| Metric | SPY | CLAAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 7.41% | 3.99% |
| CAGR﹪ | 15.78% | 8.35% |
| Sharpe | 0.97 | 1.21 |
| Prob. Sharpe Ratio | 74.92% | 80.32% |
| Smart Sharpe | 0.93 | 1.08 |
| Sortino | 1.42 | 1.88 |
| Smart Sortino | 1.36 | 1.67 |
| Sortino/√2 | 1.0 | 1.33 |
| Smart Sortino/√2 | 0.96 | 1.18 |
| Omega | 1.23 | 1.45 |
| Max Drawdown | -4.49% | -1.25% |
| Max DD Date | 2026-06-10 | 2026-10-23 |
| Max DD Period Start | 2026-06-03 | 2026-10-02 |
| Max DD Period End | 2026-07-02 | 2026-11-04 |
| Longest DD Days | 53 | 42 |
| Volatility (ann.) | 12.13% | 3.69% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 3.51 | 6.66 |
| Skew | -0.21 | 0.29 |
| Kurtosis | 0.75 | 0.95 |
| Ulcer Performance Index | 4.94 | 7.79 |
| Risk-Adjusted Return | 15.78% | 9.17% |
| Risk-Return Ratio | 0.08 | 0.14 |
| Avg. Return | 0.03% | 0.04% |
| Avg. Win | 0.55% | 0.23% |
| Avg. Loss | -0.59% | -0.17% |
| Win/Loss Ratio | 0.94 | 1.33 |
| Profit Ratio | 1.11 | 0.55 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.03% | 0.56% |
| Expected Yearly | 7.41% | 3.99% |
| Kelly Criterion | -0.73% | 25.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.2% | -0.35% |
| Expected Shortfall (cVaR) | -1.59% | -0.44% |
| Max Consecutive Wins | 4 | 7 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.23 | 0.45 |
| Gain/Pain (1M) | 6.24 | 4.61 |
| Payoff Ratio | 0.94 | 1.33 |
| Profit Factor | 1.23 | 1.45 |
| Common Sense Ratio | 1.45 | 1.59 |
| CPC Index | 0.59 | 1.11 |
| Tail Ratio | 1.18 | 1.1 |
| Outlier Win Ratio | 2.73 | 3.42 |
| Outlier Loss Ratio | 3.16 | 2.42 |
| MTD | 1.47% | -0.33% |
| 3M | 1.46% | 3.02% |
| 6M | 7.41% | 3.99% |
| YTD | 7.41% | 3.99% |
| 1Y | 7.41% | 3.99% |
| 3Y (ann.) | 15.78% | 8.35% |
| 5Y (ann.) | 15.78% | 8.35% |
| 10Y (ann.) | 15.78% | 8.35% |
| All-time (ann.) | 15.78% | 8.35% |
| Best Day | 1.8% | 0.88% |
| Worst Day | -2.58% | -0.55% |
| Best Month | 4.52% | 3.64% |
| Worst Month | -0.91% | -0.43% |
| Best Year | 7.41% | 3.99% |
| Worst Year | 7.41% | 3.99% |
| Avg. Drawdown | -1.66% | -0.44% |
| Avg. Drawdown Days | 14 | 11 |
| Recovery Factor | 1.67 | 3.15 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.17 | 1.67 |
| Avg. Up Month | 2.28% | 0.57% |
| Avg. Down Month | -0.91% | -0.43% |
| Win Days | 51.22% | 57.66% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.01 |
| Alpha | - | 0.08 |
| Correlation | - | -3.01% |
| Treynor Ratio | - | -436.29% |
| Year | SPY | CLAAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 7.41 | 3.99 | 0.54 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 2026-07-27 | 2026-08-10 | -0.68 | 15 |
| 2026-05-22 | 2026-05-29 | -0.45 | 8 |
| 2026-05-11 | 2026-05-20 | -0.38 | 10 |
| 2026-06-05 | 2026-06-08 | -0.17 | 4 |
| 2026-08-13 | 2026-08-17 | -0.17 | 5 |
| 2026-05-06 | 2026-05-07 | -0.14 | 2 |
| 2026-09-21 | 2026-09-21 | -0.10 | 1 |