| Metric | SPY | PSLDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 14.39% | 7.18% |
| CAGR﹪ | 14.51% | 7.24% |
| Sharpe | 0.83 | 0.27 |
| Prob. Sharpe Ratio | 79.61% | 60.66% |
| Smart Sharpe | 0.82 | 0.26 |
| Sortino | 1.22 | 0.38 |
| Smart Sortino | 1.2 | 0.36 |
| Sortino/√2 | 0.86 | 0.27 |
| Smart Sortino/√2 | 0.85 | 0.26 |
| Omega | 1.2 | 1.08 |
| Max Drawdown | -8.88% | -13.7% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-05-04 |
| Longest DD Days | 76 | 155 |
| Volatility (ann.) | 12.86% | 18.39% |
| R^2 | 0.79 | 0.79 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.63 | 0.53 |
| Skew | -0.02 | -0.16 |
| Kurtosis | 0.78 | 0.57 |
| Ulcer Performance Index | 6.68 | 1.8 |
| Risk-Adjusted Return | 14.51% | 7.31% |
| Risk-Return Ratio | 0.07 | 0.03 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.72% | 0.99% |
| Avg. Loss | -0.64% | -1.0% |
| Win/Loss Ratio | 1.13 | 0.99 |
| Profit Ratio | 1.02 | 0.92 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.53% |
| Expected Yearly | 6.95% | 3.53% |
| Kelly Criterion | 9.36% | 2.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.87% |
| Expected Shortfall (cVaR) | -1.66% | -2.52% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.08 |
| Gain/Pain (1M) | 1.83 | 0.38 |
| Payoff Ratio | 1.13 | 0.99 |
| Profit Factor | 1.2 | 1.08 |
| Common Sense Ratio | 1.19 | 1.12 |
| CPC Index | 0.7 | 0.55 |
| Tail Ratio | 0.99 | 1.03 |
| Outlier Win Ratio | 2.84 | 3.14 |
| Outlier Loss Ratio | 3.01 | 3.38 |
| MTD | 1.47% | 2.09% |
| 3M | 1.46% | 0.45% |
| 6M | 6.94% | 2.75% |
| YTD | 13.33% | 6.97% |
| 1Y | 14.39% | 7.18% |
| 3Y (ann.) | 14.51% | 7.24% |
| 5Y (ann.) | 14.51% | 7.24% |
| 10Y (ann.) | 14.51% | 7.24% |
| All-time (ann.) | 14.51% | 7.24% |
| Best Day | 2.91% | 3.21% |
| Worst Day | -2.58% | -3.62% |
| Best Month | 10.51% | 10.43% |
| Worst Month | -4.94% | -9.79% |
| Best Year | 13.33% | 6.97% |
| Worst Year | 0.94% | 0.2% |
| Avg. Drawdown | -1.74% | -3.21% |
| Avg. Drawdown Days | 14 | 23 |
| Recovery Factor | 1.61 | 0.63 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.94 | 0.27 |
| Avg. Up Month | 3.71% | 4.22% |
| Avg. Down Month | -2.1% | -5.49% |
| Win Days | 52.0% | 51.42% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.27 |
| Alpha | - | -0.1 |
| Correlation | - | 89.04% |
| Treynor Ratio | - | 5.64% |
| Year | SPY | PSLDX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.20 | 0.21 | - |
| 2026 | 13.33 | 6.97 | 0.52 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-05-04 | -13.70 | 68 |
| 2026-06-03 | 2026-11-04 | -8.15 | 155 |
| 2025-11-13 | 2025-11-26 | -5.46 | 14 |
| 2026-05-15 | 2026-05-22 | -4.08 | 8 |
| 2026-01-16 | 2026-02-09 | -3.83 | 25 |
| 2025-12-01 | 2025-12-23 | -3.60 | 23 |
| 2025-12-26 | 2026-01-08 | -1.77 | 14 |
| 2026-05-11 | 2026-05-13 | -1.08 | 3 |
| 2026-02-11 | 2026-02-17 | -0.90 | 7 |
| 2026-05-07 | 2026-05-07 | -0.76 | 1 |