| Metric | SPY | CAOS |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 98.76% | 18.55% |
| CAGR﹪ | 20.68% | 4.77% |
| Sharpe | 1.03 | 0.02 |
| Prob. Sharpe Ratio | 97.72% | 51.35% |
| Smart Sharpe | 0.97 | 0.01 |
| Sortino | 1.52 | 0.03 |
| Smart Sortino | 1.44 | 0.02 |
| Sortino/√2 | 1.08 | 0.02 |
| Smart Sortino/√2 | 1.02 | 0.01 |
| Omega | 1.28 | 1.36 |
| Max Drawdown | -18.76% | -3.6% |
| Max DD Date | 2025-04-08 | 2025-05-09 |
| Max DD Period Start | 2025-02-20 | 2025-04-09 |
| Max DD Period End | 2025-06-25 | 2026-10-15 |
| Longest DD Days | 126 | 555 |
| Volatility (ann.) | 14.81% | 4.05% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.1 | 1.33 |
| Skew | 0.83 | -0.48 |
| Kurtosis | 19.71 | 36.52 |
| Ulcer Performance Index | 30.39 | 14.29 |
| Risk-Adjusted Return | 20.68% | 4.86% |
| Risk-Return Ratio | 0.08 | 0.07 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.65% | 0.15% |
| Avg. Loss | -0.55% | -0.15% |
| Win/Loss Ratio | 1.19 | 0.98 |
| Profit Ratio | 0.77 | 0.95 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.54% | 0.38% |
| Expected Yearly | 18.74% | 4.35% |
| Kelly Criterion | 19.24% | 5.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.46% | -0.4% |
| Expected Shortfall (cVaR) | -2.1% | -0.79% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.28 | 0.36 |
| Gain/Pain (1M) | 2.4 | 6.32 |
| Payoff Ratio | 1.19 | 0.98 |
| Profit Factor | 1.28 | 1.36 |
| Common Sense Ratio | 1.27 | 1.73 |
| CPC Index | 0.85 | 0.71 |
| Tail Ratio | 1.0 | 1.27 |
| Outlier Win Ratio | 3.21 | 6.05 |
| Outlier Loss Ratio | 3.48 | 5.92 |
| MTD | 1.47% | -0.3% |
| 3M | 1.46% | 0.88% |
| 6M | 6.94% | 0.73% |
| YTD | 13.33% | 1.64% |
| 1Y | 13.43% | 1.55% |
| 3Y (ann.) | 20.78% | 3.35% |
| 5Y (ann.) | 20.68% | 4.77% |
| 10Y (ann.) | 20.68% | 4.77% |
| All-time (ann.) | 20.68% | 4.77% |
| Best Day | 10.5% | 1.97% |
| Worst Day | -5.85% | -3.01% |
| Best Month | 10.51% | 2.44% |
| Worst Month | -5.57% | -1.18% |
| Best Year | 24.89% | 7.97% |
| Worst Year | 13.33% | 1.64% |
| Avg. Drawdown | -1.68% | -0.36% |
| Avg. Drawdown Days | 13 | 15 |
| Recovery Factor | 3.88 | 4.82 |
| Ulcer Index | 0.03 | 0.01 |
| Serenity Index | 2.26 | 1.16 |
| Avg. Up Month | 3.38% | 0.64% |
| Avg. Down Month | -2.77% | -0.45% |
| Win Days | 56.2% | 53.39% |
| Win Month | 68.89% | 75.56% |
| Win Quarter | 81.25% | 93.75% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.04 |
| Alpha | - | 0.06 |
| Correlation | - | -14.6% |
| Treynor Ratio | - | -464.66% |
| Year | SPY | CAOS | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 19.30 | 7.97 | 0.41 | - |
| 2024 | 24.89 | 5.33 | 0.21 | - |
| 2025 | 17.72 | 2.55 | 0.14 | - |
| 2026 | 13.33 | 1.64 | 0.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-04-09 | 2026-10-15 | -3.60 | 555 |
| 2023-03-07 | 2023-03-30 | -3.41 | 24 |
| 2024-08-06 | 2024-11-12 | -2.07 | 99 |
| 2023-05-02 | 2023-05-16 | -1.62 | 15 |
| 2023-10-18 | 2023-11-01 | -1.52 | 15 |
| 2023-04-19 | 2023-04-27 | -1.31 | 9 |
| 2023-09-18 | 2023-10-10 | -1.22 | 23 |
| 2024-04-12 | 2024-05-21 | -1.21 | 40 |
| 2023-05-23 | 2023-05-25 | -0.89 | 3 |
| 2023-08-15 | 2023-09-08 | -0.83 | 25 |