| Metric | SPY | PSCSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 206.09% | 102.14% |
| CAGR﹪ | 16.33% | 9.98% |
| Sharpe | 0.73 | 0.38 |
| Prob. Sharpe Ratio | 97.49% | 84.98% |
| Smart Sharpe | 0.63 | 0.35 |
| Sortino | 1.02 | 0.53 |
| Smart Sortino | 0.88 | 0.49 |
| Sortino/√2 | 0.72 | 0.38 |
| Smart Sortino/√2 | 0.63 | 0.35 |
| Omega | 1.18 | 1.09 |
| Max Drawdown | -33.72% | -46.12% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-01-17 |
| Max DD Period End | 2020-08-07 | 2020-11-06 |
| Longest DD Days | 708 | 1409 |
| Volatility (ann.) | 19.46% | 26.53% |
| R^2 | 0.73 | 0.73 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.48 | 0.22 |
| Skew | -0.29 | -0.67 |
| Kurtosis | 13.92 | 9.17 |
| Ulcer Performance Index | 26.04 | 6.06 |
| Risk-Adjusted Return | 16.33% | 10.4% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.92% | 1.32% |
| Avg. Loss | -0.96% | -1.45% |
| Win/Loss Ratio | 0.95 | 0.91 |
| Profit Ratio | 0.78 | 0.75 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.25% | 0.79% |
| Expected Yearly | 15.01% | 9.2% |
| Kelly Criterion | 8.26% | 0.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -2.7% |
| Expected Shortfall (cVaR) | -3.2% | -4.14% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.09 |
| Gain/Pain (1M) | 1.16 | 0.5 |
| Payoff Ratio | 0.95 | 0.91 |
| Profit Factor | 1.18 | 1.09 |
| Common Sense Ratio | 1.13 | 1.1 |
| CPC Index | 0.62 | 0.52 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.69 | 3.63 |
| Outlier Loss Ratio | 4.11 | 3.17 |
| 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.) | 16.33% | 9.98% |
| All-time (ann.) | 16.33% | 9.98% |
| Best Day | 10.5% | 10.31% |
| Worst Day | -10.94% | -14.58% |
| Best Month | 12.7% | 19.2% |
| Worst Month | -12.49% | -25.84% |
| Best Year | 28.73% | 19.76% |
| Worst Year | -18.18% | -23.9% |
| Avg. Drawdown | -1.79% | -4.02% |
| Avg. Drawdown Days | 16 | 49 |
| Recovery Factor | 3.74 | 2.1 |
| Ulcer Index | 0.08 | 0.17 |
| Serenity Index | 1.03 | 0.28 |
| Avg. Up Month | 4.31% | 5.38% |
| Avg. Down Month | -4.16% | -7.01% |
| Win Days | 55.21% | 52.71% |
| Win Month | 65.56% | 63.33% |
| Win Quarter | 77.42% | 61.29% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 1.17 |
| Alpha | - | -0.07 |
| Correlation | - | 85.58% |
| Treynor Ratio | - | 87.55% |
| Year | SPY | PSCSX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 15.15 | 0.92 | - |
| 2020 | 18.33 | 19.76 | 1.08 | + |
| 2021 | 28.73 | 14.08 | 0.49 | - |
| 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 |
|---|---|---|---|
| 2020-01-17 | 2020-11-06 | -46.12 | 295 |
| 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 |
| 2021-03-16 | 2021-11-01 | -9.58 | 231 |
| 2019-07-31 | 2019-11-01 | -8.72 | 94 |
| 2025-10-28 | 2025-12-02 | -8.57 | 36 |
| 2021-02-10 | 2021-03-10 | -6.96 | 29 |
| 2026-05-07 | 2026-05-22 | -5.67 | 16 |
| 2021-01-25 | 2021-02-03 | -4.51 | 10 |