| Metric | SPY | CAOS |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 6.48% | 0.81% |
| CAGR﹪ | 13.27% | 1.62% |
| Sharpe | 0.78 | -1.15 |
| Prob. Sharpe Ratio | 70.87% | 21.29% |
| Smart Sharpe | 0.75 | -0.89 |
| Sortino | 1.14 | -1.66 |
| Smart Sortino | 1.09 | -1.28 |
| Sortino/√2 | 0.8 | -1.18 |
| Smart Sortino/√2 | 0.77 | -0.91 |
| Omega | 1.19 | 1.19 |
| Max Drawdown | -4.49% | -0.45% |
| Max DD Date | 2026-06-10 | 2026-10-08 |
| Max DD Period Start | 2026-06-03 | 2026-10-07 |
| Max DD Period End | 2026-07-31 | 2026-10-12 |
| Longest DD Days | 59 | 74 |
| Volatility (ann.) | 12.4% | 1.72% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.95 | 3.6 |
| Skew | -0.15 | 0.67 |
| Kurtosis | 0.59 | 3.22 |
| Ulcer Performance Index | 3.89 | 3.17 |
| Risk-Adjusted Return | 13.27% | 1.7% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.04% | 0.01% |
| Avg. Win | 0.55% | 0.09% |
| Avg. Loss | -0.44% | -0.07% |
| Win/Loss Ratio | 1.26 | 1.29 |
| Profit Ratio | 1.15 | 1.02 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 0.9% | 0.12% |
| Expected Yearly | 6.48% | 0.81% |
| Kelly Criterion | 10.87% | 9.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.17% |
| Expected Shortfall (cVaR) | -1.63% | -0.26% |
| Max Consecutive Wins | 4 | 4 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | 0.19 |
| Gain/Pain (1M) | 3.26 | 1.64 |
| Payoff Ratio | 1.26 | 1.29 |
| Profit Factor | 1.19 | 1.19 |
| Common Sense Ratio | 1.47 | 1.7 |
| CPC Index | 0.75 | 0.75 |
| Tail Ratio | 1.23 | 1.43 |
| Outlier Win Ratio | 2.66 | 4.87 |
| Outlier Loss Ratio | 3.07 | 3.92 |
| MTD | 1.47% | -0.3% |
| 3M | 1.46% | 0.88% |
| 6M | 6.48% | 0.81% |
| YTD | 6.48% | 0.81% |
| 1Y | 6.48% | 0.81% |
| 3Y (ann.) | 13.27% | 1.62% |
| 5Y (ann.) | 13.27% | 1.62% |
| 10Y (ann.) | 13.27% | 1.62% |
| All-time (ann.) | 13.27% | 1.62% |
| Best Day | 1.8% | 0.42% |
| Worst Day | -2.58% | -0.33% |
| Best Month | 4.52% | 1.07% |
| Worst Month | -1.03% | -0.3% |
| Best Year | 6.48% | 0.81% |
| Worst Year | 6.48% | 0.81% |
| Avg. Drawdown | -1.57% | -0.33% |
| Avg. Drawdown Days | 17 | 26 |
| Recovery Factor | 1.48 | 1.81 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.91 | 0.78 |
| Avg. Up Month | 0.03% | 0.11% |
| Avg. Down Month | -1.03% | -0.12% |
| Win Days | 50.39% | 49.17% |
| Win Month | 57.14% | 42.86% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.04 |
| Alpha | - | 0.02 |
| Correlation | - | -27.72% |
| Treynor Ratio | - | -21.13% |
| Year | SPY | CAOS | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 0.81 | 0.13 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-10-07 | 2026-10-12 | -0.45 | 6 |
| 2026-07-21 | 2026-10-02 | -0.44 | 74 |
| 2026-05-18 | 2026-07-17 | -0.41 | 61 |
| 2026-10-19 | 2026-10-29 | -0.35 | 11 |
| 2026-11-02 | 2026-11-04 | -0.30 | 3 |
| 2026-05-11 | 2026-05-14 | -0.02 | 4 |