| Metric | SPY | PSOCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 14.81% | 11.54% |
| CAGR﹪ | 15.07% | 11.73% |
| Sharpe | 0.87 | 0.6 |
| Prob. Sharpe Ratio | 80.5% | 72.25% |
| Smart Sharpe | 0.86 | 0.59 |
| Sortino | 1.27 | 0.87 |
| Smart Sortino | 1.26 | 0.86 |
| Sortino/√2 | 0.9 | 0.61 |
| Smart Sortino/√2 | 0.89 | 0.61 |
| Omega | 1.21 | 1.15 |
| 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.) | 12.91% | 14.18% |
| R^2 | 0.97 | 0.97 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 1.7 | 1.12 |
| Skew | -0.03 | 0.04 |
| Kurtosis | 0.75 | 0.77 |
| Ulcer Performance Index | 6.86 | 4.17 |
| Risk-Adjusted Return | 15.07% | 12.22% |
| Risk-Return Ratio | 0.07 | 0.05 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.68% | 0.74% |
| Avg. Loss | -0.63% | -0.72% |
| Win/Loss Ratio | 1.08 | 1.04 |
| Profit Ratio | 0.99 | 0.83 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.07% | 0.84% |
| Expected Yearly | 7.15% | 5.61% |
| Kelly Criterion | 8.41% | 5.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.42% |
| Expected Shortfall (cVaR) | -1.66% | -1.81% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.21 | 0.15 |
| Gain/Pain (1M) | 1.88 | 1.09 |
| Payoff Ratio | 1.08 | 1.04 |
| Profit Factor | 1.21 | 1.15 |
| Common Sense Ratio | 1.2 | 1.16 |
| CPC Index | 0.68 | 0.62 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.84 | 2.88 |
| Outlier Loss Ratio | 2.98 | 2.88 |
| MTD | 1.47% | 1.74% |
| 3M | 1.46% | -0.09% |
| 6M | 6.94% | 5.09% |
| YTD | 13.33% | 10.02% |
| 1Y | 14.81% | 11.54% |
| 3Y (ann.) | 15.07% | 11.73% |
| 5Y (ann.) | 15.07% | 11.73% |
| 10Y (ann.) | 15.07% | 11.73% |
| All-time (ann.) | 15.07% | 11.73% |
| Best Day | 2.91% | 3.16% |
| Worst Day | -2.58% | -2.81% |
| Best Month | 10.51% | 10.77% |
| Worst Month | -4.94% | -6.57% |
| Best Year | 13.33% | 10.02% |
| Worst Year | 1.31% | 1.37% |
| Avg. Drawdown | -1.72% | -2.15% |
| Avg. Drawdown Days | 13 | 18 |
| Recovery Factor | 1.65 | 1.14 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.96 | 0.53 |
| Avg. Up Month | 3.24% | 3.31% |
| Avg. Down Month | -1.61% | -2.09% |
| Win Days | 52.42% | 52.1% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.08 |
| Alpha | - | -0.04 |
| Correlation | - | 98.63% |
| Treynor Ratio | - | 10.65% |
| Year | SPY | PSOCX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | 1.37 | 1.05 | + |
| 2026 | 13.33 | 10.02 | 0.75 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-13 | 2026-04-14 | -10.47 | 92 |
| 2026-08-14 | 2026-11-04 | -4.82 | 83 |
| 2025-11-13 | 2025-12-02 | -4.67 | 20 |
| 2026-06-03 | 2026-08-03 | -4.54 | 62 |
| 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 |
| 2025-11-06 | 2025-11-07 | -1.00 | 2 |
| 2025-12-30 | 2026-01-02 | -0.85 | 4 |
| 2026-04-28 | 2026-04-29 | -0.72 | 2 |