| Metric | SPY | PSLDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 207.58% | 145.49% |
| CAGR﹪ | 16.68% | 13.13% |
| Sharpe | 0.74 | 0.52 |
| Prob. Sharpe Ratio | 97.6% | 91.71% |
| Smart Sharpe | 0.64 | 0.51 |
| Sortino | 1.04 | 0.72 |
| Smart Sortino | 0.9 | 0.71 |
| Sortino/√2 | 0.74 | 0.51 |
| Smart Sortino/√2 | 0.64 | 0.51 |
| Omega | 1.19 | 1.12 |
| Max Drawdown | -33.72% | -49.3% |
| Max DD Date | 2020-03-23 | 2022-10-20 |
| Max DD Period Start | 2020-02-20 | 2021-12-28 |
| Max DD Period End | 2020-08-07 | 2025-10-17 |
| Longest DD Days | 708 | 1390 |
| Volatility (ann.) | 19.56% | 23.75% |
| R^2 | 0.7 | 0.7 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.49 | 0.27 |
| Skew | -0.29 | -0.39 |
| Kurtosis | 13.84 | 9.27 |
| Ulcer Performance Index | 26.03 | 6.9 |
| Risk-Adjusted Return | 16.68% | 13.53% |
| Risk-Return Ratio | 0.06 | 0.04 |
| Avg. Return | 0.07% | 0.06% |
| Avg. Win | 0.91% | 1.14% |
| Avg. Loss | -0.96% | -1.29% |
| Win/Loss Ratio | 0.94 | 0.89 |
| Profit Ratio | 0.77 | 0.68 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 1.28% | 1.03% |
| Expected Yearly | 15.08% | 11.88% |
| Kelly Criterion | 7.89% | 3.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -2.4% |
| Expected Shortfall (cVaR) | -3.2% | -3.7% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.19 | 0.12 |
| Gain/Pain (1M) | 1.17 | 0.55 |
| Payoff Ratio | 0.94 | 0.89 |
| Profit Factor | 1.19 | 1.12 |
| Common Sense Ratio | 1.14 | 1.08 |
| CPC Index | 0.62 | 0.55 |
| Tail Ratio | 0.96 | 0.96 |
| Outlier Win Ratio | 3.69 | 3.74 |
| Outlier Loss Ratio | 4.1 | 3.54 |
| 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.) | 16.68% | 13.13% |
| All-time (ann.) | 16.68% | 13.13% |
| Best Day | 10.5% | 10.32% |
| Worst Day | -10.94% | -13.16% |
| Best Month | 12.7% | 18.63% |
| Worst Month | -12.49% | -17.31% |
| Best Year | 28.73% | 38.01% |
| Worst Year | -18.18% | -43.17% |
| Avg. Drawdown | -1.78% | -3.27% |
| Avg. Drawdown Days | 16 | 37 |
| Recovery Factor | 3.75 | 2.24 |
| Ulcer Index | 0.08 | 0.21 |
| Serenity Index | 1.03 | 0.18 |
| Avg. Up Month | 4.35% | 5.75% |
| Avg. Down Month | -4.48% | -7.99% |
| Win Days | 55.26% | 54.59% |
| Win Month | 67.05% | 64.77% |
| Win Quarter | 76.67% | 66.67% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 1.01 |
| Alpha | - | -0.02 |
| Correlation | - | 83.42% |
| Treynor Ratio | - | 143.58% |
| Year | SPY | PSLDX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 29.94 | 1.83 | + |
| 2020 | 18.33 | 38.01 | 2.07 | + |
| 2021 | 28.73 | 25.73 | 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 |
| 2020-02-21 | 2020-07-08 | -37.60 | 139 |
| 2026-02-26 | 2026-05-04 | -13.70 | 68 |
| 2020-09-03 | 2020-11-20 | -11.99 | 79 |
| 2021-02-11 | 2021-04-12 | -9.06 | 61 |
| 2021-09-03 | 2021-11-01 | -7.90 | 60 |
| 2025-10-29 | 2026-02-24 | -7.42 | 119 |
| 2026-06-03 | 2026-09-22 | -7.05 | 112 |
| 2021-05-10 | 2021-06-03 | -6.15 | 25 |
| 2021-01-26 | 2021-02-09 | -4.38 | 15 |