| Metric | SPY | PRRSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 208.72% | 53.79% |
| CAGR﹪ | 16.76% | 6.1% |
| Sharpe | 0.74 | 0.25 |
| Prob. Sharpe Ratio | 97.64% | 74.64% |
| Smart Sharpe | 0.64 | 0.24 |
| Sortino | 1.05 | 0.34 |
| Smart Sortino | 0.9 | 0.32 |
| Sortino/√2 | 0.74 | 0.24 |
| Smart Sortino/√2 | 0.64 | 0.23 |
| Omega | 1.19 | 1.07 |
| Max Drawdown | -33.72% | -45.75% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-24 |
| Max DD Period End | 2020-08-07 | 2021-03-12 |
| Longest DD Days | 708 | 1618 |
| Volatility (ann.) | 19.57% | 24.06% |
| R^2 | 0.51 | 0.51 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.5 | 0.13 |
| Skew | -0.29 | -1.28 |
| Kurtosis | 13.83 | 20.01 |
| Ulcer Performance Index | 26.16 | 3.03 |
| Risk-Adjusted Return | 16.76% | 6.28% |
| Risk-Return Ratio | 0.06 | 0.02 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.91% | 1.12% |
| Avg. Loss | -0.99% | -1.3% |
| Win/Loss Ratio | 0.93 | 0.86 |
| Profit Ratio | 0.77 | 0.73 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.29% | 0.49% |
| Expected Yearly | 15.13% | 5.53% |
| Kelly Criterion | 7.13% | -1.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -2.46% |
| Expected Shortfall (cVaR) | -3.2% | -3.98% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 11 |
| Gain/Pain Ratio | 0.19 | 0.07 |
| Gain/Pain (1M) | 1.18 | 0.36 |
| Payoff Ratio | 0.93 | 0.86 |
| Profit Factor | 1.19 | 1.07 |
| Common Sense Ratio | 1.14 | 1.03 |
| CPC Index | 0.61 | 0.49 |
| Tail Ratio | 0.96 | 0.96 |
| Outlier Win Ratio | 3.69 | 4.23 |
| Outlier Loss Ratio | 4.1 | 3.7 |
| 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.) | 16.76% | 6.1% |
| All-time (ann.) | 16.76% | 6.1% |
| Best Day | 10.5% | 8.49% |
| Worst Day | -10.94% | -19.23% |
| Best Month | 12.7% | 12.2% |
| Worst Month | -12.49% | -22.43% |
| Best Year | 28.73% | 53.84% |
| Worst Year | -18.18% | -29.37% |
| Avg. Drawdown | -1.78% | -3.63% |
| Avg. Drawdown Days | 16 | 52 |
| Recovery Factor | 3.76 | 1.41 |
| Ulcer Index | 0.08 | 0.18 |
| Serenity Index | 1.03 | 0.16 |
| Avg. Up Month | 4.42% | 4.79% |
| Avg. Down Month | -4.62% | -6.56% |
| Win Days | 55.32% | 53.3% |
| Win Month | 67.05% | 59.09% |
| Win Quarter | 76.67% | 60.0% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.88 |
| Alpha | - | -0.06 |
| Correlation | - | 71.16% |
| Treynor Ratio | - | 61.46% |
| Year | SPY | PRRSX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 9.00 | 0.55 | - |
| 2020 | 18.33 | -3.60 | -0.20 | - |
| 2021 | 28.73 | 53.84 | 1.87 | + |
| 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 |
|---|---|---|---|
| 2020-02-24 | 2021-03-12 | -45.75 | 383 |
| 2022-01-03 | 2026-06-08 | -37.14 | 1618 |
| 2026-07-27 | 2026-09-22 | -10.58 | 58 |
| 2021-09-03 | 2021-10-22 | -7.93 | 50 |
| 2021-11-26 | 2021-12-07 | -6.54 | 12 |
| 2019-10-25 | 2020-01-15 | -5.32 | 83 |
| 2019-06-21 | 2019-07-09 | -4.90 | 19 |
| 2021-06-11 | 2021-07-08 | -4.45 | 28 |
| 2019-07-11 | 2019-08-16 | -4.13 | 37 |
| 2021-05-11 | 2021-05-21 | -3.61 | 11 |