| Metric | SPY | CLAAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 88.21% | 24.89% |
| CAGR﹪ | 13.61% | 4.59% |
| Sharpe | 0.61 | 0.17 |
| Prob. Sharpe Ratio | 91.27% | 65.07% |
| Smart Sharpe | 0.59 | 0.17 |
| Sortino | 0.88 | 0.24 |
| Smart Sortino | 0.85 | 0.23 |
| Sortino/√2 | 0.62 | 0.17 |
| Smart Sortino/√2 | 0.6 | 0.16 |
| Omega | 1.16 | 1.19 |
| Max Drawdown | -24.5% | -4.79% |
| Max DD Date | 2022-10-12 | 2023-05-25 |
| Max DD Period Start | 2022-01-04 | 2021-10-18 |
| Max DD Period End | 2023-12-12 | 2024-01-10 |
| Longest DD Days | 708 | 815 |
| Volatility (ann.) | 17.2% | 4.52% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.56 | 0.96 |
| Skew | 0.32 | -0.33 |
| Kurtosis | 8.99 | 2.77 |
| Ulcer Performance Index | 10.42 | 12.09 |
| Risk-Adjusted Return | 13.61% | 4.83% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.68% | 0.23% |
| Avg. Loss | -0.79% | -0.22% |
| Win/Loss Ratio | 0.86 | 1.04 |
| Profit Ratio | 0.83 | 0.76 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.04% | 0.37% |
| Expected Yearly | 11.12% | 3.77% |
| Kelly Criterion | 0.68% | 7.77% |
| 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 | 0.16 | 0.19 |
| Gain/Pain (1M) | 0.89 | 1.14 |
| Payoff Ratio | 0.86 | 1.04 |
| Profit Factor | 1.16 | 1.19 |
| Common Sense Ratio | 1.18 | 1.44 |
| CPC Index | 0.54 | 0.65 |
| Tail Ratio | 1.01 | 1.21 |
| Outlier Win Ratio | 3.42 | 3.24 |
| Outlier Loss Ratio | 3.78 | 3.68 |
| MTD | 1.08% | 3.12% |
| 3M | 4.73% | 3.94% |
| 6M | 20.89% | 4.23% |
| YTD | 15.3% | 9.3% |
| 1Y | 18.81% | 8.1% |
| 3Y (ann.) | 25.39% | 9.18% |
| 5Y (ann.) | 13.3% | 4.69% |
| 10Y (ann.) | 13.61% | 4.59% |
| All-time (ann.) | 13.61% | 4.59% |
| Best Day | 10.5% | 1.65% |
| Worst Day | -5.85% | -1.6% |
| Best Month | 10.51% | 3.12% |
| Worst Month | -9.24% | -2.86% |
| Best Year | 26.18% | 9.3% |
| Worst Year | -18.18% | -3.05% |
| Avg. Drawdown | -1.9% | -0.65% |
| Avg. Drawdown Days | 20 | 31 |
| Recovery Factor | 2.88 | 4.74 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.48 | 0.77 |
| Avg. Up Month | 4.35% | 1.18% |
| Avg. Down Month | -3.81% | -1.14% |
| Win Days | 54.13% | 53.09% |
| Win Month | 63.93% | 65.57% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 66.67% |
| Beta | - | -0.01 |
| Alpha | - | 0.05 |
| Correlation | - | -4.29% |
| Treynor Ratio | - | -2206.27% |
| Year | SPY | CLAAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -3.05 | -0.40 | - |
| 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 | 15.30 | 9.30 | 0.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-18 | 2024-01-10 | -4.79 | 815 |
| 2025-04-03 | 2025-06-09 | -3.38 | 68 |
| 2024-03-28 | 2024-12-10 | -3.16 | 258 |
| 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 |
| 2026-08-19 | 2026-09-02 | -1.16 | 15 |
| 2026-06-12 | 2026-07-23 | -1.07 | 42 |
| 2026-03-03 | 2026-03-11 | -0.95 | 9 |
| 2025-06-13 | 2025-07-02 | -0.88 | 20 |