| Metric | SPY | PSLDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 86.58% | 16.24% |
| CAGR﹪ | 13.36% | 3.07% |
| Sharpe | 0.59 | 0.08 |
| Prob. Sharpe Ratio | 90.85% | 57.22% |
| Smart Sharpe | 0.58 | 0.08 |
| Sortino | 0.86 | 0.11 |
| Smart Sortino | 0.83 | 0.11 |
| Sortino/√2 | 0.61 | 0.08 |
| Smart Sortino/√2 | 0.59 | 0.08 |
| Omega | 1.16 | 1.04 |
| 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.) | 17.2% | 23.03% |
| R^2 | 0.71 | 0.71 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.06 |
| Skew | 0.32 | 0.09 |
| Kurtosis | 8.95 | 4.02 |
| Ulcer Performance Index | 10.24 | 0.65 |
| Risk-Adjusted Return | 13.36% | 3.13% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.88% | 1.17% |
| Avg. Loss | -0.87% | -1.29% |
| Win/Loss Ratio | 1.01 | 0.91 |
| Profit Ratio | 0.83 | 0.78 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.25% |
| Expected Yearly | 10.95% | 2.54% |
| Kelly Criterion | 8.64% | 0.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.36% |
| Expected Shortfall (cVaR) | -2.58% | -3.3% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.16 | 0.04 |
| Gain/Pain (1M) | 0.87 | 0.17 |
| Payoff Ratio | 1.01 | 0.91 |
| Profit Factor | 1.16 | 1.04 |
| Common Sense Ratio | 1.17 | 0.98 |
| CPC Index | 0.63 | 0.5 |
| Tail Ratio | 1.01 | 0.94 |
| Outlier Win Ratio | 3.41 | 3.36 |
| Outlier Loss Ratio | 3.77 | 3.31 |
| MTD | 1.08% | -0.08% |
| 3M | 3.82% | -1.59% |
| 6M | 19.85% | 16.94% |
| YTD | 14.3% | 7.88% |
| 1Y | 17.78% | 10.48% |
| 3Y (ann.) | 24.86% | 26.78% |
| 5Y (ann.) | 13.06% | 3.37% |
| 10Y (ann.) | 13.36% | 3.07% |
| All-time (ann.) | 13.36% | 3.07% |
| 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 | -1.89% | -7.81% |
| Avg. Drawdown Days | 20 | 148 |
| Recovery Factor | 2.85 | 0.57 |
| Ulcer Index | 0.08 | 0.25 |
| Serenity Index | 0.47 | 0.03 |
| Avg. Up Month | 4.38% | 5.86% |
| Avg. Down Month | -4.12% | -8.27% |
| Win Days | 54.04% | 52.26% |
| Win Month | 63.93% | 59.02% |
| Win Quarter | 66.67% | 57.14% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 1.12 |
| Alpha | - | -0.1 |
| Correlation | - | 83.98% |
| Treynor Ratio | - | 14.44% |
| Year | SPY | PSLDX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 6.76 | 0.90 | - |
| 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 | 14.30 | 7.88 | 0.55 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-28 | 2025-10-17 | -49.30 | 1390 |
| 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 |
| 2021-09-24 | 2021-10-25 | -5.63 | 32 |
| 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 |