| Metric | SPY | PXTIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | 21.62% |
| CAGR﹪ | 40.67% | 47.92% |
| Sharpe | 2.32 | 2.9 |
| Prob. Sharpe Ratio | 95.04% | 97.95% |
| Smart Sharpe | 2.3 | 2.77 |
| Sortino | 3.78 | 4.8 |
| Smart Sortino | 3.75 | 4.59 |
| Sortino/√2 | 2.67 | 3.39 |
| Smart Sortino/√2 | 2.65 | 3.25 |
| Omega | 1.54 | 1.65 |
| Max Drawdown | -4.49% | -4.16% |
| Max DD Date | 2026-06-10 | 2026-09-22 |
| Max DD Period Start | 2026-06-03 | 2026-09-04 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 29 |
| Volatility (ann.) | 13.55% | 12.56% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 9.05 | 11.51 |
| Skew | 0.1 | -0.05 |
| Kurtosis | 1.12 | -0.12 |
| Ulcer Performance Index | 11.86 | 15.68 |
| Risk-Adjusted Return | 40.67% | 47.92% |
| Risk-Return Ratio | 0.16 | 0.2 |
| Avg. Return | 0.13% | 0.16% |
| Avg. Win | 0.74% | 0.8% |
| Avg. Loss | -0.65% | -0.64% |
| Win/Loss Ratio | 1.14 | 1.25 |
| Profit Ratio | 1.12 | 0.87 |
| Expected Daily | 0.14% | 0.16% |
| Expected Monthly | 2.47% | 2.84% |
| Expected Yearly | 18.6% | 21.62% |
| Kelly Criterion | 13.61% | 23.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.14% |
| Expected Shortfall (cVaR) | -1.77% | -1.62% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.65 |
| Gain/Pain (1M) | 10.92 | 8.96 |
| Payoff Ratio | 1.14 | 1.25 |
| Profit Factor | 1.54 | 1.65 |
| Common Sense Ratio | 2.01 | 2.34 |
| CPC Index | 0.95 | 1.19 |
| Tail Ratio | 1.3 | 1.42 |
| Outlier Win Ratio | 3.21 | 2.66 |
| Outlier Loss Ratio | 3.16 | 3.11 |
| MTD | 1.08% | -2.26% |
| 3M | 3.82% | 7.55% |
| 6M | 18.6% | 21.62% |
| YTD | 18.6% | 21.62% |
| 1Y | 18.6% | 21.62% |
| 3Y (ann.) | 40.67% | 47.92% |
| 5Y (ann.) | 40.67% | 47.92% |
| 10Y (ann.) | 40.67% | 47.92% |
| All-time (ann.) | 40.67% | 47.92% |
| Best Day | 2.91% | 1.96% |
| Worst Day | -2.58% | -2.06% |
| Best Month | 10.51% | 6.97% |
| Worst Month | -1.03% | -2.26% |
| Best Year | 18.6% | 21.62% |
| Worst Year | 18.6% | 21.62% |
| Avg. Drawdown | -1.13% | -1.56% |
| Avg. Drawdown Days | 9 | 9 |
| Recovery Factor | 3.9 | 4.8 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 3.46 |
| Avg. Up Month | 4.62% | 4.97% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 57.6% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.53 |
| Alpha | - | 0.21 |
| Correlation | - | 56.92% |
| Treynor Ratio | - | 40.98% |
| Year | SPY | PXTIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 21.62 | 1.16 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-04 | 2026-09-22 | -4.16 | 19 |
| 2026-06-15 | 2026-07-13 | -3.67 | 29 |
| 2026-04-22 | 2026-05-13 | -2.74 | 22 |
| 2026-06-05 | 2026-06-11 | -2.19 | 7 |
| 2026-03-26 | 2026-03-30 | -1.54 | 5 |
| 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 |
| 2026-07-29 | 2026-07-31 | -0.76 | 3 |
| 2026-04-09 | 2026-04-10 | -0.72 | 2 |