 1.92 | + |
| 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 | 14.30 | 10.40 | 0.73 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-03 | 2026-06-08 | -37.14 | 1618 |
| 2026-07-27 | 2026-09-22 | -10.58 | 58 |
| 2021-11-26 | 2021-12-07 | -6.54 | 12 |
| 2026-06-15 | 2026-06-24 | -3.53 | 10 |
| 2021-09-24 | 2021-10-11 | -3.40 | 18 |
| 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 |