| Metric | SPY | PTSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 14.81% | 33.57% |
| CAGR﹪ | 15.07% | 34.19% |
| Sharpe | 0.87 | 2.21 |
| Prob. Sharpe Ratio | 80.5% | 98.48% |
| Smart Sharpe | 0.86 | 2.05 |
| Sortino | 1.27 | 3.49 |
| Smart Sortino | 1.26 | 3.23 |
| Sortino/√2 | 0.9 | 2.47 |
| Smart Sortino/√2 | 0.89 | 2.28 |
| Omega | 1.21 | 1.52 |
| Max Drawdown | -8.88% | -9.11% |
| Max DD Date | 2026-03-30 | 2026-03-23 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-07-21 |
| Longest DD Days | 76 | 142 |
| Volatility (ann.) | 12.91% | 12.0% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 1.7 | 3.75 |
| Skew | -0.03 | -0.14 |
| Kurtosis | 0.75 | 1.72 |
| Ulcer Performance Index | 6.86 | 11.09 |
| Risk-Adjusted Return | 15.07% | 35.62% |
| Risk-Return Ratio | 0.07 | 0.16 |
| Avg. Return | 0.08% | 0.13% |
| Avg. Win | 0.67% | 0.67% |
| Avg. Loss | -0.64% | -0.57% |
| Win/Loss Ratio | 1.04 | 1.17 |
| Profit Ratio | 0.99 | 0.77 |
| Expected Daily | 0.06% | 0.12% |
| Expected Monthly | 1.07% | 2.25% |
| Expected Yearly | 7.15% | 15.57% |
| Kelly Criterion | 6.85% | 19.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.12% |
| Expected Shortfall (cVaR) | -1.66% | -1.63% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.21 | 0.52 |
| Gain/Pain (1M) | 1.88 | 2.34 |
| Payoff Ratio | 1.04 | 1.17 |
| Profit Factor | 1.21 | 1.52 |
| Common Sense Ratio | 1.2 | 1.97 |
| CPC Index | 0.66 | 1.01 |
| Tail Ratio | 0.99 | 1.3 |
| Outlier Win Ratio | 2.84 | 3.16 |
| Outlier Loss Ratio | 2.98 | 2.97 |
| MTD | 1.47% | 0.21% |
| 3M | 1.46% | 2.32% |
| 6M | 6.94% | 8.85% |
| YTD | 13.33% | 21.71% |
| 1Y | 14.81% | 33.57% |
| 3Y (ann.) | 15.07% | 34.19% |
| 5Y (ann.) | 15.07% | 34.19% |
| 10Y (ann.) | 15.07% | 34.19% |
| All-time (ann.) | 15.07% | 34.19% |
| Best Day | 2.91% | 2.49% |
| Worst Day | -2.58% | -3.3% |
| Best Month | 10.51% | 8.18% |
| Worst Month | -4.94% | -6.6% |
| Best Year | 13.33% | 21.71% |
| Worst Year | 1.31% | 9.75% |
| Avg. Drawdown | -1.72% | -1.26% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | 1.65 | 3.26 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.96 | 1.07 |
| Avg. Up Month | 2.84% | 4.1% |
| Avg. Down Month | -2.1% | -4.22% |
| Win Days | 52.42% | 56.36% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.31 |
| Alpha | - | 0.26 |
| Correlation | - | 32.88% |
| Treynor Ratio | - | 109.85% |
| Year | SPY | PTSIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | 9.75 | 7.45 | + |
| 2026 | 13.33 | 21.71 | 1.63 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-07-21 | -9.11 | 142 |
| 2026-09-08 | 2026-11-04 | -5.78 | 58 |
| 2025-11-14 | 2025-11-26 | -3.33 | 13 |
| 2026-01-16 | 2026-01-21 | -0.86 | 6 |
| 2025-12-05 | 2025-12-09 | -0.79 | 5 |
| 2026-08-26 | 2026-09-02 | -0.78 | 8 |
| 2026-07-23 | 2026-07-24 | -0.72 | 2 |
| 2026-02-05 | 2026-02-05 | -0.71 | 1 |
| 2025-12-16 | 2025-12-22 | -0.66 | 7 |
| 2026-01-08 | 2026-01-09 | -0.55 | 2 |