| Metric | SPY | PSLDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 74.99% | 9.1% |
| CAGR﹪ | 11.91% | 1.77% |
| Sharpe | 0.52 | 0.02 |
| Prob. Sharpe Ratio | 87.6% | 52.08% |
| Smart Sharpe | 0.5 | 0.02 |
| Sortino | 0.74 | 0.03 |
| Smart Sortino | 0.72 | 0.03 |
| Sortino/√2 | 0.53 | 0.02 |
| Smart Sortino/√2 | 0.51 | 0.02 |
| Omega | 1.14 | 1.03 |
| Max Drawdown | -24.5% | -49.3% |
| Max DD Date | 2022-10-12 | 2022-10-14 |
| Max DD Period Start | 2022-01-04 | 2021-12-28 |
| Max DD Period End | 2023-12-12 | 2025-10-17 |
| Longest DD Days | 708 | 1390 |
| Volatility (ann.) | 17.19% | 23.02% |
| R^2 | 0.7 | 0.7 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.04 |
| Skew | 0.33 | 0.1 |
| Kurtosis | 8.98 | 4.02 |
| Ulcer Performance Index | 8.86 | 0.36 |
| Risk-Adjusted Return | 11.91% | 1.8% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.89% | 1.18% |
| Avg. Loss | -0.86% | -1.28% |
| Win/Loss Ratio | 1.02 | 0.93 |
| Profit Ratio | 0.86 | 0.8 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.14% |
| Expected Yearly | 9.77% | 1.46% |
| Kelly Criterion | 8.05% | -0.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.37% |
| Expected Shortfall (cVaR) | -2.58% | -3.28% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | 0.03 |
| Gain/Pain (1M) | 0.79 | 0.13 |
| Payoff Ratio | 1.02 | 0.93 |
| Profit Factor | 1.14 | 1.03 |
| Common Sense Ratio | 1.15 | 0.97 |
| CPC Index | 0.62 | 0.5 |
| Tail Ratio | 1.0 | 0.94 |
| Outlier Win Ratio | 3.4 | 3.35 |
| Outlier Loss Ratio | 3.8 | 3.31 |
| MTD | 1.47% | 2.09% |
| 3M | 1.46% | 0.45% |
| 6M | 6.94% | 2.75% |
| YTD | 13.33% | 6.97% |
| 1Y | 13.43% | 5.58% |
| 3Y (ann.) | 20.78% | 18.35% |
| 5Y (ann.) | 12.86% | 2.24% |
| 10Y (ann.) | 11.91% | 1.77% |
| All-time (ann.) | 11.91% | 1.77% |
| Best Day | 10.5% | 10.32% |
| Worst Day | -5.85% | -7.17% |
| Best Month | 10.51% | 18.63% |
| Worst Month | -9.24% | -17.31% |
| Best Year | 26.18% | 27.9% |
| Worst Year | -18.18% | -43.17% |
| Avg. Drawdown | -1.94% | -8.9% |
| Avg. Drawdown Days | 21 | 179 |
| Recovery Factor | 2.58 | 0.44 |
| Ulcer Index | 0.08 | 0.25 |
| Serenity Index | 0.43 | 0.03 |
| Avg. Up Month | 4.21% | 5.68% |
| Avg. Down Month | -3.91% | -8.02% |
| Win Days | 53.48% | 51.93% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 1.12 |
| Alpha | - | -0.1 |
| Correlation | - | 83.91% |
| Treynor Ratio | - | 8.1% |
| Year | SPY | PSLDX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 1.07 | 0.62 | - |
| 2022 | -18.18 | -43.17 | 2.37 | - |
| 2023 | 26.18 | 27.90 | 1.07 | + |
| 2024 | 24.89 | 15.38 | 0.62 | - |
| 2025 | 17.72 | 20.33 | 1.15 | + |
| 2026 | 13.33 | 6.97 | 0.52 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-28 | 2025-10-17 | -49.30 | 1390 |
| 2026-02-26 | 2026-05-04 | -13.70 | 68 |
| 2026-06-03 | 2026-11-04 | -8.15 | 155 |
| 2025-10-29 | 2026-02-24 | -7.42 | 119 |
| 2026-05-15 | 2026-05-22 | -4.08 | 8 |
| 2021-11-10 | 2021-12-23 | -3.88 | 44 |
| 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 |
| 2021-11-08 | 2021-11-08 | -0.11 | 1 |