| Metric | SPY | CLAAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 76.51% | 27.06% |
| CAGR﹪ | 12.15% | 4.95% |
| Sharpe | 0.53 | 0.24 |
| Prob. Sharpe Ratio | 88.12% | 70.08% |
| Smart Sharpe | 0.51 | 0.22 |
| Sortino | 0.76 | 0.33 |
| Smart Sortino | 0.74 | 0.31 |
| Sortino/√2 | 0.54 | 0.23 |
| Smart Sortino/√2 | 0.52 | 0.22 |
| Omega | 1.14 | 1.2 |
| Max Drawdown | -24.5% | -3.43% |
| Max DD Date | 2022-10-12 | 2023-05-25 |
| Max DD Period Start | 2022-01-04 | 2022-10-17 |
| Max DD Period End | 2023-12-12 | 2023-09-07 |
| Longest DD Days | 708 | 326 |
| Volatility (ann.) | 17.18% | 4.51% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.5 | 1.45 |
| Skew | 0.33 | -0.33 |
| Kurtosis | 9.03 | 2.77 |
| Ulcer Performance Index | 9.03 | 21.03 |
| Risk-Adjusted Return | 12.15% | 5.21% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.67% | 0.23% |
| Avg. Loss | -0.79% | -0.22% |
| Win/Loss Ratio | 0.86 | 1.05 |
| Profit Ratio | 0.85 | 0.75 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 0.94% | 0.39% |
| Expected Yearly | 9.93% | 4.07% |
| Kelly Criterion | -0.54% | 8.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.45% |
| Expected Shortfall (cVaR) | -2.58% | -0.7% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.2 |
| Gain/Pain (1M) | 0.81 | 1.31 |
| Payoff Ratio | 0.86 | 1.05 |
| Profit Factor | 1.14 | 1.2 |
| Common Sense Ratio | 1.15 | 1.41 |
| CPC Index | 0.53 | 0.67 |
| Tail Ratio | 1.01 | 1.17 |
| Outlier Win Ratio | 3.41 | 3.24 |
| Outlier Loss Ratio | 3.8 | 3.62 |
| MTD | 1.47% | -0.33% |
| 3M | 1.46% | 3.02% |
| 6M | 7.88% | 4.17% |
| YTD | 14.32% | 9.01% |
| 1Y | 14.42% | 7.89% |
| 3Y (ann.) | 21.27% | 8.49% |
| 5Y (ann.) | 13.1% | 5.54% |
| 10Y (ann.) | 12.15% | 4.95% |
| All-time (ann.) | 12.15% | 4.95% |
| Best Day | 10.5% | 1.65% |
| Worst Day | -5.85% | -1.6% |
| Best Month | 10.51% | 3.64% |
| Worst Month | -9.24% | -2.32% |
| Best Year | 26.18% | 9.01% |
| Worst Year | -18.18% | -1.11% |
| Avg. Drawdown | -1.94% | -0.69% |
| Avg. Drawdown Days | 20 | 25 |
| Recovery Factor | 2.62 | 7.14 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.43 | 2.01 |
| Avg. Up Month | 4.47% | 1.11% |
| Avg. Down Month | -3.78% | -1.05% |
| Win Days | 53.57% | 53.34% |
| Win Month | 62.3% | 65.57% |
| Win Quarter | 71.43% | 61.9% |
| Win Year | 83.33% | 66.67% |
| Beta | - | -0.01 |
| Alpha | - | 0.05 |
| Correlation | - | -4.82% |
| Treynor Ratio | - | -2137.59% |
| Year | SPY | CLAAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -1.11 | -0.64 | - |
| 2022 | -18.18 | -0.41 | 0.02 | + |
| 2023 | 26.18 | 3.41 | 0.13 | - |
| 2024 | 24.89 | 6.93 | 0.28 | - |
| 2025 | 17.72 | 7.03 | 0.40 | - |
| 2026 | 14.32 | 9.01 | 0.63 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-17 | 2023-09-07 | -3.43 | 326 |
| 2025-04-03 | 2025-06-09 | -3.38 | 68 |
| 2024-03-28 | 2024-12-10 | -3.16 | 258 |
| 2023-09-22 | 2023-12-13 | -2.84 | 83 |
| 2022-03-15 | 2022-10-13 | -2.77 | 213 |
| 2021-11-09 | 2022-03-07 | -2.66 | 119 |
| 2025-09-25 | 2026-01-08 | -2.31 | 106 |
| 2025-03-03 | 2025-03-24 | -1.91 | 22 |
| 2026-03-20 | 2026-05-01 | -1.53 | 43 |
| 2026-10-02 | 2026-11-04 | -1.25 | 34 |