| Metric | SPY | PTSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 18.6% | 15.81% |
| CAGR﹪ | 40.67% | 34.12% |
| Sharpe | 2.32 | 2.36 |
| Prob. Sharpe Ratio | 95.04% | 95.7% |
| Smart Sharpe | 2.3 | 2.24 |
| Sortino | 3.78 | 4.04 |
| Smart Sortino | 3.75 | 3.84 |
| Sortino/√2 | 2.67 | 2.86 |
| Smart Sortino/√2 | 2.65 | 2.71 |
| Omega | 1.54 | 1.6 |
| Max Drawdown | -4.49% | -4.6% |
| Max DD Date | 2026-06-10 | 2026-06-24 |
| Max DD Period Start | 2026-06-03 | 2026-06-05 |
| Max DD Period End | 2026-07-31 | 2026-07-13 |
| Longest DD Days | 59 | 39 |
| Volatility (ann.) | 13.55% | 11.2% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 9.05 | 7.42 |
| Skew | 0.1 | 0.46 |
| Kurtosis | 1.12 | 1.83 |
| Ulcer Performance Index | 11.86 | 11.18 |
| Risk-Adjusted Return | 40.67% | 36.29% |
| Risk-Return Ratio | 0.16 | 0.17 |
| Avg. Return | 0.15% | 0.13% |
| Avg. Win | 0.73% | 0.64% |
| Avg. Loss | -0.64% | -0.49% |
| Win/Loss Ratio | 1.15 | 1.29 |
| Profit Ratio | 1.12 | 0.74 |
| Expected Daily | 0.14% | 0.12% |
| Expected Monthly | 2.47% | 2.12% |
| Expected Yearly | 18.6% | 15.81% |
| Kelly Criterion | 13.88% | 23.38% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.04% |
| Expected Shortfall (cVaR) | -1.77% | -1.6% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.54 | 0.6 |
| Gain/Pain (1M) | 10.92 | 4.52 |
| Payoff Ratio | 1.15 | 1.29 |
| Profit Factor | 1.54 | 1.6 |
| Common Sense Ratio | 2.01 | 2.73 |
| CPC Index | 0.95 | 1.18 |
| Tail Ratio | 1.3 | 1.71 |
| Outlier Win Ratio | 3.21 | 4.31 |
| Outlier Loss Ratio | 3.16 | 3.46 |
| MTD | 1.08% | -0.46% |
| 3M | 3.82% | 9.7% |
| 6M | 18.6% | 15.81% |
| YTD | 18.6% | 15.81% |
| 1Y | 18.6% | 15.81% |
| 3Y (ann.) | 40.67% | 34.12% |
| 5Y (ann.) | 40.67% | 34.12% |
| 10Y (ann.) | 40.67% | 34.12% |
| All-time (ann.) | 40.67% | 34.12% |
| Best Day | 2.91% | 2.49% |
| Worst Day | -2.58% | -1.95% |
| Best Month | 10.51% | 7.0% |
| Worst Month | -1.03% | -2.92% |
| Best Year | 18.6% | 15.81% |
| Worst Year | 18.6% | 15.81% |
| Avg. Drawdown | -1.13% | -1.03% |
| Avg. Drawdown Days | 9 | 9 |
| Recovery Factor | 3.9 | 3.26 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 2.03 |
| Avg. Up Month | 4.62% | 3.93% |
| Avg. Down Month | -1.03% | -2.92% |
| Win Days | 53.97% | 56.78% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.31 |
| Alpha | - | 0.19 |
| Correlation | - | 37.33% |
| Treynor Ratio | - | 51.22% |
| Year | SPY | PTSIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 15.81 | 0.85 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-05 | 2026-07-13 | -4.60 | 39 |
| 2026-04-15 | 2026-05-21 | -2.77 | 37 |
| 2026-09-08 | 2026-09-22 | -2.30 | 15 |
| 2026-03-26 | 2026-03-31 | -1.34 | 6 |
| 2026-07-17 | 2026-07-21 | -0.83 | 5 |
| 2026-08-26 | 2026-09-02 | -0.78 | 8 |
| 2026-07-23 | 2026-07-24 | -0.72 | 2 |
| 2026-04-02 | 2026-04-07 | -0.51 | 6 |
| 2026-07-31 | 2026-08-05 | -0.50 | 6 |
| 2026-08-17 | 2026-08-18 | -0.39 | 2 |