| Metric | SPY | PSCSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 75.63% | 18.4% |
| CAGR﹪ | 12.01% | 3.46% |
| Sharpe | 0.52 | 0.1 |
| Prob. Sharpe Ratio | 87.82% | 58.57% |
| Smart Sharpe | 0.51 | 0.1 |
| Sortino | 0.75 | 0.14 |
| Smart Sortino | 0.73 | 0.14 |
| Sortino/√2 | 0.53 | 0.1 |
| Smart Sortino/√2 | 0.52 | 0.1 |
| Omega | 1.14 | 1.04 |
| 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.) | 17.2% | 23.37% |
| R^2 | 0.72 | 0.72 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.1 |
| Skew | 0.33 | 0.07 |
| Kurtosis | 8.96 | 1.98 |
| Ulcer Performance Index | 8.93 | 0.98 |
| Risk-Adjusted Return | 12.01% | 3.6% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.88% | 1.25% |
| Avg. Loss | -0.89% | -1.35% |
| Win/Loss Ratio | 1.0 | 0.93 |
| Profit Ratio | 0.85 | 0.77 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 0.93% | 0.28% |
| Expected Yearly | 9.84% | 2.85% |
| Kelly Criterion | 6.96% | 0.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.4% |
| Expected Shortfall (cVaR) | -2.58% | -3.22% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.04 |
| Gain/Pain (1M) | 0.8 | 0.2 |
| Payoff Ratio | 1.0 | 0.93 |
| Profit Factor | 1.14 | 1.04 |
| Common Sense Ratio | 1.15 | 1.07 |
| CPC Index | 0.61 | 0.5 |
| Tail Ratio | 1.01 | 1.02 |
| Outlier Win Ratio | 3.4 | 3.27 |
| Outlier Loss Ratio | 3.79 | 3.03 |
| MTD | 1.47% | 1.88% |
| 3M | 1.46% | -5.08% |
| 6M | 6.94% | 1.14% |
| YTD | 13.33% | 14.07% |
| 1Y | 13.84% | 16.57% |
| 3Y (ann.) | 21.0% | 17.45% |
| 5Y (ann.) | 12.96% | 6.2% |
| 10Y (ann.) | 12.01% | 3.46% |
| All-time (ann.) | 12.01% | 3.46% |
| 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 | -1.93% | -4.92% |
| Avg. Drawdown Days | 21 | 80 |
| Recovery Factor | 2.6 | 0.85 |
| Ulcer Index | 0.08 | 0.19 |
| Serenity Index | 0.43 | 0.07 |
| Avg. Up Month | 4.21% | 5.55% |
| Avg. Down Month | -3.97% | -6.93% |
| Win Days | 53.56% | 51.88% |
| Win Month | 62.3% | 57.38% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 1.15 |
| Alpha | - | -0.09 |
| Correlation | - | 84.95% |
| Treynor Ratio | - | 15.94% |
| Year | SPY | PSCSX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -7.86 | -4.54 | - |
| 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 | 13.33 | 14.07 | 1.06 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2025-09-17 | -35.61 | 1409 |
| 2026-08-17 | 2026-11-04 | -12.70 | 80 |
| 2026-01-23 | 2026-04-16 | -12.21 | 84 |
| 2025-10-28 | 2025-12-02 | -8.57 | 36 |
| 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 |