| Metric | SPY | PXTIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 87.27% | 93.71% |
| CAGR﹪ | 13.47% | 14.25% |
| Sharpe | 0.6 | 0.63 |
| Prob. Sharpe Ratio | 91.03% | 92.04% |
| Smart Sharpe | 0.58 | 0.63 |
| Sortino | 0.87 | 0.9 |
| Smart Sortino | 0.84 | 0.9 |
| Sortino/√2 | 0.61 | 0.64 |
| Smart Sortino/√2 | 0.59 | 0.64 |
| Omega | 1.16 | 1.16 |
| Max Drawdown | -24.5% | -22.88% |
| Max DD Date | 2022-10-12 | 2022-09-30 |
| Max DD Period Start | 2022-01-04 | 2022-01-18 |
| Max DD Period End | 2023-12-12 | 2023-12-12 |
| Longest DD Days | 708 | 694 |
| Volatility (ann.) | 17.21% | 17.4% |
| R^2 | 0.72 | 0.72 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.55 | 0.62 |
| Skew | 0.32 | -0.19 |
| Kurtosis | 8.93 | 4.74 |
| Ulcer Performance Index | 10.31 | 12.49 |
| Risk-Adjusted Return | 13.47% | 14.69% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.06% |
| Avg. Win | 0.88% | 0.93% |
| Avg. Loss | -0.88% | -0.93% |
| Win/Loss Ratio | 1.0 | 1.01 |
| Profit Ratio | 0.83 | 0.84 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.03% | 1.09% |
| Expected Yearly | 11.02% | 11.65% |
| Kelly Criterion | 8.15% | 5.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.74% |
| Expected Shortfall (cVaR) | -2.58% | -2.72% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.16 |
| Gain/Pain (1M) | 0.88 | 0.81 |
| Payoff Ratio | 1.0 | 1.01 |
| Profit Factor | 1.16 | 1.16 |
| Common Sense Ratio | 1.17 | 1.18 |
| CPC Index | 0.62 | 0.61 |
| Tail Ratio | 1.01 | 1.02 |
| Outlier Win Ratio | 3.42 | 3.53 |
| Outlier Loss Ratio | 3.76 | 3.71 |
| MTD | 1.08% | -2.26% |
| 3M | 3.82% | 7.55% |
| 6M | 19.85% | 22.83% |
| YTD | 14.3% | 26.54% |
| 1Y | 18.22% | 34.03% |
| 3Y (ann.) | 25.09% | 26.99% |
| 5Y (ann.) | 13.16% | 14.39% |
| 10Y (ann.) | 13.47% | 14.25% |
| All-time (ann.) | 13.47% | 14.25% |
| Best Day | 10.5% | 8.12% |
| Worst Day | -5.85% | -5.87% |
| Best Month | 10.51% | 14.29% |
| Worst Month | -9.24% | -13.44% |
| Best Year | 26.18% | 26.54% |
| Worst Year | -18.18% | -8.6% |
| Avg. Drawdown | -1.89% | -2.35% |
| Avg. Drawdown Days | 20 | 27 |
| Recovery Factor | 2.86 | 3.22 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 0.47 | 0.61 |
| Avg. Up Month | 4.19% | 4.75% |
| Avg. Down Month | -4.11% | -4.44% |
| Win Days | 54.12% | 52.36% |
| Win Month | 63.93% | 60.66% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.86 |
| Alpha | - | 0.03 |
| Correlation | - | 84.68% |
| Treynor Ratio | - | 109.49% |
| Year | SPY | PXTIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 4.35 | 0.58 | - |
| 2022 | -18.18 | -8.60 | 0.47 | + |
| 2023 | 26.18 | 17.09 | 0.65 | - |
| 2024 | 24.89 | 14.69 | 0.59 | - |
| 2025 | 18.15 | 19.53 | 1.08 | + |
| 2026 | 14.30 | 26.54 | 1.86 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-18 | 2023-12-12 | -22.88 | 694 |
| 2024-12-03 | 2025-08-12 | -21.64 | 253 |
| 2024-07-17 | 2024-09-25 | -8.03 | 71 |
| 2024-04-01 | 2024-07-10 | -7.99 | 101 |
| 2021-11-09 | 2021-12-23 | -7.36 | 45 |
| 2026-02-12 | 2026-04-10 | -6.29 | 58 |
| 2025-10-28 | 2025-11-25 | -4.81 | 29 |
| 2024-10-17 | 2024-11-05 | -4.59 | 20 |
| 2025-10-07 | 2025-10-20 | -4.17 | 14 |
| 2026-09-04 | 2026-09-22 | -4.16 | 19 |