| Metric | SPY | PSLDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | 14.71% |
| CAGR﹪ | 40.67% | 31.58% |
| Sharpe | 2.32 | 1.31 |
| Prob. Sharpe Ratio | 95.04% | 82.17% |
| Smart Sharpe | 2.3 | 1.2 |
| Sortino | 3.78 | 1.99 |
| Smart Sortino | 3.75 | 1.82 |
| Sortino/√2 | 2.67 | 1.41 |
| Smart Sortino/√2 | 2.65 | 1.29 |
| Omega | 1.54 | 1.27 |
| Max Drawdown | -4.49% | -7.05% |
| Max DD Date | 2026-06-10 | 2026-07-29 |
| Max DD Period Start | 2026-06-03 | 2026-06-03 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 112 |
| Volatility (ann.) | 13.55% | 19.7% |
| R^2 | 0.84 | 0.84 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 9.05 | 4.48 |
| Skew | 0.1 | -0.02 |
| Kurtosis | 1.12 | 0.25 |
| Ulcer Performance Index | 11.86 | 5.61 |
| Risk-Adjusted Return | 40.67% | 31.58% |
| Risk-Return Ratio | 0.16 | 0.09 |
| Avg. Return | 0.14% | 0.12% |
| Avg. Win | 0.81% | 1.13% |
| Avg. Loss | -0.6% | -1.01% |
| Win/Loss Ratio | 1.35 | 1.12 |
| Profit Ratio | 1.12 | 1.05 |
| Expected Daily | 0.14% | 0.11% |
| Expected Monthly | 2.47% | 1.98% |
| Expected Yearly | 18.6% | 14.71% |
| Kelly Criterion | 19.87% | 9.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.92% |
| Expected Shortfall (cVaR) | -1.77% | -2.78% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.27 |
| Gain/Pain (1M) | 10.92 | 2.99 |
| Payoff Ratio | 1.35 | 1.12 |
| Profit Factor | 1.54 | 1.27 |
| Common Sense Ratio | 2.01 | 1.51 |
| CPC Index | 1.12 | 0.74 |
| Tail Ratio | 1.3 | 1.19 |
| Outlier Win Ratio | 3.21 | 2.99 |
| Outlier Loss Ratio | 3.16 | 3.08 |
| MTD | 1.08% | -0.08% |
| 3M | 3.82% | -1.59% |
| 6M | 18.6% | 14.71% |
| YTD | 18.6% | 14.71% |
| 1Y | 18.6% | 14.71% |
| 3Y (ann.) | 40.67% | 31.58% |
| 5Y (ann.) | 40.67% | 31.58% |
| 10Y (ann.) | 40.67% | 31.58% |
| All-time (ann.) | 40.67% | 31.58% |
| Best Day | 2.91% | 3.21% |
| Worst Day | -2.58% | -3.37% |
| Best Month | 10.51% | 10.43% |
| Worst Month | -1.03% | -4.35% |
| Best Year | 18.6% | 14.71% |
| Worst Year | 18.6% | 14.71% |
| Avg. Drawdown | -1.13% | -2.21% |
| Avg. Drawdown Days | 9 | 15 |
| Recovery Factor | 3.9 | 2.08 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 2.75 | 1.25 |
| Avg. Up Month | 6.15% | 6.64% |
| Avg. Down Month | -0.9% | -0.46% |
| Win Days | 53.97% | 52.0% |
| Win Month | 71.43% | 42.86% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.34 |
| Alpha | - | -0.17 |
| Correlation | - | 91.84% |
| Treynor Ratio | - | 11.01% |
| Year | SPY | PSLDX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 14.71 | 0.79 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-09-22 | -7.05 | 112 |
| 2026-03-26 | 2026-04-01 | -5.06 | 7 |
| 2026-05-15 | 2026-05-22 | -4.08 | 8 |
| 2026-04-20 | 2026-04-30 | -1.61 | 11 |
| 2026-05-04 | 2026-05-04 | -1.11 | 1 |
| 2026-05-11 | 2026-05-13 | -1.08 | 3 |
| 2026-03-24 | 2026-03-24 | -0.80 | 1 |
| 2026-05-07 | 2026-05-07 | -0.76 | 1 |
| 2026-04-10 | 2026-04-10 | -0.29 | 1 |
| 2026-04-16 | 2026-04-16 | -0.28 | 1 |