| Metric | SPY | ASCLX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 87.55% | 38.46% |
| CAGR﹪ | 13.49% | 6.77% |
| Sharpe | 0.6 | 0.39 |
| Prob. Sharpe Ratio | 91.08% | 80.46% |
| Smart Sharpe | 0.58 | 0.38 |
| Sortino | 0.87 | 0.53 |
| Smart Sortino | 0.84 | 0.52 |
| Sortino/√2 | 0.61 | 0.38 |
| Smart Sortino/√2 | 0.59 | 0.37 |
| Omega | 1.16 | 1.16 |
| 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.) | 17.21% | 7.94% |
| R^2 | 0.88 | 0.88 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.55 | 0.51 |
| Skew | 0.32 | -0.36 |
| Kurtosis | 8.94 | 1.75 |
| Ulcer Performance Index | 10.38 | 6.92 |
| Risk-Adjusted Return | 13.49% | 7.36% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.84% | 0.41% |
| Avg. Loss | -0.88% | -0.43% |
| Win/Loss Ratio | 0.95 | 0.95 |
| Profit Ratio | 0.83 | 0.56 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.53% |
| Expected Yearly | 11.05% | 5.57% |
| Kelly Criterion | 5.99% | 7.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.8% |
| Expected Shortfall (cVaR) | -2.58% | -1.12% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.16 | 0.16 |
| Gain/Pain (1M) | 0.88 | 0.84 |
| Payoff Ratio | 0.95 | 0.95 |
| Profit Factor | 1.16 | 1.16 |
| Common Sense Ratio | 1.17 | 1.06 |
| CPC Index | 0.6 | 0.6 |
| Tail Ratio | 1.01 | 0.91 |
| Outlier Win Ratio | 3.41 | 3.33 |
| Outlier Loss Ratio | 3.77 | 3.41 |
| MTD | 1.08% | 0.39% |
| 3M | 3.82% | 1.74% |
| 6M | 19.85% | 7.77% |
| YTD | 14.3% | 5.74% |
| 1Y | 17.78% | 7.01% |
| 3Y (ann.) | 24.86% | 13.15% |
| 5Y (ann.) | 13.19% | 6.34% |
| 10Y (ann.) | 13.49% | 6.77% |
| All-time (ann.) | 13.49% | 6.77% |
| Best Day | 10.5% | 2.44% |
| Worst Day | -5.85% | -2.01% |
| Best Month | 10.51% | 4.65% |
| Worst Month | -9.24% | -4.39% |
| Best Year | 26.83% | 17.31% |
| Worst Year | -18.18% | -10.81% |
| Avg. Drawdown | -1.89% | -1.24% |
| Avg. Drawdown Days | 20 | 23 |
| Recovery Factor | 2.87 | 2.57 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 0.48 | 0.27 |
| Avg. Up Month | 3.95% | 1.96% |
| Avg. Down Month | -3.69% | -1.84% |
| Win Days | 54.08% | 55.12% |
| Win Month | 63.93% | 62.3% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.43 |
| Alpha | - | 0.01 |
| Correlation | - | 94.01% |
| Treynor Ratio | - | 88.6% |
| Year | SPY | ASCLX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 4.56 | 0.60 | - |
| 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 | 14.30 | 5.74 | 0.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2024-01-26 | -13.26 | 752 |
| 2025-02-20 | 2025-07-22 | -8.07 | 153 |
| 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 |