| Metric | SPY | PSLDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 17.87% | 10.3% |
| CAGR﹪ | 18.02% | 10.38% |
| Sharpe | 1.04 | 0.42 |
| Prob. Sharpe Ratio | 84.73% | 66.08% |
| Smart Sharpe | 1.01 | 0.4 |
| Sortino | 1.51 | 0.59 |
| Smart Sortino | 1.47 | 0.57 |
| Sortino/√2 | 1.07 | 0.42 |
| Smart Sortino/√2 | 1.04 | 0.4 |
| Omega | 1.25 | 1.11 |
| 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 | 119 |
| Volatility (ann.) | 12.99% | 18.02% |
| R^2 | 0.81 | 0.81 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.03 | 0.76 |
| Skew | -0.15 | -0.18 |
| Kurtosis | 1.05 | 0.68 |
| Ulcer Performance Index | 8.3 | 2.73 |
| Risk-Adjusted Return | 18.02% | 10.49% |
| Risk-Return Ratio | 0.08 | 0.04 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.72% | 0.96% |
| Avg. Loss | -0.66% | -0.97% |
| Win/Loss Ratio | 1.1 | 0.99 |
| Profit Ratio | 0.94 | 0.92 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.27% | 0.76% |
| Expected Yearly | 8.57% | 5.02% |
| Kelly Criterion | 11.25% | 3.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.82% |
| Expected Shortfall (cVaR) | -1.72% | -2.44% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.11 |
| Gain/Pain (1M) | 2.6 | 0.7 |
| Payoff Ratio | 1.1 | 0.99 |
| Profit Factor | 1.25 | 1.11 |
| Common Sense Ratio | 1.24 | 1.15 |
| CPC Index | 0.73 | 0.57 |
| Tail Ratio | 0.99 | 1.04 |
| Outlier Win Ratio | 2.88 | 3.17 |
| Outlier Loss Ratio | 3.19 | 3.48 |
| MTD | 1.08% | -0.08% |
| 3M | 3.82% | -1.59% |
| 6M | 19.85% | 16.94% |
| YTD | 14.3% | 7.88% |
| 1Y | 17.87% | 10.3% |
| 3Y (ann.) | 18.02% | 10.38% |
| 5Y (ann.) | 18.02% | 10.38% |
| 10Y (ann.) | 18.02% | 10.38% |
| All-time (ann.) | 18.02% | 10.38% |
| Best Day | 2.91% | 3.21% |
| Worst Day | -2.7% | -3.62% |
| Best Month | 10.51% | 10.43% |
| Worst Month | -4.94% | -9.79% |
| Best Year | 14.3% | 7.88% |
| Worst Year | 3.13% | 2.24% |
| Avg. Drawdown | -1.71% | -3.85% |
| Avg. Drawdown Days | 13 | 33 |
| Recovery Factor | 1.94 | 0.83 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.16 | 0.37 |
| Avg. Up Month | 3.28% | 3.62% |
| Avg. Down Month | -2.98% | -5.18% |
| Win Days | 53.6% | 51.82% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.25 |
| Alpha | - | -0.1 |
| Correlation | - | 89.85% |
| Treynor Ratio | - | 8.26% |
| Year | SPY | PSLDX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 2.24 | 0.72 | - |
| 2026 | 14.30 | 7.88 | 0.55 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-05-04 | -13.70 | 68 |
| 2025-10-29 | 2026-02-24 | -7.42 | 119 |
| 2026-06-03 | 2026-09-22 | -7.05 | 112 |
| 2026-05-15 | 2026-05-22 | -4.08 | 8 |
| 2025-10-09 | 2025-10-16 | -2.17 | 8 |
| 2025-09-24 | 2025-09-26 | -1.32 | 3 |
| 2026-05-11 | 2026-05-13 | -1.08 | 3 |
| 2026-05-07 | 2026-05-07 | -0.76 | 1 |
| 2025-10-22 | 2025-10-23 | -0.48 | 2 |
| 2025-10-03 | 2025-10-07 | -0.44 | 5 |