| Metric | SPY | PTSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 87.27% | 77.58% |
| CAGR﹪ | 13.47% | 12.26% |
| Sharpe | 0.6 | 0.6 |
| Prob. Sharpe Ratio | 91.03% | 90.55% |
| Smart Sharpe | 0.58 | 0.52 |
| Sortino | 0.87 | 0.83 |
| Smart Sortino | 0.84 | 0.73 |
| Sortino/√2 | 0.61 | 0.59 |
| Smart Sortino/√2 | 0.59 | 0.52 |
| Omega | 1.16 | 1.16 |
| Max Drawdown | -24.5% | -29.42% |
| Max DD Date | 2022-10-12 | 2022-10-12 |
| Max DD Period Start | 2022-01-04 | 2022-01-14 |
| Max DD Period End | 2023-12-12 | 2024-03-06 |
| Longest DD Days | 708 | 783 |
| Volatility (ann.) | 17.21% | 14.93% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.55 | 0.42 |
| Skew | 0.32 | -0.55 |
| Kurtosis | 8.93 | 3.85 |
| Ulcer Performance Index | 10.31 | 8.45 |
| Risk-Adjusted Return | 13.47% | 13.05% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.8% | 0.78% |
| Avg. Loss | -0.86% | -0.81% |
| Win/Loss Ratio | 0.93 | 0.96 |
| Profit Ratio | 0.83 | 0.66 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.03% | 0.95% |
| Expected Yearly | 11.02% | 10.04% |
| Kelly Criterion | 4.88% | 5.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.5% |
| Expected Shortfall (cVaR) | -2.58% | -2.26% |
| Max Consecutive Wins | 10 | 13 |
| Max Consecutive Losses | 6 | 13 |
| Gain/Pain Ratio | 0.16 | 0.16 |
| Gain/Pain (1M) | 0.88 | 0.74 |
| Payoff Ratio | 0.93 | 0.96 |
| Profit Factor | 1.16 | 1.16 |
| Common Sense Ratio | 1.17 | 1.16 |
| CPC Index | 0.58 | 0.6 |
| Tail Ratio | 1.01 | 1.0 |
| Outlier Win Ratio | 3.42 | 3.5 |
| Outlier Loss Ratio | 3.76 | 3.26 |
| MTD | 1.08% | -0.46% |
| 3M | 3.82% | 9.7% |
| 6M | 19.85% | 14.59% |
| YTD | 14.3% | 22.22% |
| 1Y | 18.22% | 34.61% |
| 3Y (ann.) | 25.09% | 26.18% |
| 5Y (ann.) | 13.16% | 12.47% |
| 10Y (ann.) | 13.47% | 12.26% |
| All-time (ann.) | 13.47% | 12.26% |
| Best Day | 10.5% | 4.1% |
| Worst Day | -5.85% | -5.68% |
| Best Month | 10.51% | 10.39% |
| Worst Month | -9.24% | -10.77% |
| Best Year | 26.18% | 37.51% |
| Worst Year | -18.18% | -11.14% |
| Avg. Drawdown | -1.89% | -2.64% |
| Avg. Drawdown Days | 20 | 29 |
| Recovery Factor | 2.86 | 2.14 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 0.47 | 0.29 |
| Avg. Up Month | 4.02% | 4.32% |
| Avg. Down Month | -3.95% | -4.3% |
| Win Days | 54.12% | 53.94% |
| Win Month | 63.93% | 58.33% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.31 |
| Alpha | - | 0.08 |
| Correlation | - | 35.37% |
| Treynor Ratio | - | 253.0% |
| Year | SPY | PTSIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -1.92 | -0.25 | - |
| 2022 | -18.18 | -11.14 | 0.61 | + |
| 2023 | 26.18 | 18.33 | 0.70 | - |
| 2024 | 24.89 | 2.47 | 0.10 | - |
| 2025 | 18.15 | 37.51 | 2.07 | + |
| 2026 | 14.30 | 22.22 | 1.55 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-14 | 2024-03-06 | -29.42 | 783 |
| 2025-03-10 | 2025-05-16 | -15.62 | 68 |
| 2024-09-30 | 2025-03-05 | -13.31 | 157 |
| 2026-03-02 | 2026-07-21 | -9.11 | 142 |
| 2021-10-18 | 2022-01-04 | -9.01 | 79 |
| 2024-08-01 | 2024-08-19 | -7.11 | 19 |
| 2024-06-14 | 2024-07-16 | -5.38 | 33 |
| 2024-04-05 | 2024-05-03 | -4.37 | 29 |
| 2025-07-25 | 2025-08-07 | -3.62 | 14 |
| 2021-09-28 | 2021-10-14 | -3.52 | 17 |