TSPX USD[Strategy] vs [Benchmark] ^SP500TR USD

25 Dec, 2020 - 26 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	35.0%	99.0%
Cumulative Return	3.68%	97.81%
CAGR﹪	0.74%	14.86%
Sharpe	-0.43	0.5
Prob. Sharpe Ratio	1.51%	31.42%
Smart Sharpe	-0.4	0.46
Sortino	-0.55	0.7
Smart Sortino	-0.51	0.65
Sortino/√2	-0.39	0.5
Smart Sortino/√2	-0.36	0.46
Omega	0.88	0.88
Max Drawdown	-27.75%	-24.49%
Longest DD Days	1427	708
Volatility (ann.)	12.23%	16.94%
R^2	0.08	0.08
Information Ratio	-0.05	-0.05
Calmar	0.03	0.61
Skew	-4.2	0.14
Kurtosis	82.79	7.11
Expected Daily	0.0%	0.05%
Expected Monthly	0.06%	1.14%
Expected Yearly	0.6%	12.04%
Kelly Criterion	3.84%	7.25%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.26%	-1.7%
Expected Shortfall (cVaR)	-1.26%	-1.7%
Max Consecutive Wins	7	9
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.04	0.17
Gain/Pain (1M)	0.21	0.99
Payoff Ratio	0.88	0.97
Profit Factor	1.04	1.17
Common Sense Ratio	0.95	1.17
CPC Index	0.5	0.62
Tail Ratio	0.91	1.0
Outlier Win Ratio	13.01	3.27
Outlier Loss Ratio	2.55	3.2
MTD	0.0%	-0.29%
3M	0.0%	6.13%
6M	0.0%	18.14%
YTD	0.0%	17.18%
1Y	0.0%	15.27%
3Y (ann.)	0.88%	23.4%
5Y (ann.)	0.74%	14.89%
10Y (ann.)	0.74%	14.86%
All-time (ann.)	0.74%	14.86%
Best Day	5.35%	9.52%
Worst Day	-13.61%	-5.96%
Best Month	5.96%	9.22%
Worst Month	-9.4%	-9.21%
Best Year	26.22%	28.71%
Worst Year	-20.03%	-18.11%
Avg. Drawdown	-2.6%	-1.67%
Avg. Drawdown Days	65	17
Recovery Factor	0.13	3.99
Ulcer Index	0.17	0.08
Serenity Index	-0.01	0.71
Avg. Up Month	3.12%	4.14%
Avg. Down Month	-4.37%	-4.9%
Win Days	54.94%	54.37%
Win Month	65.22%	65.0%
Win Quarter	77.78%	76.19%
Win Year	75.0%	83.33%
Beta	0.21	-
Alpha	-0.02	-
Correlation	28.63%	-
Treynor Ratio	-16.04%	-