| Metric | SPY | PSOCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 75.63% | 54.26% |
| CAGR﹪ | 12.01% | 9.12% |
| Sharpe | 0.52 | 0.36 |
| Prob. Sharpe Ratio | 87.82% | 78.99% |
| Smart Sharpe | 0.51 | 0.36 |
| Sortino | 0.75 | 0.51 |
| Smart Sortino | 0.73 | 0.51 |
| Sortino/√2 | 0.53 | 0.36 |
| Smart Sortino/√2 | 0.52 | 0.36 |
| Omega | 1.14 | 1.11 |
| Max Drawdown | -24.5% | -29.08% |
| Max DD Date | 2022-10-12 | 2022-10-12 |
| Max DD Period Start | 2022-01-04 | 2022-01-05 |
| Max DD Period End | 2023-12-12 | 2024-02-08 |
| Longest DD Days | 708 | 765 |
| Volatility (ann.) | 17.2% | 17.93% |
| R^2 | 0.98 | 0.98 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.49 | 0.31 |
| Skew | 0.33 | 0.13 |
| Kurtosis | 8.96 | 6.42 |
| Ulcer Performance Index | 8.93 | 4.89 |
| Risk-Adjusted Return | 12.01% | 9.6% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.81% | 0.85% |
| Avg. Loss | -0.82% | -0.88% |
| Win/Loss Ratio | 0.99 | 0.97 |
| Profit Ratio | 0.85 | 0.71 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.93% | 0.71% |
| Expected Yearly | 9.84% | 7.49% |
| Kelly Criterion | 6.85% | 4.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.82% |
| Expected Shortfall (cVaR) | -2.58% | -2.7% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.11 |
| Gain/Pain (1M) | 0.8 | 0.54 |
| Payoff Ratio | 0.99 | 0.97 |
| Profit Factor | 1.14 | 1.11 |
| Common Sense Ratio | 1.15 | 1.13 |
| CPC Index | 0.61 | 0.57 |
| Tail Ratio | 1.01 | 1.02 |
| Outlier Win Ratio | 3.4 | 3.54 |
| Outlier Loss Ratio | 3.79 | 3.68 |
| MTD | 1.47% | 1.74% |
| 3M | 1.46% | -0.09% |
| 6M | 6.94% | 5.09% |
| YTD | 13.33% | 10.02% |
| 1Y | 13.84% | 10.63% |
| 3Y (ann.) | 21.0% | 19.1% |
| 5Y (ann.) | 12.96% | 10.14% |
| 10Y (ann.) | 12.01% | 9.12% |
| All-time (ann.) | 12.01% | 9.12% |
| Best Day | 10.5% | 9.72% |
| Worst Day | -5.85% | -6.38% |
| Best Month | 10.51% | 10.77% |
| Worst Month | -9.24% | -10.52% |
| Best Year | 26.18% | 24.2% |
| Worst Year | -18.18% | -22.98% |
| Avg. Drawdown | -1.93% | -2.41% |
| Avg. Drawdown Days | 21 | 27 |
| Recovery Factor | 2.6 | 1.77 |
| Ulcer Index | 0.08 | 0.11 |
| Serenity Index | 0.43 | 0.22 |
| Avg. Up Month | 3.99% | 4.09% |
| Avg. Down Month | -3.53% | -4.16% |
| Win Days | 53.56% | 53.07% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 1.03 |
| Alpha | - | -0.03 |
| Correlation | - | 98.91% |
| Treynor Ratio | - | 52.62% |
| Year | SPY | PSOCX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 1.36 | 0.79 | - |
| 2022 | -18.18 | -22.98 | 1.26 | - |
| 2023 | 26.18 | 24.20 | 0.92 | - |
| 2024 | 24.89 | 22.95 | 0.92 | - |
| 2025 | 18.15 | 17.61 | 0.97 | - |
| 2026 | 13.33 | 10.02 | 0.75 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2024-02-08 | -29.08 | 765 |
| 2025-02-20 | 2025-07-01 | -20.99 | 132 |
| 2026-01-13 | 2026-04-14 | -10.47 | 92 |
| 2024-07-17 | 2024-09-18 | -8.82 | 64 |
| 2024-12-09 | 2025-02-18 | -6.03 | 72 |
| 2024-04-01 | 2024-05-14 | -5.78 | 44 |
| 2025-10-29 | 2025-12-10 | -5.35 | 43 |
| 2026-08-14 | 2026-11-04 | -4.82 | 83 |
| 2026-06-03 | 2026-08-03 | -4.54 | 62 |
| 2021-11-19 | 2021-12-22 | -4.45 | 34 |