| Metric | SPY | PSPAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 14.81% | 14.11% |
| CAGR﹪ | 15.07% | 14.35% |
| Sharpe | 0.87 | 0.81 |
| Prob. Sharpe Ratio | 80.5% | 78.84% |
| Smart Sharpe | 0.86 | 0.8 |
| Sortino | 1.27 | 1.18 |
| Smart Sortino | 1.26 | 1.17 |
| Sortino/√2 | 0.9 | 0.84 |
| Smart Sortino/√2 | 0.89 | 0.83 |
| Omega | 1.21 | 1.2 |
| Max Drawdown | -8.88% | -9.4% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-02-03 |
| Max DD Period End | 2026-04-13 | 2026-04-14 |
| Longest DD Days | 76 | 83 |
| Volatility (ann.) | 12.91% | 13.12% |
| R^2 | 0.99 | 0.99 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.7 | 1.53 |
| Skew | -0.03 | -0.0 |
| Kurtosis | 0.75 | 0.82 |
| Ulcer Performance Index | 6.86 | 6.12 |
| Risk-Adjusted Return | 15.07% | 15.27% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.06% | 0.06% |
| Avg. Win | 0.69% | 0.7% |
| Avg. Loss | -0.64% | -0.65% |
| Win/Loss Ratio | 1.08 | 1.08 |
| Profit Ratio | 0.99 | 0.78 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 1.07% | 1.02% |
| Expected Yearly | 7.15% | 6.82% |
| Kelly Criterion | 8.54% | 8.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.3% |
| Expected Shortfall (cVaR) | -1.66% | -1.68% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.21 | 0.2 |
| Gain/Pain (1M) | 1.88 | 1.57 |
| Payoff Ratio | 1.08 | 1.08 |
| Profit Factor | 1.21 | 1.2 |
| Common Sense Ratio | 1.2 | 1.25 |
| CPC Index | 0.69 | 0.68 |
| Tail Ratio | 0.99 | 1.04 |
| Outlier Win Ratio | 2.84 | 3.07 |
| Outlier Loss Ratio | 2.98 | 2.91 |
| MTD | 1.47% | 1.59% |
| 3M | 1.46% | 0.84% |
| 6M | 6.94% | 6.48% |
| YTD | 13.33% | 12.64% |
| 1Y | 14.81% | 14.11% |
| 3Y (ann.) | 15.07% | 14.35% |
| 5Y (ann.) | 15.07% | 14.35% |
| 10Y (ann.) | 15.07% | 14.35% |
| All-time (ann.) | 15.07% | 14.35% |
| Best Day | 2.91% | 2.95% |
| Worst Day | -2.58% | -2.63% |
| Best Month | 10.51% | 10.86% |
| Worst Month | -4.94% | -5.39% |
| Best Year | 13.33% | 12.64% |
| Worst Year | 1.31% | 1.3% |
| Avg. Drawdown | -1.72% | -1.73% |
| Avg. Drawdown Days | 13 | 14 |
| Recovery Factor | 1.65 | 1.49 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.96 | 0.82 |
| Avg. Up Month | 3.24% | 3.34% |
| Avg. Down Month | -1.61% | -1.83% |
| Win Days | 52.42% | 52.36% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.01 |
| Alpha | - | -0.01 |
| Correlation | - | 99.67% |
| Treynor Ratio | - | 13.92% |
| Year | SPY | PSPAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | 1.30 | 1.00 | - |
| 2026 | 13.33 | 12.64 | 0.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-03 | 2026-04-14 | -9.40 | 71 |
| 2025-11-13 | 2025-11-26 | -4.53 | 14 |
| 2026-06-03 | 2026-07-31 | -4.37 | 59 |
| 2026-08-14 | 2026-11-04 | -3.71 | 83 |
| 2026-01-13 | 2026-01-26 | -2.55 | 14 |
| 2025-12-12 | 2025-12-22 | -2.50 | 11 |
| 2026-05-15 | 2026-05-22 | -1.95 | 8 |
| 2025-11-06 | 2025-11-07 | -1.14 | 2 |
| 2026-04-20 | 2026-04-21 | -0.94 | 2 |
| 2025-12-30 | 2026-01-02 | -0.76 | 4 |