| Metric | SPY | CLAAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 207.64% | 23.02% |
| CAGR﹪ | 16.43% | 2.84% |
| Sharpe | 0.73 | 0.01 |
| Prob. Sharpe Ratio | 97.55% | 50.88% |
| Smart Sharpe | 0.63 | 0.01 |
| Sortino | 1.03 | 0.01 |
| Smart Sortino | 0.89 | 0.01 |
| Sortino/√2 | 0.73 | 0.01 |
| Smart Sortino/√2 | 0.63 | 0.01 |
| Omega | 1.18 | 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.) | 19.45% | 4.65% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.49 | 0.27 |
| Skew | -0.29 | -0.48 |
| Kurtosis | 13.97 | 5.36 |
| Ulcer Performance Index | 26.23 | 6.19 |
| Risk-Adjusted Return | 16.43% | 3.09% |
| Risk-Return Ratio | 0.06 | 0.04 |
| Avg. Return | 0.07% | 0.01% |
| Avg. Win | 0.78% | 0.24% |
| Avg. Loss | -0.94% | -0.25% |
| Win/Loss Ratio | 0.84 | 0.96 |
| Profit Ratio | 0.78 | 0.63 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.26% | 0.23% |
| Expected Yearly | 15.08% | 2.62% |
| Kelly Criterion | 1.69% | 4.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.47% |
| Expected Shortfall (cVaR) | -3.2% | -0.74% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.12 |
| Gain/Pain (1M) | 1.17 | 0.63 |
| Payoff Ratio | 0.84 | 0.96 |
| Profit Factor | 1.18 | 1.12 |
| Common Sense Ratio | 1.13 | 1.14 |
| CPC Index | 0.55 | 0.57 |
| Tail Ratio | 0.96 | 1.02 |
| Outlier Win Ratio | 3.7 | 3.43 |
| Outlier Loss Ratio | 4.12 | 3.75 |
| 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.) | 16.43% | 2.84% |
| All-time (ann.) | 16.43% | 2.84% |
| Best Day | 10.5% | 2.02% |
| Worst Day | -10.94% | -2.03% |
| Best Month | 12.7% | 3.64% |
| Worst Month | -12.49% | -5.54% |
| Best Year | 28.73% | 9.01% |
| Worst Year | -18.18% | -2.99% |
| Avg. Drawdown | -1.8% | -0.74% |
| Avg. Drawdown Days | 16 | 45 |
| Recovery Factor | 3.75 | 2.06 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 1.04 | 0.21 |
| Avg. Up Month | 4.69% | 1.08% |
| Avg. Down Month | -4.05% | -1.24% |
| Win Days | 55.22% | 53.14% |
| Win Month | 65.56% | 60.23% |
| Win Quarter | 77.42% | 63.33% |
| Win Year | 87.5% | 62.5% |
| Beta | - | 0.05 |
| Alpha | - | 0.02 |
| Correlation | - | 18.92% |
| Treynor Ratio | - | 509.14% |
| 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 | 14.32 | 9.01 | 0.63 | - |
| 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 |
| 2026-10-02 | 2026-11-04 | -1.25 | 34 |
| 2026-08-19 | 2026-09-02 | -1.16 | 15 |
| 2026-06-12 | 2026-07-23 | -1.07 | 42 |
| 2026-03-03 | 2026-03-11 | -0.95 | 9 |