| Metric | SPY | PSPAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 75.63% | 61.24% |
| CAGR﹪ | 12.01% | 10.1% |
| Sharpe | 0.52 | 0.42 |
| Prob. Sharpe Ratio | 87.82% | 82.49% |
| Smart Sharpe | 0.51 | 0.41 |
| Sortino | 0.75 | 0.6 |
| Smart Sortino | 0.73 | 0.59 |
| Sortino/√2 | 0.53 | 0.42 |
| Smart Sortino/√2 | 0.52 | 0.42 |
| Omega | 1.14 | 1.12 |
| Max Drawdown | -24.5% | -27.6% |
| Max DD Date | 2022-10-12 | 2022-10-12 |
| Max DD Period Start | 2022-01-04 | 2022-01-04 |
| Max DD Period End | 2023-12-12 | 2024-01-26 |
| Longest DD Days | 708 | 753 |
| Volatility (ann.) | 17.2% | 17.36% |
| R^2 | 0.98 | 0.98 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.49 | 0.37 |
| Skew | 0.33 | 0.15 |
| Kurtosis | 8.96 | 6.88 |
| Ulcer Performance Index | 8.93 | 5.99 |
| Risk-Adjusted Return | 12.01% | 10.63% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.05% |
| Avg. Win | 0.81% | 0.82% |
| Avg. Loss | -0.82% | -0.84% |
| Win/Loss Ratio | 0.99 | 0.97 |
| Profit Ratio | 0.85 | 0.7 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 0.93% | 0.79% |
| Expected Yearly | 9.84% | 8.29% |
| Kelly Criterion | 6.53% | 5.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.75% |
| Expected Shortfall (cVaR) | -2.58% | -2.6% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.12 |
| Gain/Pain (1M) | 0.8 | 0.62 |
| Payoff Ratio | 0.99 | 0.97 |
| Profit Factor | 1.14 | 1.12 |
| Common Sense Ratio | 1.15 | 1.14 |
| CPC Index | 0.6 | 0.58 |
| Tail Ratio | 1.01 | 1.02 |
| Outlier Win Ratio | 3.4 | 3.54 |
| Outlier Loss Ratio | 3.79 | 3.64 |
| MTD | 1.47% | 1.59% |
| 3M | 1.46% | 0.84% |
| 6M | 6.94% | 6.48% |
| YTD | 13.33% | 12.64% |
| 1Y | 13.84% | 13.19% |
| 3Y (ann.) | 21.0% | 19.85% |
| 5Y (ann.) | 12.96% | 11.06% |
| 10Y (ann.) | 12.01% | 10.1% |
| All-time (ann.) | 12.01% | 10.1% |
| Best Day | 10.5% | 9.6% |
| Worst Day | -5.85% | -6.18% |
| Best Month | 10.51% | 10.86% |
| Worst Month | -9.24% | -10.02% |
| Best Year | 26.18% | 24.82% |
| Worst Year | -18.18% | -21.55% |
| Avg. Drawdown | -1.93% | -2.16% |
| Avg. Drawdown Days | 21 | 23 |
| Recovery Factor | 2.6 | 2.0 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 0.43 | 0.27 |
| Avg. Up Month | 3.99% | 4.01% |
| Avg. Down Month | -3.53% | -3.89% |
| Win Days | 53.56% | 53.37% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 1.0 |
| Alpha | - | -0.02 |
| Correlation | - | 99.23% |
| Treynor Ratio | - | 61.14% |
| Year | SPY | PSPAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 1.37 | 0.79 | - |
| 2022 | -18.18 | -21.55 | 1.19 | - |
| 2023 | 26.18 | 24.82 | 0.95 | - |
| 2024 | 24.89 | 23.35 | 0.94 | - |
| 2025 | 18.15 | 16.89 | 0.93 | - |
| 2026 | 13.33 | 12.64 | 0.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-04 | 2024-01-26 | -27.60 | 753 |
| 2025-02-20 | 2025-06-27 | -20.25 | 128 |
| 2026-02-03 | 2026-04-14 | -9.40 | 71 |
| 2024-07-17 | 2024-09-18 | -8.77 | 64 |
| 2024-04-01 | 2024-05-14 | -5.54 | 44 |
| 2024-12-12 | 2025-02-18 | -5.29 | 69 |
| 2025-10-30 | 2025-12-10 | -5.14 | 42 |
| 2026-06-03 | 2026-07-31 | -4.37 | 59 |
| 2021-11-19 | 2021-12-09 | -4.18 | 21 |
| 2026-08-14 | 2026-11-04 | -3.71 | 83 |