| Metric | SPY | PSPAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 6.48% | 5.99% |
| CAGR﹪ | 13.27% | 12.23% |
| Sharpe | 0.78 | 0.7 |
| Prob. Sharpe Ratio | 70.87% | 68.94% |
| Smart Sharpe | 0.75 | 0.68 |
| Sortino | 1.14 | 1.02 |
| Smart Sortino | 1.09 | 0.99 |
| Sortino/√2 | 0.8 | 0.72 |
| Smart Sortino/√2 | 0.77 | 0.7 |
| Omega | 1.19 | 1.17 |
| Max Drawdown | -4.49% | -4.37% |
| Max DD Date | 2026-06-10 | 2026-06-10 |
| Max DD Period Start | 2026-06-03 | 2026-06-03 |
| Max DD Period End | 2026-07-31 | 2026-07-31 |
| Longest DD Days | 59 | 83 |
| Volatility (ann.) | 12.4% | 12.47% |
| R^2 | 0.99 | 0.99 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.95 | 2.8 |
| Skew | -0.15 | -0.18 |
| Kurtosis | 0.59 | 0.61 |
| Ulcer Performance Index | 3.89 | 3.4 |
| Risk-Adjusted Return | 13.27% | 12.74% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.05% | 0.05% |
| Avg. Win | 0.68% | 0.69% |
| Avg. Loss | -0.6% | -0.6% |
| Win/Loss Ratio | 1.15 | 1.14 |
| Profit Ratio | 1.15 | 0.94 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 0.9% | 0.83% |
| Expected Yearly | 6.48% | 5.99% |
| Kelly Criterion | 7.1% | 6.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.24% |
| Expected Shortfall (cVaR) | -1.63% | -1.7% |
| Max Consecutive Wins | 4 | 4 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.19 | 0.17 |
| Gain/Pain (1M) | 3.26 | 2.26 |
| Payoff Ratio | 1.15 | 1.14 |
| Profit Factor | 1.19 | 1.17 |
| Common Sense Ratio | 1.47 | 1.46 |
| CPC Index | 0.69 | 0.67 |
| Tail Ratio | 1.23 | 1.24 |
| Outlier Win Ratio | 2.66 | 2.77 |
| Outlier Loss Ratio | 3.07 | 3.08 |
| MTD | 1.47% | 1.59% |
| 3M | 1.46% | 0.84% |
| 6M | 6.48% | 5.99% |
| YTD | 6.48% | 5.99% |
| 1Y | 6.48% | 5.99% |
| 3Y (ann.) | 13.27% | 12.23% |
| 5Y (ann.) | 13.27% | 12.23% |
| 10Y (ann.) | 13.27% | 12.23% |
| All-time (ann.) | 13.27% | 12.23% |
| Best Day | 1.8% | 1.79% |
| Worst Day | -2.58% | -2.63% |
| Best Month | 4.52% | 4.68% |
| Worst Month | -1.03% | -1.03% |
| Best Year | 6.48% | 5.99% |
| Worst Year | 6.48% | 5.99% |
| Avg. Drawdown | -1.57% | -1.62% |
| Avg. Drawdown Days | 17 | 22 |
| Recovery Factor | 1.48 | 1.42 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.91 | 0.76 |
| Avg. Up Month | 2.89% | 3.0% |
| Avg. Down Month | -0.75% | -0.98% |
| Win Days | 50.39% | 50.41% |
| Win Month | 57.14% | 42.86% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.0 |
| Alpha | - | -0.01 |
| Correlation | - | 99.55% |
| Treynor Ratio | - | 5.98% |
| Year | SPY | PSPAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 5.99 | 0.92 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-07-31 | -4.37 | 59 |
| 2026-08-14 | 2026-11-04 | -3.71 | 83 |
| 2026-05-15 | 2026-05-22 | -1.95 | 8 |
| 2026-08-10 | 2026-08-12 | -0.44 | 3 |
| 2026-05-07 | 2026-05-07 | -0.36 | 1 |
| 2026-08-05 | 2026-08-06 | -0.35 | 2 |
| 2026-05-12 | 2026-05-12 | -0.18 | 1 |