| Metric | SPY | PXTIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 6.48% | 15.84% |
| CAGR﹪ | 13.27% | 33.88% |
| Sharpe | 0.78 | 2.11 |
| Prob. Sharpe Ratio | 70.87% | 93.13% |
| Smart Sharpe | 0.75 | 1.91 |
| Sortino | 1.14 | 3.32 |
| Smart Sortino | 1.09 | 3.01 |
| Sortino/√2 | 0.8 | 2.35 |
| Smart Sortino/√2 | 0.77 | 2.13 |
| Omega | 1.19 | 1.45 |
| Max Drawdown | -4.49% | -6.3% |
| Max DD Date | 2026-06-10 | 2026-09-30 |
| Max DD Period Start | 2026-06-03 | 2026-09-04 |
| Max DD Period End | 2026-07-31 | 2026-10-21 |
| Longest DD Days | 59 | 48 |
| Volatility (ann.) | 12.4% | 12.53% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 2.95 | 5.38 |
| Skew | -0.15 | -0.09 |
| Kurtosis | 0.59 | -0.29 |
| Ulcer Performance Index | 3.89 | 7.68 |
| Risk-Adjusted Return | 13.27% | 34.57% |
| Risk-Return Ratio | 0.07 | 0.15 |
| Avg. Return | 0.05% | 0.12% |
| Avg. Win | 0.65% | 0.79% |
| Avg. Loss | -0.6% | -0.66% |
| Win/Loss Ratio | 1.09 | 1.21 |
| Profit Ratio | 1.15 | 0.79 |
| Expected Daily | 0.05% | 0.12% |
| Expected Monthly | 0.9% | 2.12% |
| Expected Yearly | 6.48% | 15.84% |
| Kelly Criterion | 4.84% | 20.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.18% |
| Expected Shortfall (cVaR) | -1.63% | -1.55% |
| Max Consecutive Wins | 4 | 9 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | 0.45 |
| Gain/Pain (1M) | 3.26 | 3.38 |
| Payoff Ratio | 1.09 | 1.21 |
| Profit Factor | 1.19 | 1.45 |
| Common Sense Ratio | 1.47 | 1.85 |
| CPC Index | 0.65 | 0.99 |
| Tail Ratio | 1.23 | 1.28 |
| Outlier Win Ratio | 2.66 | 2.7 |
| Outlier Loss Ratio | 3.07 | 2.94 |
| MTD | 1.47% | 0.33% |
| 3M | 1.46% | 4.77% |
| 6M | 6.48% | 15.84% |
| YTD | 6.48% | 15.84% |
| 1Y | 6.48% | 15.84% |
| 3Y (ann.) | 13.27% | 33.88% |
| 5Y (ann.) | 13.27% | 33.88% |
| 10Y (ann.) | 13.27% | 33.88% |
| All-time (ann.) | 13.27% | 33.88% |
| Best Day | 1.8% | 1.96% |
| Worst Day | -2.58% | -2.06% |
| Best Month | 4.52% | 6.22% |
| Worst Month | -1.03% | -4.44% |
| Best Year | 6.48% | 15.84% |
| Worst Year | 6.48% | 15.84% |
| Avg. Drawdown | -1.57% | -1.71% |
| Avg. Drawdown Days | 17 | 11 |
| Recovery Factor | 1.48 | 2.4 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.91 | 1.15 |
| Avg. Up Month | 2.18% | 3.26% |
| Avg. Down Month | -0.33% | -4.44% |
| Win Days | 50.39% | 56.45% |
| Win Month | 57.14% | 85.71% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.48 |
| Alpha | - | 0.24 |
| Correlation | - | 47.63% |
| Treynor Ratio | - | 32.9% |
| Year | SPY | PXTIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 15.84 | 2.44 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-04 | 2026-10-21 | -6.30 | 48 |
| 2026-06-15 | 2026-07-13 | -3.67 | 29 |
| 2026-06-05 | 2026-06-11 | -2.19 | 7 |
| 2026-10-23 | 2026-11-04 | -1.95 | 13 |
| 2026-08-05 | 2026-08-11 | -1.45 | 7 |
| 2026-08-14 | 2026-09-01 | -1.38 | 19 |
| 2026-07-22 | 2026-07-24 | -1.23 | 3 |
| 2026-05-07 | 2026-05-13 | -1.23 | 7 |
| 2026-07-29 | 2026-07-31 | -0.76 | 3 |
| 2026-05-15 | 2026-05-15 | -0.53 | 1 |