| Metric | SPY | CAOS |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 14.39% | 1.33% |
| CAGR﹪ | 14.51% | 1.34% |
| Sharpe | 0.83 | -1.37 |
| Prob. Sharpe Ratio | 79.61% | 9.09% |
| Smart Sharpe | 0.82 | -1.15 |
| Sortino | 1.22 | -1.93 |
| Smart Sortino | 1.2 | -1.61 |
| Sortino/√2 | 0.86 | -1.37 |
| Smart Sortino/√2 | 0.85 | -1.14 |
| Omega | 1.2 | 1.16 |
| Max Drawdown | -8.88% | -0.76% |
| Max DD Date | 2026-03-30 | 2026-01-02 |
| Max DD Period Start | 2026-01-28 | 2025-11-12 |
| Max DD Period End | 2026-04-13 | 2026-01-16 |
| Longest DD Days | 76 | 211 |
| Volatility (ann.) | 12.86% | 1.7% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.63 | 1.77 |
| Skew | -0.02 | 0.5 |
| Kurtosis | 0.78 | 2.76 |
| Ulcer Performance Index | 6.68 | 3.43 |
| Risk-Adjusted Return | 14.51% | 1.41% |
| Risk-Return Ratio | 0.07 | 0.05 |
| Avg. Return | 0.05% | 0.01% |
| Avg. Win | 0.59% | 0.08% |
| Avg. Loss | -0.41% | -0.07% |
| Win/Loss Ratio | 1.44 | 1.18 |
| Profit Ratio | 1.02 | 1.05 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.04% | 0.1% |
| Expected Yearly | 6.95% | 0.66% |
| Kelly Criterion | 18.67% | 4.88% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.17% |
| Expected Shortfall (cVaR) | -1.66% | -0.25% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.16 |
| Gain/Pain (1M) | 1.83 | 1.25 |
| Payoff Ratio | 1.44 | 1.18 |
| Profit Factor | 1.2 | 1.16 |
| Common Sense Ratio | 1.19 | 1.54 |
| CPC Index | 0.9 | 0.66 |
| Tail Ratio | 0.99 | 1.33 |
| Outlier Win Ratio | 2.84 | 4.4 |
| Outlier Loss Ratio | 3.01 | 4.22 |
| MTD | 1.47% | -0.3% |
| 3M | 1.46% | 0.88% |
| 6M | 6.94% | 0.73% |
| YTD | 13.33% | 1.64% |
| 1Y | 14.39% | 1.33% |
| 3Y (ann.) | 14.51% | 1.34% |
| 5Y (ann.) | 14.51% | 1.34% |
| 10Y (ann.) | 14.51% | 1.34% |
| All-time (ann.) | 14.51% | 1.34% |
| Best Day | 2.91% | 0.42% |
| Worst Day | -2.58% | -0.33% |
| Best Month | 10.51% | 1.07% |
| Worst Month | -4.94% | -0.3% |
| Best Year | 13.33% | 1.64% |
| Worst Year | 0.94% | -0.3% |
| Avg. Drawdown | -1.74% | -0.38% |
| Avg. Drawdown Days | 14 | 42 |
| Recovery Factor | 1.61 | 1.77 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.94 | 0.54 |
| Avg. Up Month | 0.75% | 0.36% |
| Avg. Down Month | -1.03% | -0.12% |
| Win Days | 52.0% | 48.52% |
| Win Month | 61.54% | 46.15% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | -0.04 |
| Alpha | - | 0.02 |
| Correlation | - | -31.17% |
| Treynor Ratio | - | -32.27% |
| Year | SPY | CAOS | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -0.30 | -0.32 | - |
| 2026 | 13.33 | 1.64 | 0.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-11-12 | 2026-01-16 | -0.76 | 66 |
| 2026-03-09 | 2026-10-05 | -0.65 | 211 |
| 2026-10-07 | 2026-10-12 | -0.45 | 6 |
| 2026-10-19 | 2026-10-29 | -0.35 | 11 |
| 2026-03-04 | 2026-03-04 | -0.30 | 1 |
| 2026-11-02 | 2026-11-04 | -0.30 | 3 |
| 2026-01-21 | 2026-02-27 | -0.23 | 38 |
| 2025-11-07 | 2025-11-07 | -0.01 | 1 |