| Metric | SPY | ASCLX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 75.9% | 32.63% |
| CAGR﹪ | 12.04% | 5.85% |
| Sharpe | 0.52 | 0.27 |
| Prob. Sharpe Ratio | 87.89% | 72.62% |
| Smart Sharpe | 0.51 | 0.27 |
| Sortino | 0.75 | 0.37 |
| Smart Sortino | 0.73 | 0.37 |
| Sortino/√2 | 0.53 | 0.26 |
| Smart Sortino/√2 | 0.52 | 0.26 |
| Omega | 1.14 | 1.14 |
| Max Drawdown | -24.5% | -13.26% |
| Max DD Date | 2022-10-12 | 2023-03-13 |
| Max DD Period Start | 2022-01-04 | 2022-01-05 |
| Max DD Period End | 2023-12-11 | 2024-01-26 |
| Longest DD Days | 707 | 752 |
| Volatility (ann.) | 17.19% | 7.9% |
| R^2 | 0.88 | 0.88 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.44 |
| Skew | 0.33 | -0.34 |
| Kurtosis | 8.98 | 1.8 |
| Ulcer Performance Index | 9.0 | 5.87 |
| Risk-Adjusted Return | 12.04% | 6.36% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.85% | 0.41% |
| Avg. Loss | -0.88% | -0.43% |
| Win/Loss Ratio | 0.97 | 0.96 |
| Profit Ratio | 0.86 | 0.58 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 0.93% | 0.46% |
| Expected Yearly | 9.87% | 4.82% |
| Kelly Criterion | 5.44% | 6.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.79% |
| Expected Shortfall (cVaR) | -2.58% | -1.12% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.14 |
| Gain/Pain (1M) | 0.8 | 0.73 |
| Payoff Ratio | 0.97 | 0.96 |
| Profit Factor | 1.14 | 1.14 |
| Common Sense Ratio | 1.15 | 1.03 |
| CPC Index | 0.59 | 0.59 |
| Tail Ratio | 1.0 | 0.91 |
| Outlier Win Ratio | 3.4 | 3.34 |
| Outlier Loss Ratio | 3.8 | 3.46 |
| MTD | 1.47% | 0.86% |
| 3M | 1.46% | 0.16% |
| 6M | 6.94% | 3.46% |
| YTD | 13.33% | 5.41% |
| 1Y | 13.43% | 5.68% |
| 3Y (ann.) | 20.78% | 11.53% |
| 5Y (ann.) | 12.99% | 6.36% |
| 10Y (ann.) | 12.04% | 5.85% |
| All-time (ann.) | 12.04% | 5.85% |
| Best Day | 10.5% | 2.44% |
| Worst Day | -5.85% | -2.01% |
| Best Month | 10.51% | 4.07% |
| Worst Month | -9.24% | -4.39% |
| Best Year | 26.83% | 17.31% |
| Worst Year | -18.18% | -10.81% |
| Avg. Drawdown | -1.94% | -1.24% |
| Avg. Drawdown Days | 21 | 24 |
| Recovery Factor | 2.6 | 2.25 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 0.43 | 0.23 |
| Avg. Up Month | 3.88% | 1.9% |
| Avg. Down Month | -3.53% | -1.77% |
| Win Days | 53.52% | 54.46% |
| Win Month | 62.3% | 60.66% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.43 |
| Alpha | - | 0.0 |
| Correlation | - | 94.03% |
| Treynor Ratio | - | 75.54% |
| Year | SPY | ASCLX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.47 | 0.27 | - |
| 2022 | -18.18 | -10.81 | 0.59 | + |
| 2023 | 26.83 | 10.12 | 0.38 | - |
| 2024 | 24.89 | 17.31 | 0.70 | - |
| 2025 | 17.72 | 8.69 | 0.49 | - |
| 2026 | 13.33 | 5.41 | 0.41 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2024-01-26 | -13.26 | 752 |
| 2025-02-20 | 2025-07-16 | -8.07 | 147 |
| 2024-07-17 | 2024-08-29 | -5.23 | 44 |
| 2026-02-10 | 2026-04-16 | -3.81 | 66 |
| 2024-04-01 | 2024-05-09 | -3.30 | 39 |
| 2024-12-09 | 2025-01-21 | -2.98 | 44 |
| 2024-09-03 | 2024-09-18 | -2.90 | 16 |
| 2021-11-17 | 2021-12-14 | -2.74 | 28 |
| 2025-11-13 | 2025-12-09 | -2.29 | 27 |
| 2026-06-03 | 2026-07-09 | -2.12 | 37 |