| Metric | SPY | PSOCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 18.3% | 15.49% |
| CAGR﹪ | 18.62% | 15.76% |
| Sharpe | 1.07 | 0.82 |
| Prob. Sharpe Ratio | 85.46% | 79.16% |
| Smart Sharpe | 1.04 | 0.8 |
| Sortino | 1.56 | 1.2 |
| Smart Sortino | 1.52 | 1.16 |
| Sortino/√2 | 1.1 | 0.85 |
| Smart Sortino/√2 | 1.07 | 0.82 |
| Omega | 1.26 | 1.2 |
| Max Drawdown | -8.88% | -10.47% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-01-13 |
| Max DD Period End | 2026-04-13 | 2026-04-14 |
| Longest DD Days | 76 | 92 |
| Volatility (ann.) | 13.04% | 14.23% |
| R^2 | 0.98 | 0.98 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.1 | 1.5 |
| Skew | -0.16 | -0.07 |
| Kurtosis | 1.03 | 1.0 |
| Ulcer Performance Index | 8.48 | 6.0 |
| Risk-Adjusted Return | 18.62% | 16.41% |
| Risk-Return Ratio | 0.09 | 0.07 |
| Avg. Return | 0.08% | 0.06% |
| Avg. Win | 0.68% | 0.74% |
| Avg. Loss | -0.64% | -0.72% |
| Win/Loss Ratio | 1.06 | 1.02 |
| Profit Ratio | 0.91 | 0.79 |
| Expected Daily | 0.07% | 0.06% |
| Expected Monthly | 1.3% | 1.11% |
| Expected Yearly | 8.77% | 7.46% |
| Kelly Criterion | 10.6% | 7.66% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.41% |
| Expected Shortfall (cVaR) | -1.72% | -1.88% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.26 | 0.2 |
| Gain/Pain (1M) | 2.66 | 1.82 |
| Payoff Ratio | 1.06 | 1.02 |
| Profit Factor | 1.26 | 1.2 |
| Common Sense Ratio | 1.25 | 1.21 |
| CPC Index | 0.72 | 0.65 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.88 | 2.9 |
| Outlier Loss Ratio | 3.16 | 3.17 |
| MTD | 1.08% | 0.13% |
| 3M | 3.82% | 1.82% |
| 6M | 19.85% | 18.74% |
| YTD | 14.3% | 11.13% |
| 1Y | 18.3% | 15.49% |
| 3Y (ann.) | 18.62% | 15.76% |
| 5Y (ann.) | 18.62% | 15.76% |
| 10Y (ann.) | 18.62% | 15.76% |
| All-time (ann.) | 18.62% | 15.76% |
| Best Day | 2.91% | 3.16% |
| Worst Day | -2.7% | -2.81% |
| Best Month | 10.51% | 10.77% |
| Worst Month | -4.94% | -6.57% |
| Best Year | 14.3% | 11.13% |
| Worst Year | 3.5% | 3.92% |
| Avg. Drawdown | -1.69% | -2.02% |
| Avg. Drawdown Days | 13 | 15 |
| Recovery Factor | 1.99 | 1.47 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.19 | 0.76 |
| Avg. Up Month | 2.72% | 2.68% |
| Avg. Down Month | -2.28% | -2.63% |
| Win Days | 54.03% | 53.36% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.08 |
| Alpha | - | -0.04 |
| Correlation | - | 98.91% |
| Treynor Ratio | - | 14.34% |
| Year | SPY | PSOCX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | 3.92 | 1.12 | + |
| 2026 | 14.30 | 11.13 | 0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-13 | 2026-04-14 | -10.47 | 92 |
| 2025-10-29 | 2025-12-10 | -5.35 | 43 |
| 2026-08-14 | 2026-09-22 | -4.72 | 40 |
| 2026-06-03 | 2026-08-03 | -4.54 | 62 |
| 2025-10-09 | 2025-10-17 | -3.11 | 9 |
| 2026-05-15 | 2026-05-22 | -2.56 | 8 |
| 2025-12-12 | 2025-12-22 | -2.43 | 11 |
| 2026-04-20 | 2026-04-23 | -1.03 | 4 |
| 2025-09-24 | 2025-09-26 | -0.93 | 3 |
| 2025-12-30 | 2026-01-02 | -0.85 | 4 |