| Metric | SPY | PSPAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 87.27% | 72.27% |
| CAGR﹪ | 13.47% | 11.58% |
| Sharpe | 0.6 | 0.5 |
| Prob. Sharpe Ratio | 91.03% | 86.73% |
| Smart Sharpe | 0.58 | 0.49 |
| Sortino | 0.87 | 0.71 |
| Smart Sortino | 0.84 | 0.7 |
| Sortino/√2 | 0.61 | 0.5 |
| Smart Sortino/√2 | 0.59 | 0.5 |
| Omega | 1.16 | 1.14 |
| 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.) | 17.21% | 17.37% |
| R^2 | 0.98 | 0.98 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.55 | 0.42 |
| Skew | 0.32 | 0.14 |
| Kurtosis | 8.93 | 6.86 |
| Ulcer Performance Index | 10.31 | 7.07 |
| Risk-Adjusted Return | 13.47% | 12.19% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.8% | 0.81% |
| Avg. Loss | -0.82% | -0.84% |
| Win/Loss Ratio | 0.98 | 0.97 |
| Profit Ratio | 0.83 | 0.69 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.03% | 0.9% |
| Expected Yearly | 11.02% | 9.49% |
| Kelly Criterion | 7.33% | 6.23% |
| 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 | 0.16 | 0.14 |
| Gain/Pain (1M) | 0.88 | 0.71 |
| Payoff Ratio | 0.98 | 0.97 |
| Profit Factor | 1.16 | 1.14 |
| Common Sense Ratio | 1.17 | 1.16 |
| CPC Index | 0.61 | 0.59 |
| Tail Ratio | 1.01 | 1.02 |
| Outlier Win Ratio | 3.42 | 3.54 |
| Outlier Loss Ratio | 3.76 | 3.62 |
| MTD | 1.08% | 0.87% |
| 3M | 3.82% | 3.44% |
| 6M | 19.85% | 20.28% |
| YTD | 14.3% | 13.99% |
| 1Y | 18.22% | 17.88% |
| 3Y (ann.) | 25.09% | 24.13% |
| 5Y (ann.) | 13.16% | 11.29% |
| 10Y (ann.) | 13.47% | 11.58% |
| All-time (ann.) | 13.47% | 11.58% |
| 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 | -1.89% | -2.15% |
| Avg. Drawdown Days | 20 | 22 |
| Recovery Factor | 2.86 | 2.24 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 0.47 | 0.3 |
| Avg. Up Month | 4.06% | 4.06% |
| Avg. Down Month | -3.69% | -4.04% |
| Win Days | 54.12% | 53.87% |
| Win Month | 63.93% | 60.66% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 1.0 |
| Alpha | - | -0.02 |
| Correlation | - | 99.24% |
| Treynor Ratio | - | 72.16% |
| Year | SPY | PSPAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 7.03 | 0.93 | - |
| 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 | 14.30 | 13.99 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-04 | 2024-01-26 | -27.60 | 753 |
| 2025-02-20 | 2025-06-27 | -20.25 | 128 |
| 2026-01-29 | 2026-04-14 | -9.40 | 76 |
| 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 |
| 2021-09-27 | 2021-10-14 | -3.49 | 18 |