| Metric | SPY | CLAAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 210.27% | 23.34% |
| CAGR﹪ | 16.86% | 2.93% |
| Sharpe | 0.75 | 0.03 |
| Prob. Sharpe Ratio | 97.7% | 52.72% |
| Smart Sharpe | 0.64 | 0.02 |
| Sortino | 1.05 | 0.03 |
| Smart Sortino | 0.91 | 0.03 |
| Sortino/√2 | 0.75 | 0.02 |
| Smart Sortino/√2 | 0.64 | 0.02 |
| Omega | 1.19 | 1.12 |
| Max Drawdown | -33.72% | -10.46% |
| Max DD Date | 2020-03-23 | 2020-03-25 |
| Max DD Period Start | 2020-02-20 | 2019-07-19 |
| Max DD Period End | 2020-08-07 | 2024-02-07 |
| Longest DD Days | 708 | 1665 |
| Volatility (ann.) | 19.56% | 4.66% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.5 | 0.28 |
| Skew | -0.29 | -0.48 |
| Kurtosis | 13.87 | 5.38 |
| Ulcer Performance Index | 26.35 | 6.23 |
| Risk-Adjusted Return | 16.86% | 3.18% |
| Risk-Return Ratio | 0.06 | 0.04 |
| Avg. Return | 0.07% | 0.01% |
| Avg. Win | 0.79% | 0.24% |
| Avg. Loss | -0.94% | -0.25% |
| Win/Loss Ratio | 0.83 | 0.96 |
| Profit Ratio | 0.77 | 0.63 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.29% | 0.24% |
| Expected Yearly | 15.2% | 2.66% |
| Kelly Criterion | 1.83% | 4.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.47% |
| Expected Shortfall (cVaR) | -3.2% | -0.74% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.19 | 0.12 |
| Gain/Pain (1M) | 1.19 | 0.65 |
| Payoff Ratio | 0.83 | 0.96 |
| Profit Factor | 1.19 | 1.12 |
| Common Sense Ratio | 1.14 | 1.16 |
| CPC Index | 0.55 | 0.57 |
| Tail Ratio | 0.96 | 1.03 |
| Outlier Win Ratio | 3.7 | 3.42 |
| Outlier Loss Ratio | 4.1 | 3.77 |
| 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.) | 16.86% | 2.93% |
| All-time (ann.) | 16.86% | 2.93% |
| Best Day | 10.5% | 2.02% |
| Worst Day | -10.94% | -2.03% |
| Best Month | 12.7% | 3.12% |
| Worst Month | -12.49% | -5.54% |
| Best Year | 28.73% | 9.3% |
| Worst Year | -18.18% | -2.99% |
| Avg. Drawdown | -1.79% | -0.75% |
| Avg. Drawdown Days | 15 | 46 |
| Recovery Factor | 3.77 | 2.08 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 1.04 | 0.21 |
| Avg. Up Month | 4.6% | 1.13% |
| Avg. Down Month | -4.25% | -1.29% |
| Win Days | 55.33% | 53.07% |
| Win Month | 67.05% | 61.63% |
| Win Quarter | 76.67% | 65.52% |
| Win Year | 87.5% | 62.5% |
| Beta | - | 0.05 |
| Alpha | - | 0.02 |
| Correlation | - | 19.23% |
| Treynor Ratio | - | 509.35% |
| Year | SPY | CLAAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -2.14 | -0.13 | - |
| 2020 | 18.33 | 0.86 | 0.05 | - |
| 2021 | 28.73 | -2.99 | -0.10 | - |
| 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 |
|---|---|---|---|
| 2019-07-19 | 2024-02-07 | -10.46 | 1665 |
| 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 |