| Metric | SPY | CLAAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 18.9% | 8.17% |
| CAGR﹪ | 19.4% | 8.38% |
| Sharpe | 1.13 | 1.0 |
| Prob. Sharpe Ratio | 86.65% | 83.92% |
| Smart Sharpe | 1.1 | 0.9 |
| Sortino | 1.65 | 1.51 |
| Smart Sortino | 1.6 | 1.35 |
| Sortino/√2 | 1.17 | 1.07 |
| Smart Sortino/√2 | 1.13 | 0.96 |
| Omega | 1.27 | 1.38 |
| Max Drawdown | -8.88% | -2.31% |
| Max DD Date | 2026-03-30 | 2025-12-17 |
| Max DD Period Start | 2026-01-28 | 2025-09-25 |
| Max DD Period End | 2026-04-13 | 2026-01-08 |
| Longest DD Days | 76 | 106 |
| Volatility (ann.) | 12.88% | 4.13% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.18 | 3.62 |
| Skew | -0.17 | 0.05 |
| Kurtosis | 1.16 | 0.8 |
| Ulcer Performance Index | 9.01 | 9.79 |
| Risk-Adjusted Return | 19.4% | 8.92% |
| Risk-Return Ratio | 0.09 | 0.12 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.6% | 0.24% |
| Avg. Loss | -0.72% | -0.19% |
| Win/Loss Ratio | 0.83 | 1.25 |
| Profit Ratio | 0.92 | 0.79 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.34% | 0.61% |
| Expected Yearly | 9.04% | 4.01% |
| Kelly Criterion | -1.23% | 17.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.4% |
| Expected Shortfall (cVaR) | -1.74% | -0.56% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.27 | 0.38 |
| Gain/Pain (1M) | 3.13 | 3.73 |
| Payoff Ratio | 0.83 | 1.25 |
| Profit Factor | 1.27 | 1.38 |
| Common Sense Ratio | 1.25 | 1.6 |
| CPC Index | 0.57 | 0.93 |
| Tail Ratio | 0.98 | 1.16 |
| Outlier Win Ratio | 2.92 | 3.5 |
| Outlier Loss Ratio | 3.24 | 2.8 |
| MTD | 1.08% | 3.12% |
| 3M | 4.73% | 3.94% |
| 6M | 20.89% | 4.23% |
| YTD | 15.3% | 9.3% |
| 1Y | 18.9% | 8.17% |
| 3Y (ann.) | 19.4% | 8.38% |
| 5Y (ann.) | 19.4% | 8.38% |
| 10Y (ann.) | 19.4% | 8.38% |
| All-time (ann.) | 19.4% | 8.38% |
| Best Day | 2.91% | 0.88% |
| Worst Day | -2.7% | -0.87% |
| Best Month | 10.51% | 3.12% |
| Worst Month | -4.94% | -1.85% |
| Best Year | 15.3% | 9.3% |
| Worst Year | 3.13% | -1.03% |
| Avg. Drawdown | -1.74% | -0.55% |
| Avg. Drawdown Days | 12 | 15 |
| Recovery Factor | 2.04 | 3.43 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.24 | 1.3 |
| Avg. Up Month | 2.97% | 1.27% |
| Avg. Down Month | - | - |
| Win Days | 54.07% | 54.11% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.08 |
| Correlation | - | 5.75% |
| Treynor Ratio | - | 442.8% |
| Year | SPY | CLAAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -1.03 | -0.33 | - |
| 2026 | 15.30 | 9.30 | 0.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-09-25 | 2026-01-08 | -2.31 | 106 |
| 2026-03-20 | 2026-05-01 | -1.53 | 43 |
| 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 |
| 2026-02-12 | 2026-02-17 | -0.28 | 6 |