| Metric | SPY | CLAAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 19.64% | 5.15% |
| CAGR﹪ | 44.83% | 10.93% |
| Sharpe | 2.57 | 1.72 |
| Prob. Sharpe Ratio | 96.38% | 88.93% |
| Smart Sharpe | 2.57 | 1.51 |
| Sortino | 4.23 | 2.87 |
| Smart Sortino | 4.22 | 2.52 |
| Sortino/√2 | 2.99 | 2.03 |
| Smart Sortino/√2 | 2.98 | 1.78 |
| Omega | 1.61 | 1.57 |
| Max Drawdown | -4.49% | -1.16% |
| Max DD Date | 2026-06-10 | 2026-08-28 |
| Max DD Period Start | 2026-06-03 | 2026-08-19 |
| Max DD Period End | 2026-07-02 | 2026-09-02 |
| Longest DD Days | 40 | 42 |
| Volatility (ann.) | 13.33% | 3.97% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 9.97 | 9.44 |
| Skew | 0.09 | 0.51 |
| Kurtosis | 1.34 | 1.15 |
| Ulcer Performance Index | 14.19 | 11.69 |
| Risk-Adjusted Return | 44.83% | 12.01% |
| Risk-Return Ratio | 0.18 | 0.17 |
| Avg. Return | 0.12% | 0.05% |
| Avg. Win | 0.57% | 0.24% |
| Avg. Loss | -0.59% | -0.16% |
| Win/Loss Ratio | 0.97 | 1.57 |
| Profit Ratio | 1.09 | 0.66 |
| Expected Daily | 0.15% | 0.04% |
| Expected Monthly | 2.59% | 0.72% |
| Expected Yearly | 19.64% | 5.15% |
| Kelly Criterion | 8.52% | 28.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.37% |
| Expected Shortfall (cVaR) | -1.67% | -0.46% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.61 | 0.57 |
| Gain/Pain (1M) | 24.11 | 30.15 |
| Payoff Ratio | 0.97 | 1.57 |
| Profit Factor | 1.61 | 1.57 |
| Common Sense Ratio | 2.02 | 2.09 |
| CPC Index | 0.86 | 1.39 |
| Tail Ratio | 1.25 | 1.33 |
| Outlier Win Ratio | 3.31 | 4.07 |
| Outlier Loss Ratio | 3.25 | 2.92 |
| MTD | 1.08% | 3.12% |
| 3M | 4.73% | 3.94% |
| 6M | 19.64% | 5.15% |
| YTD | 19.64% | 5.15% |
| 1Y | 19.64% | 5.15% |
| 3Y (ann.) | 44.83% | 10.93% |
| 5Y (ann.) | 44.83% | 10.93% |
| 10Y (ann.) | 44.83% | 10.93% |
| All-time (ann.) | 44.83% | 10.93% |
| Best Day | 2.91% | 0.88% |
| Worst Day | -2.58% | -0.55% |
| Best Month | 10.51% | 3.12% |
| Worst Month | -0.77% | -0.1% |
| Best Year | 19.64% | 5.15% |
| Worst Year | 19.64% | 5.15% |
| Avg. Drawdown | -1.24% | -0.45% |
| Avg. Drawdown Days | 7 | 11 |
| Recovery Factor | 4.09 | 4.37 |
| Ulcer Index | 0.01 | 0.0 |
| Serenity Index | 3.46 | 2.91 |
| Avg. Up Month | 4.22% | 1.29% |
| Avg. Down Month | -0.77% | -0.07% |
| Win Days | 54.92% | 56.36% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.11 |
| Correlation | - | -7.59% |
| Treynor Ratio | - | -227.75% |
| Year | SPY | CLAAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 19.64 | 5.15 | 0.26 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-19 | 2026-09-02 | -1.16 | 15 |
| 2026-06-12 | 2026-07-23 | -1.07 | 42 |
| 2026-03-25 | 2026-04-21 | -0.81 | 28 |
| 2026-05-05 | 2026-05-20 | -0.69 | 16 |
| 2026-07-27 | 2026-08-10 | -0.68 | 15 |
| 2026-05-22 | 2026-05-29 | -0.45 | 8 |
| 2026-04-27 | 2026-04-29 | -0.31 | 3 |
| 2026-06-05 | 2026-06-08 | -0.17 | 4 |
| 2026-08-13 | 2026-08-17 | -0.17 | 5 |
| 2026-05-01 | 2026-05-01 | -0.14 | 1 |