| Metric | SPY | PSCSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 87.27% | 28.38% |
| CAGR﹪ | 13.47% | 5.16% |
| Sharpe | 0.6 | 0.17 |
| Prob. Sharpe Ratio | 91.03% | 64.74% |
| Smart Sharpe | 0.58 | 0.17 |
| Sortino | 0.87 | 0.24 |
| Smart Sortino | 0.84 | 0.24 |
| Sortino/√2 | 0.61 | 0.17 |
| Smart Sortino/√2 | 0.59 | 0.17 |
| Omega | 1.16 | 1.06 |
| Max Drawdown | -24.5% | -35.61% |
| Max DD Date | 2022-10-12 | 2023-10-27 |
| Max DD Period Start | 2022-01-04 | 2021-11-09 |
| Max DD Period End | 2023-12-12 | 2025-09-17 |
| Longest DD Days | 708 | 1409 |
| Volatility (ann.) | 17.21% | 23.41% |
| R^2 | 0.72 | 0.72 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.14 |
| Skew | 0.32 | 0.07 |
| Kurtosis | 8.93 | 1.95 |
| Ulcer Performance Index | 10.31 | 1.51 |
| Risk-Adjusted Return | 13.47% | 5.38% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.89% | 1.26% |
| Avg. Loss | -0.9% | -1.35% |
| Win/Loss Ratio | 0.99 | 0.93 |
| Profit Ratio | 0.83 | 0.77 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.41% |
| Expected Yearly | 11.02% | 4.25% |
| Kelly Criterion | 7.79% | 0.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.39% |
| Expected Shortfall (cVaR) | -2.58% | -3.22% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.06 |
| Gain/Pain (1M) | 0.88 | 0.27 |
| Payoff Ratio | 0.99 | 0.93 |
| Profit Factor | 1.16 | 1.06 |
| Common Sense Ratio | 1.17 | 1.09 |
| CPC Index | 0.62 | 0.51 |
| Tail Ratio | 1.01 | 1.03 |
| Outlier Win Ratio | 3.42 | 3.24 |
| Outlier Loss Ratio | 3.76 | 3.04 |
| MTD | 1.08% | -2.97% |
| 3M | 3.82% | -4.15% |
| 6M | 19.85% | 18.71% |
| YTD | 14.3% | 15.31% |
| 1Y | 18.22% | 19.82% |
| 3Y (ann.) | 25.09% | 22.65% |
| 5Y (ann.) | 13.16% | 4.98% |
| 10Y (ann.) | 13.47% | 5.16% |
| All-time (ann.) | 13.47% | 5.16% |
| Best Day | 10.5% | 8.66% |
| Worst Day | -5.85% | -6.52% |
| Best Month | 10.51% | 12.96% |
| Worst Month | -9.24% | -11.07% |
| Best Year | 26.18% | 15.95% |
| Worst Year | -18.18% | -23.9% |
| Avg. Drawdown | -1.89% | -4.39% |
| Avg. Drawdown Days | 20 | 70 |
| Recovery Factor | 2.86 | 1.08 |
| Ulcer Index | 0.08 | 0.19 |
| Serenity Index | 0.47 | 0.09 |
| Avg. Up Month | 4.39% | 5.6% |
| Avg. Down Month | -4.02% | -6.37% |
| Win Days | 54.12% | 51.84% |
| Win Month | 63.93% | 55.74% |
| Win Quarter | 66.67% | 52.38% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 1.15 |
| Alpha | - | -0.09 |
| Correlation | - | 84.88% |
| Treynor Ratio | - | 24.59% |
| Year | SPY | PSCSX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -1.16 | -0.15 | - |
| 2022 | -18.18 | -23.90 | 1.32 | - |
| 2023 | 26.18 | 15.95 | 0.61 | - |
| 2024 | 24.89 | 11.70 | 0.47 | - |
| 2025 | 18.15 | 14.30 | 0.79 | - |
| 2026 | 14.30 | 15.31 | 1.07 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2025-09-17 | -35.61 | 1409 |
| 2026-01-23 | 2026-04-16 | -12.21 | 84 |
| 2025-10-28 | 2025-12-03 | -8.57 | 37 |
| 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 |
| 2021-09-28 | 2021-10-19 | -3.38 | 22 |