| Metric | SPY | PSOCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 6.48% | 4.77% |
| CAGR﹪ | 13.27% | 9.68% |
| Sharpe | 0.78 | 0.48 |
| Prob. Sharpe Ratio | 70.87% | 63.31% |
| Smart Sharpe | 0.75 | 0.45 |
| Sortino | 1.14 | 0.7 |
| Smart Sortino | 1.09 | 0.65 |
| Sortino/√2 | 0.8 | 0.49 |
| Smart Sortino/√2 | 0.77 | 0.46 |
| Omega | 1.19 | 1.13 |
| Max Drawdown | -4.49% | -4.82% |
| Max DD Date | 2026-06-10 | 2026-11-02 |
| Max DD Period Start | 2026-06-03 | 2026-08-14 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 83 |
| Volatility (ann.) | 12.4% | 13.75% |
| R^2 | 0.96 | 0.96 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.95 | 2.01 |
| Skew | -0.15 | -0.08 |
| Kurtosis | 0.59 | 0.31 |
| Ulcer Performance Index | 3.89 | 1.99 |
| Risk-Adjusted Return | 13.27% | 9.98% |
| Risk-Return Ratio | 0.07 | 0.05 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.67% | 0.74% |
| Avg. Loss | -0.61% | -0.7% |
| Win/Loss Ratio | 1.11 | 1.06 |
| Profit Ratio | 1.15 | 0.9 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 0.9% | 0.67% |
| Expected Yearly | 6.48% | 4.77% |
| Kelly Criterion | 5.82% | 4.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.38% |
| Expected Shortfall (cVaR) | -1.63% | -1.78% |
| Max Consecutive Wins | 4 | 4 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.19 | 0.13 |
| Gain/Pain (1M) | 3.26 | 1.29 |
| Payoff Ratio | 1.11 | 1.06 |
| Profit Factor | 1.19 | 1.13 |
| Common Sense Ratio | 1.47 | 1.43 |
| CPC Index | 0.67 | 0.61 |
| Tail Ratio | 1.23 | 1.27 |
| Outlier Win Ratio | 2.66 | 2.71 |
| Outlier Loss Ratio | 3.07 | 2.47 |
| MTD | 1.47% | 1.74% |
| 3M | 1.46% | -0.09% |
| 6M | 6.48% | 4.77% |
| YTD | 6.48% | 4.77% |
| 1Y | 6.48% | 4.77% |
| 3Y (ann.) | 13.27% | 9.68% |
| 5Y (ann.) | 13.27% | 9.68% |
| 10Y (ann.) | 13.27% | 9.68% |
| All-time (ann.) | 13.27% | 9.68% |
| Best Day | 1.8% | 1.9% |
| Worst Day | -2.58% | -2.81% |
| Best Month | 4.52% | 4.78% |
| Worst Month | -1.03% | -2.37% |
| Best Year | 6.48% | 4.77% |
| Worst Year | 6.48% | 4.77% |
| Avg. Drawdown | -1.57% | -1.97% |
| Avg. Drawdown Days | 17 | 23 |
| Recovery Factor | 1.48 | 1.06 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.91 | 0.42 |
| Avg. Up Month | 2.89% | 3.04% |
| Avg. Down Month | -0.75% | -1.16% |
| Win Days | 50.39% | 50.82% |
| Win Month | 57.14% | 42.86% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.09 |
| Alpha | - | -0.04 |
| Correlation | - | 98.03% |
| Treynor Ratio | - | 4.39% |
| Year | SPY | PSOCX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 4.77 | 0.74 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-14 | 2026-11-04 | -4.82 | 83 |
| 2026-06-03 | 2026-08-03 | -4.54 | 62 |
| 2026-05-15 | 2026-05-22 | -2.56 | 8 |
| 2026-08-10 | 2026-08-12 | -0.58 | 3 |
| 2026-08-05 | 2026-08-06 | -0.48 | 2 |
| 2026-05-07 | 2026-05-07 | -0.40 | 1 |
| 2026-05-12 | 2026-05-12 | -0.40 | 1 |