| Metric | SPY | PSPAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 206.09% | 204.11% |
| CAGR﹪ | 16.33% | 16.23% |
| Sharpe | 0.73 | 0.7 |
| Prob. Sharpe Ratio | 97.49% | 97.12% |
| Smart Sharpe | 0.63 | 0.62 |
| Sortino | 1.02 | 1.0 |
| Smart Sortino | 0.88 | 0.87 |
| Sortino/√2 | 0.72 | 0.71 |
| Smart Sortino/√2 | 0.63 | 0.62 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -33.72% | -36.44% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-20 |
| Max DD Period End | 2020-08-07 | 2020-08-11 |
| Longest DD Days | 708 | 753 |
| Volatility (ann.) | 19.46% | 20.2% |
| R^2 | 0.95 | 0.95 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.48 | 0.45 |
| Skew | -0.29 | -0.2 |
| Kurtosis | 13.92 | 15.58 |
| Ulcer Performance Index | 26.04 | 21.87 |
| Risk-Adjusted Return | 16.33% | 17.08% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.07% | 0.07% |
| Avg. Win | 0.83% | 0.86% |
| Avg. Loss | -0.87% | -0.9% |
| Win/Loss Ratio | 0.95 | 0.96 |
| Profit Ratio | 0.78 | 0.65 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.25% | 1.24% |
| Expected Yearly | 15.01% | 14.92% |
| Kelly Criterion | 8.11% | 8.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -2.03% |
| Expected Shortfall (cVaR) | -3.2% | -3.37% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.18 |
| Gain/Pain (1M) | 1.16 | 1.05 |
| Payoff Ratio | 0.95 | 0.96 |
| Profit Factor | 1.18 | 1.18 |
| Common Sense Ratio | 1.13 | 1.13 |
| CPC Index | 0.62 | 0.62 |
| Tail Ratio | 0.96 | 0.96 |
| Outlier Win Ratio | 3.69 | 3.89 |
| Outlier Loss Ratio | 4.11 | 3.9 |
| 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.) | 16.33% | 16.23% |
| All-time (ann.) | 16.33% | 16.23% |
| Best Day | 10.5% | 9.72% |
| Worst Day | -10.94% | -12.06% |
| Best Month | 12.7% | 14.11% |
| Worst Month | -12.49% | -14.65% |
| Best Year | 28.73% | 27.4% |
| Worst Year | -18.18% | -21.55% |
| Avg. Drawdown | -1.79% | -1.93% |
| Avg. Drawdown Days | 16 | 17 |
| Recovery Factor | 3.74 | 3.47 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 1.03 | 0.8 |
| Avg. Up Month | 4.13% | 4.35% |
| Avg. Down Month | -3.78% | -4.15% |
| Win Days | 55.21% | 55.03% |
| Win Month | 65.56% | 64.44% |
| Win Quarter | 77.42% | 77.42% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 1.01 |
| Alpha | - | -0.0 |
| Correlation | - | 97.51% |
| Treynor Ratio | - | 201.58% |
| Year | SPY | PSPAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 27.02 | 1.65 | + |
| 2020 | 18.33 | 18.16 | 0.99 | - |
| 2021 | 28.73 | 27.40 | 0.95 | - |
| 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 |
|---|---|---|---|
| 2020-02-20 | 2020-08-11 | -36.44 | 174 |
| 2022-01-04 | 2024-01-26 | -27.60 | 753 |
| 2025-02-20 | 2025-06-27 | -20.25 | 128 |
| 2020-09-03 | 2020-11-12 | -9.64 | 71 |
| 2026-01-29 | 2026-04-14 | -9.40 | 76 |
| 2024-07-17 | 2024-09-18 | -8.77 | 64 |
| 2019-07-29 | 2019-10-24 | -6.21 | 88 |
| 2024-04-01 | 2024-05-14 | -5.54 | 44 |
| 2024-12-12 | 2025-02-18 | -5.29 | 69 |
| 2021-09-07 | 2021-10-20 | -5.27 | 44 |