| Metric | SPY | PRRSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | 7.11% |
| CAGR﹪ | 40.67% | 14.72% |
| Sharpe | 2.32 | 0.73 |
| Prob. Sharpe Ratio | 95.04% | 69.69% |
| Smart Sharpe | 2.3 | 0.71 |
| Sortino | 3.78 | 1.07 |
| Smart Sortino | 3.75 | 1.03 |
| Sortino/√2 | 2.67 | 0.76 |
| Smart Sortino/√2 | 2.65 | 0.73 |
| Omega | 1.54 | 1.17 |
| Max Drawdown | -4.49% | -10.58% |
| Max DD Date | 2026-06-10 | 2026-09-18 |
| Max DD Period Start | 2026-06-03 | 2026-07-27 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 58 |
| Volatility (ann.) | 13.55% | 15.43% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 9.05 | 1.39 |
| Skew | 0.1 | -0.08 |
| Kurtosis | 1.12 | 0.34 |
| Ulcer Performance Index | 11.86 | 2.06 |
| Risk-Adjusted Return | 40.67% | 14.72% |
| Risk-Return Ratio | 0.16 | 0.06 |
| Avg. Return | 0.13% | 0.06% |
| Avg. Win | 0.78% | 0.78% |
| Avg. Loss | -0.59% | -0.83% |
| Win/Loss Ratio | 1.33 | 0.94 |
| Profit Ratio | 1.12 | 0.85 |
| Expected Daily | 0.14% | 0.05% |
| Expected Monthly | 2.47% | 0.99% |
| Expected Yearly | 18.6% | 7.11% |
| Kelly Criterion | 19.24% | 4.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.54% |
| Expected Shortfall (cVaR) | -1.77% | -2.07% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.54 | 0.17 |
| Gain/Pain (1M) | 10.92 | 0.98 |
| Payoff Ratio | 1.33 | 0.94 |
| Profit Factor | 1.54 | 1.17 |
| Common Sense Ratio | 2.01 | 1.24 |
| CPC Index | 1.1 | 0.59 |
| Tail Ratio | 1.3 | 1.06 |
| Outlier Win Ratio | 3.21 | 3.22 |
| Outlier Loss Ratio | 3.16 | 2.61 |
| MTD | 1.08% | -4.15% |
| 3M | 3.82% | -3.04% |
| 6M | 18.6% | 7.11% |
| YTD | 18.6% | 7.11% |
| 1Y | 18.6% | 7.11% |
| 3Y (ann.) | 40.67% | 14.72% |
| 5Y (ann.) | 40.67% | 14.72% |
| 10Y (ann.) | 40.67% | 14.72% |
| All-time (ann.) | 40.67% | 14.72% |
| Best Day | 2.91% | 2.51% |
| Worst Day | -2.58% | -3.04% |
| Best Month | 10.51% | 9.71% |
| Worst Month | -1.03% | -4.15% |
| Best Year | 18.6% | 7.11% |
| Worst Year | 18.6% | 7.11% |
| Avg. Drawdown | -1.13% | -2.56% |
| Avg. Drawdown Days | 9 | 12 |
| Recovery Factor | 3.9 | 0.7 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 2.75 | 0.23 |
| Avg. Up Month | 5.27% | 5.88% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 53.6% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.24 |
| Alpha | - | 0.06 |
| Correlation | - | 21.51% |
| Treynor Ratio | - | 29.01% |
| Year | SPY | PRRSX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 7.11 | 0.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-27 | 2026-09-22 | -10.58 | 58 |
| 2026-05-27 | 2026-06-08 | -3.65 | 13 |
| 2026-06-15 | 2026-06-25 | -3.53 | 11 |
| 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 |
| 2026-07-08 | 2026-07-15 | -1.78 | 8 |
| 2026-03-24 | 2026-03-30 | -1.33 | 7 |
| 2026-07-20 | 2026-07-23 | -1.11 | 4 |
| 2026-05-07 | 2026-05-11 | -0.94 | 5 |