| Metric | SPY | PSCSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 18.3% | 19.39% |
| CAGR﹪ | 18.62% | 19.74% |
| Sharpe | 1.07 | 0.81 |
| Prob. Sharpe Ratio | 85.46% | 78.78% |
| Smart Sharpe | 1.04 | 0.74 |
| Sortino | 1.56 | 1.19 |
| Smart Sortino | 1.52 | 1.09 |
| Sortino/√2 | 1.1 | 0.84 |
| Smart Sortino/√2 | 1.07 | 0.77 |
| Omega | 1.26 | 1.17 |
| Max Drawdown | -8.88% | -12.21% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-01-23 |
| Max DD Period End | 2026-04-13 | 2026-04-16 |
| Longest DD Days | 76 | 84 |
| Volatility (ann.) | 13.04% | 19.9% |
| R^2 | 0.69 | 0.69 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 2.1 | 1.62 |
| Skew | -0.16 | 0.05 |
| Kurtosis | 1.03 | 0.26 |
| Ulcer Performance Index | 8.48 | 5.22 |
| Risk-Adjusted Return | 18.62% | 20.56% |
| Risk-Return Ratio | 0.09 | 0.06 |
| Avg. Return | 0.07% | 0.08% |
| Avg. Win | 0.72% | 1.1% |
| Avg. Loss | -0.7% | -1.19% |
| Win/Loss Ratio | 1.02 | 0.93 |
| Profit Ratio | 0.91 | 0.63 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.3% | 1.37% |
| Expected Yearly | 8.77% | 9.27% |
| Kelly Criterion | 8.87% | 8.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.98% |
| Expected Shortfall (cVaR) | -1.72% | -2.61% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.26 | 0.17 |
| Gain/Pain (1M) | 2.66 | 1.43 |
| Payoff Ratio | 1.02 | 0.93 |
| Profit Factor | 1.26 | 1.17 |
| Common Sense Ratio | 1.25 | 1.32 |
| CPC Index | 0.69 | 0.61 |
| Tail Ratio | 0.99 | 1.12 |
| Outlier Win Ratio | 2.88 | 3.53 |
| Outlier Loss Ratio | 3.16 | 2.61 |
| MTD | 1.08% | -2.97% |
| 3M | 3.82% | -4.15% |
| 6M | 19.85% | 18.71% |
| YTD | 14.3% | 15.31% |
| 1Y | 18.3% | 19.39% |
| 3Y (ann.) | 18.62% | 19.74% |
| 5Y (ann.) | 18.62% | 19.74% |
| 10Y (ann.) | 18.62% | 19.74% |
| All-time (ann.) | 18.62% | 19.74% |
| Best Day | 2.91% | 3.67% |
| Worst Day | -2.7% | -3.64% |
| Best Month | 10.51% | 12.59% |
| Worst Month | -4.94% | -6.61% |
| Best Year | 14.3% | 15.31% |
| Worst Year | 3.5% | 3.55% |
| Avg. Drawdown | -1.69% | -3.21% |
| Avg. Drawdown Days | 13 | 14 |
| Recovery Factor | 1.99 | 1.61 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.19 | 0.77 |
| Avg. Up Month | 3.28% | 3.94% |
| Avg. Down Month | -4.94% | -6.61% |
| Win Days | 54.03% | 55.88% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.27 |
| Alpha | - | -0.03 |
| Correlation | - | 83.11% |
| Treynor Ratio | - | 15.29% |
| Year | SPY | PSCSX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | 3.55 | 1.01 | + |
| 2026 | 14.30 | 15.31 | 1.07 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-23 | 2026-04-16 | -12.21 | 84 |
| 2025-10-28 | 2025-12-02 | -8.57 | 36 |
| 2026-08-17 | 2026-09-22 | -8.09 | 37 |
| 2026-05-07 | 2026-05-22 | -5.67 | 16 |
| 2026-07-01 | 2026-08-03 | -4.38 | 34 |
| 2025-10-09 | 2025-10-13 | -3.78 | 5 |
| 2025-12-12 | 2026-01-05 | -3.71 | 25 |
| 2026-06-05 | 2026-06-11 | -3.64 | 7 |
| 2025-10-16 | 2025-10-23 | -2.56 | 8 |
| 2026-04-21 | 2026-04-30 | -2.44 | 10 |