| Metric | SPY | PSLDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 204.97% | 143.41% |
| CAGR﹪ | 16.25% | 12.77% |
| Sharpe | 0.72 | 0.51 |
| Prob. Sharpe Ratio | 97.45% | 91.39% |
| Smart Sharpe | 0.63 | 0.5 |
| Sortino | 1.02 | 0.7 |
| Smart Sortino | 0.88 | 0.7 |
| Sortino/√2 | 0.72 | 0.5 |
| Smart Sortino/√2 | 0.62 | 0.49 |
| Omega | 1.18 | 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.) | 19.45% | 23.65% |
| R^2 | 0.69 | 0.69 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.48 | 0.26 |
| Skew | -0.29 | -0.39 |
| Kurtosis | 13.94 | 9.29 |
| Ulcer Performance Index | 25.91 | 6.86 |
| Risk-Adjusted Return | 16.25% | 13.16% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.06% |
| Avg. Win | 0.9% | 1.14% |
| Avg. Loss | -0.96% | -1.28% |
| Win/Loss Ratio | 0.95 | 0.89 |
| Profit Ratio | 0.78 | 0.68 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 1.25% | 0.99% |
| Expected Yearly | 14.96% | 11.76% |
| Kelly Criterion | 7.69% | 3.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -2.39% |
| Expected Shortfall (cVaR) | -3.2% | -3.67% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.12 |
| Gain/Pain (1M) | 1.15 | 0.53 |
| Payoff Ratio | 0.95 | 0.89 |
| Profit Factor | 1.18 | 1.12 |
| Common Sense Ratio | 1.13 | 1.08 |
| CPC Index | 0.62 | 0.54 |
| Tail Ratio | 0.96 | 0.97 |
| Outlier Win Ratio | 3.69 | 3.74 |
| Outlier Loss Ratio | 4.12 | 3.53 |
| 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.) | 16.25% | 12.77% |
| All-time (ann.) | 16.25% | 12.77% |
| 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 | -1.79% | -3.29% |
| Avg. Drawdown Days | 16 | 38 |
| Recovery Factor | 3.72 | 2.23 |
| Ulcer Index | 0.08 | 0.21 |
| Serenity Index | 1.03 | 0.18 |
| Avg. Up Month | 4.3% | 5.68% |
| Avg. Down Month | -4.31% | -7.92% |
| Win Days | 55.15% | 54.59% |
| Win Month | 65.56% | 65.56% |
| Win Quarter | 77.42% | 67.74% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 1.01 |
| Alpha | - | -0.02 |
| Correlation | - | 83.35% |
| Treynor Ratio | - | 141.49% |
| 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 | 13.33 | 6.97 | 0.52 | - |
| 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 |
| 2026-06-03 | 2026-11-04 | -8.15 | 155 |
| 2021-09-03 | 2021-11-01 | -7.90 | 60 |
| 2025-10-29 | 2026-02-24 | -7.42 | 119 |
| 2021-05-10 | 2021-06-03 | -6.15 | 25 |
| 2021-01-26 | 2021-02-09 | -4.38 | 15 |