| Metric | SPY | PSPAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 18.3% | 18.07% |
| CAGR﹪ | 18.62% | 18.39% |
| Sharpe | 1.07 | 1.04 |
| Prob. Sharpe Ratio | 85.46% | 84.86% |
| Smart Sharpe | 1.04 | 1.03 |
| Sortino | 1.56 | 1.53 |
| Smart Sortino | 1.52 | 1.5 |
| Sortino/√2 | 1.1 | 1.08 |
| Smart Sortino/√2 | 1.07 | 1.06 |
| Omega | 1.26 | 1.25 |
| Max Drawdown | -8.88% | -9.4% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-01-29 |
| Max DD Period End | 2026-04-13 | 2026-04-14 |
| Longest DD Days | 76 | 76 |
| Volatility (ann.) | 13.04% | 13.21% |
| R^2 | 0.99 | 0.99 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.1 | 1.96 |
| Skew | -0.16 | -0.12 |
| Kurtosis | 1.03 | 1.07 |
| Ulcer Performance Index | 8.48 | 7.93 |
| Risk-Adjusted Return | 18.62% | 19.56% |
| Risk-Return Ratio | 0.09 | 0.08 |
| Avg. Return | 0.07% | 0.08% |
| Avg. Win | 0.69% | 0.7% |
| Avg. Loss | -0.65% | -0.66% |
| Win/Loss Ratio | 1.06 | 1.06 |
| Profit Ratio | 0.91 | 0.72 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.3% | 1.29% |
| Expected Yearly | 8.77% | 8.66% |
| Kelly Criterion | 10.62% | 10.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.3% |
| Expected Shortfall (cVaR) | -1.72% | -1.73% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.26 | 0.25 |
| Gain/Pain (1M) | 2.66 | 2.45 |
| Payoff Ratio | 1.06 | 1.06 |
| Profit Factor | 1.26 | 1.25 |
| Common Sense Ratio | 1.25 | 1.3 |
| CPC Index | 0.72 | 0.71 |
| Tail Ratio | 0.99 | 1.04 |
| Outlier Win Ratio | 2.88 | 3.1 |
| Outlier Loss Ratio | 3.16 | 3.01 |
| MTD | 1.08% | 0.87% |
| 3M | 3.82% | 3.44% |
| 6M | 19.85% | 20.28% |
| YTD | 14.3% | 13.99% |
| 1Y | 18.3% | 18.07% |
| 3Y (ann.) | 18.62% | 18.39% |
| 5Y (ann.) | 18.62% | 18.39% |
| 10Y (ann.) | 18.62% | 18.39% |
| All-time (ann.) | 18.62% | 18.39% |
| Best Day | 2.91% | 2.95% |
| Worst Day | -2.7% | -2.72% |
| Best Month | 10.51% | 10.86% |
| Worst Month | -4.94% | -5.39% |
| Best Year | 14.3% | 13.99% |
| Worst Year | 3.5% | 3.58% |
| Avg. Drawdown | -1.69% | -1.9% |
| Avg. Drawdown Days | 13 | 14 |
| Recovery Factor | 1.99 | 1.86 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.19 | 1.04 |
| Avg. Up Month | 2.72% | 2.77% |
| Avg. Down Month | -2.28% | -2.42% |
| Win Days | 54.03% | 53.88% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.01 |
| Alpha | - | -0.0 |
| Correlation | - | 99.71% |
| Treynor Ratio | - | 17.88% |
| Year | SPY | PSPAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | 3.58 | 1.02 | + |
| 2026 | 14.30 | 13.99 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-29 | 2026-04-14 | -9.40 | 76 |
| 2025-10-30 | 2025-12-10 | -5.14 | 42 |
| 2026-06-03 | 2026-07-31 | -4.37 | 59 |
| 2026-08-14 | 2026-09-22 | -3.34 | 40 |
| 2025-10-09 | 2025-10-23 | -3.04 | 15 |
| 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 |
| 2026-04-20 | 2026-04-21 | -0.94 | 2 |
| 2025-09-24 | 2025-09-26 | -0.83 | 3 |