| Metric | SPY | PSCSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 14.81% | 16.85% |
| CAGR﹪ | 15.07% | 17.14% |
| Sharpe | 0.87 | 0.72 |
| Prob. Sharpe Ratio | 80.5% | 76.3% |
| Smart Sharpe | 0.86 | 0.67 |
| Sortino | 1.27 | 1.06 |
| Smart Sortino | 1.26 | 0.98 |
| Sortino/√2 | 0.9 | 0.75 |
| Smart Sortino/√2 | 0.89 | 0.69 |
| Omega | 1.21 | 1.16 |
| Max Drawdown | -8.88% | -12.7% |
| Max DD Date | 2026-03-30 | 2026-10-16 |
| Max DD Period Start | 2026-01-28 | 2026-08-17 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 84 |
| Volatility (ann.) | 12.91% | 19.47% |
| R^2 | 0.67 | 0.67 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.7 | 1.35 |
| Skew | -0.03 | 0.05 |
| Kurtosis | 0.75 | 0.32 |
| Ulcer Performance Index | 6.86 | 3.3 |
| Risk-Adjusted Return | 15.07% | 17.86% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.06% | 0.07% |
| Avg. Win | 0.71% | 1.07% |
| Avg. Loss | -0.68% | -1.14% |
| Win/Loss Ratio | 1.06 | 0.94 |
| Profit Ratio | 0.99 | 0.62 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.07% | 1.21% |
| Expected Yearly | 7.15% | 8.1% |
| Kelly Criterion | 7.33% | 8.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.95% |
| Expected Shortfall (cVaR) | -1.66% | -2.48% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.21 | 0.16 |
| Gain/Pain (1M) | 1.88 | 0.99 |
| Payoff Ratio | 1.06 | 0.94 |
| Profit Factor | 1.21 | 1.16 |
| Common Sense Ratio | 1.2 | 1.24 |
| CPC Index | 0.67 | 0.61 |
| Tail Ratio | 0.99 | 1.08 |
| Outlier Win Ratio | 2.84 | 3.67 |
| Outlier Loss Ratio | 2.98 | 2.57 |
| MTD | 1.47% | 1.88% |
| 3M | 1.46% | -5.08% |
| 6M | 6.94% | 1.14% |
| YTD | 13.33% | 14.07% |
| 1Y | 14.81% | 16.85% |
| 3Y (ann.) | 15.07% | 17.14% |
| 5Y (ann.) | 15.07% | 17.14% |
| 10Y (ann.) | 15.07% | 17.14% |
| All-time (ann.) | 15.07% | 17.14% |
| Best Day | 2.91% | 3.67% |
| Worst Day | -2.58% | -3.64% |
| Best Month | 10.51% | 12.59% |
| Worst Month | -4.94% | -7.35% |
| Best Year | 13.33% | 14.07% |
| Worst Year | 1.31% | 2.44% |
| Avg. Drawdown | -1.72% | -3.44% |
| Avg. Drawdown Days | 13 | 17 |
| Recovery Factor | 1.65 | 1.37 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.96 | 0.39 |
| Avg. Up Month | 3.24% | 3.95% |
| Avg. Down Month | -2.63% | -6.98% |
| Win Days | 52.42% | 55.88% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.24 |
| Alpha | - | -0.01 |
| Correlation | - | 82.04% |
| Treynor Ratio | - | 13.62% |
| Year | SPY | PSCSX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | 2.44 | 1.86 | + |
| 2026 | 13.33 | 14.07 | 1.06 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-17 | 2026-11-04 | -12.70 | 80 |
| 2026-01-23 | 2026-04-16 | -12.21 | 84 |
| 2025-11-06 | 2025-11-24 | -6.52 | 19 |
| 2026-05-07 | 2026-05-22 | -5.67 | 16 |
| 2026-07-01 | 2026-08-03 | -4.38 | 34 |
| 2025-12-12 | 2026-01-05 | -3.71 | 25 |
| 2026-06-05 | 2026-06-11 | -3.64 | 7 |
| 2026-04-21 | 2026-04-30 | -2.44 | 10 |
| 2026-06-16 | 2026-06-17 | -1.72 | 2 |
| 2026-01-20 | 2026-01-20 | -1.44 | 1 |