| Metric | SPY | ASCLX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 206.56% | 83.01% |
| CAGR﹪ | 16.34% | 8.51% |
| Sharpe | 0.73 | 0.59 |
| Prob. Sharpe Ratio | 97.51% | 94.29% |
| Smart Sharpe | 0.63 | 0.49 |
| Sortino | 1.03 | 0.81 |
| Smart Sortino | 0.89 | 0.68 |
| Sortino/√2 | 0.73 | 0.57 |
| Smart Sortino/√2 | 0.63 | 0.48 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -33.72% | -18.48% |
| 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 | 2020-08-07 |
| Longest DD Days | 707 | 752 |
| Volatility (ann.) | 19.45% | 9.79% |
| R^2 | 0.92 | 0.92 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.46 |
| Skew | -0.29 | -0.77 |
| Kurtosis | 13.94 | 12.8 |
| Ulcer Performance Index | 26.17 | 16.41 |
| Risk-Adjusted Return | 16.34% | 9.25% |
| Risk-Return Ratio | 0.06 | 0.06 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.88% | 0.45% |
| Avg. Loss | -0.93% | -0.49% |
| Win/Loss Ratio | 0.94 | 0.93 |
| Profit Ratio | 0.78 | 0.54 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.67% |
| Expected Yearly | 15.03% | 7.85% |
| Kelly Criterion | 7.4% | 8.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.98% |
| Expected Shortfall (cVaR) | -3.2% | -1.62% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.18 |
| Gain/Pain (1M) | 1.16 | 1.09 |
| Payoff Ratio | 0.94 | 0.93 |
| Profit Factor | 1.18 | 1.18 |
| Common Sense Ratio | 1.13 | 1.09 |
| CPC Index | 0.61 | 0.61 |
| Tail Ratio | 0.96 | 0.93 |
| Outlier Win Ratio | 3.69 | 3.78 |
| Outlier Loss Ratio | 4.11 | 3.78 |
| 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.) | 16.34% | 8.51% |
| All-time (ann.) | 16.34% | 8.51% |
| Best Day | 10.5% | 4.93% |
| Worst Day | -10.94% | -6.06% |
| Best Month | 12.7% | 5.5% |
| Worst Month | -12.49% | -5.86% |
| Best Year | 28.73% | 17.31% |
| Worst Year | -18.18% | -10.81% |
| Avg. Drawdown | -1.79% | -1.2% |
| Avg. Drawdown Days | 16 | 19 |
| Recovery Factor | 3.74 | 3.46 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.04 | 0.7 |
| Avg. Up Month | 4.06% | 2.12% |
| Avg. Down Month | -3.66% | -1.92% |
| Win Days | 55.18% | 55.98% |
| Win Month | 65.56% | 64.44% |
| Win Quarter | 77.42% | 74.19% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.48 |
| Alpha | - | 0.0 |
| Correlation | - | 95.88% |
| Treynor Ratio | - | 172.07% |
| Year | SPY | ASCLX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 9.16 | 0.56 | - |
| 2020 | 18.33 | 9.05 | 0.49 | - |
| 2021 | 28.73 | 16.46 | 0.57 | - |
| 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 |
|---|---|---|---|
| 2020-02-20 | 2020-08-07 | -18.48 | 170 |
| 2022-01-05 | 2024-01-26 | -13.26 | 752 |
| 2025-02-20 | 2025-07-16 | -8.07 | 147 |
| 2020-09-03 | 2020-11-30 | -5.74 | 89 |
| 2024-07-17 | 2024-08-29 | -5.23 | 44 |
| 2026-02-10 | 2026-04-16 | -3.81 | 66 |
| 2019-07-29 | 2019-10-25 | -3.73 | 89 |
| 2024-04-01 | 2024-05-09 | -3.30 | 39 |
| 2024-12-09 | 2025-01-21 | -2.98 | 44 |
| 2021-09-03 | 2021-10-15 | -2.96 | 43 |