| Metric | SPY | PRRSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 206.09% | 61.17% |
| CAGR﹪ | 16.33% | 6.67% |
| Sharpe | 0.73 | 0.27 |
| Prob. Sharpe Ratio | 97.49% | 76.69% |
| Smart Sharpe | 0.63 | 0.26 |
| Sortino | 1.02 | 0.37 |
| Smart Sortino | 0.88 | 0.35 |
| Sortino/√2 | 0.72 | 0.26 |
| Smart Sortino/√2 | 0.63 | 0.25 |
| Omega | 1.18 | 1.08 |
| 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.) | 19.46% | 23.96% |
| R^2 | 0.5 | 0.5 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.15 |
| Skew | -0.29 | -1.28 |
| Kurtosis | 13.92 | 20.03 |
| Ulcer Performance Index | 26.04 | 3.46 |
| Risk-Adjusted Return | 16.33% | 6.87% |
| Risk-Return Ratio | 0.06 | 0.02 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.91% | 1.12% |
| Avg. Loss | -0.98% | -1.3% |
| Win/Loss Ratio | 0.93 | 0.86 |
| Profit Ratio | 0.78 | 0.74 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.53% |
| Expected Yearly | 15.01% | 6.15% |
| Kelly Criterion | 7.11% | -0.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -2.45% |
| Expected Shortfall (cVaR) | -3.2% | -3.96% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 11 |
| Gain/Pain Ratio | 0.18 | 0.08 |
| Gain/Pain (1M) | 1.16 | 0.38 |
| Payoff Ratio | 0.93 | 0.86 |
| Profit Factor | 1.18 | 1.08 |
| Common Sense Ratio | 1.13 | 1.04 |
| CPC Index | 0.61 | 0.49 |
| Tail Ratio | 0.96 | 0.97 |
| Outlier Win Ratio | 3.69 | 4.19 |
| Outlier Loss Ratio | 4.11 | 3.71 |
| 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.) | 16.33% | 6.67% |
| All-time (ann.) | 16.33% | 6.67% |
| 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 | -1.79% | -3.69% |
| Avg. Drawdown Days | 16 | 53 |
| Recovery Factor | 3.74 | 1.51 |
| Ulcer Index | 0.08 | 0.18 |
| Serenity Index | 1.03 | 0.17 |
| Avg. Up Month | 4.36% | 4.76% |
| Avg. Down Month | -4.44% | -6.6% |
| Win Days | 55.21% | 53.27% |
| Win Month | 65.56% | 60.0% |
| Win Quarter | 77.42% | 61.29% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.87 |
| Alpha | - | -0.05 |
| Correlation | - | 70.78% |
| Treynor Ratio | - | 70.18% |
| 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 | 13.33 | 15.70 | 1.18 | + |
| 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 | 2026-11-04 | -13.82 | 101 |
| 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 |