| Metric | SPY | CLAAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 15.39% | 8.32% |
| CAGR﹪ | 15.79% | 8.54% |
| Sharpe | 0.93 | 1.09 |
| Prob. Sharpe Ratio | 81.9% | 85.95% |
| Smart Sharpe | 0.92 | 0.97 |
| Sortino | 1.35 | 1.63 |
| Smart Sortino | 1.34 | 1.44 |
| Sortino/√2 | 0.96 | 1.15 |
| Smart Sortino/√2 | 0.95 | 1.02 |
| Omega | 1.22 | 1.38 |
| Max Drawdown | -8.88% | -1.95% |
| Max DD Date | 2026-03-30 | 2025-12-17 |
| Max DD Period Start | 2026-01-28 | 2025-11-11 |
| Max DD Period End | 2026-04-13 | 2026-01-07 |
| Longest DD Days | 76 | 58 |
| Volatility (ann.) | 12.74% | 4.2% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.78 | 4.38 |
| Skew | -0.04 | -0.03 |
| Kurtosis | 0.86 | 0.73 |
| Ulcer Performance Index | 7.33 | 11.25 |
| Risk-Adjusted Return | 15.79% | 9.08% |
| Risk-Return Ratio | 0.08 | 0.12 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.59% | 0.24% |
| Avg. Loss | -0.68% | -0.2% |
| Win/Loss Ratio | 0.86 | 1.22 |
| Profit Ratio | 1.0 | 0.67 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.11% | 0.62% |
| Expected Yearly | 7.42% | 4.08% |
| Kelly Criterion | -2.85% | 20.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.4% |
| Expected Shortfall (cVaR) | -1.67% | -0.54% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.22 | 0.38 |
| Gain/Pain (1M) | 2.18 | 3.26 |
| Payoff Ratio | 0.86 | 1.22 |
| Profit Factor | 1.22 | 1.38 |
| Common Sense Ratio | 1.2 | 1.39 |
| CPC Index | 0.55 | 0.94 |
| Tail Ratio | 0.98 | 1.0 |
| Outlier Win Ratio | 2.88 | 3.58 |
| Outlier Loss Ratio | 3.04 | 2.64 |
| MTD | 1.47% | -0.33% |
| 3M | 1.46% | 3.02% |
| 6M | 7.88% | 4.17% |
| YTD | 14.32% | 9.01% |
| 1Y | 15.39% | 8.32% |
| 3Y (ann.) | 15.79% | 8.54% |
| 5Y (ann.) | 15.79% | 8.54% |
| 10Y (ann.) | 15.79% | 8.54% |
| All-time (ann.) | 15.79% | 8.54% |
| Best Day | 2.91% | 0.88% |
| Worst Day | -2.58% | -0.87% |
| Best Month | 10.51% | 3.64% |
| Worst Month | -4.94% | -1.62% |
| Best Year | 14.32% | 9.01% |
| Worst Year | 0.94% | -0.63% |
| Avg. Drawdown | -1.77% | -0.54% |
| Avg. Drawdown Days | 12 | 13 |
| Recovery Factor | 1.7 | 4.14 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.01 | 1.8 |
| Avg. Up Month | 3.47% | 1.15% |
| Avg. Down Month | -0.91% | -0.43% |
| Win Days | 52.44% | 56.09% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.0 |
| Alpha | - | 0.08 |
| Correlation | - | 0.84% |
| Treynor Ratio | - | 3002.66% |
| Year | SPY | CLAAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -0.63 | -0.67 | - |
| 2026 | 14.32 | 9.01 | 0.63 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-11-11 | 2026-01-07 | -1.95 | 58 |
| 2026-03-20 | 2026-05-01 | -1.53 | 43 |
| 2026-10-02 | 2026-11-04 | -1.25 | 34 |
| 2026-08-19 | 2026-09-02 | -1.16 | 15 |
| 2026-06-12 | 2026-07-23 | -1.07 | 42 |
| 2026-03-03 | 2026-03-11 | -0.95 | 9 |
| 2026-01-30 | 2026-02-10 | -0.82 | 12 |
| 2026-05-05 | 2026-05-29 | -0.69 | 25 |
| 2026-07-27 | 2026-08-10 | -0.68 | 15 |
| 2026-02-20 | 2026-02-27 | -0.32 | 8 |