| Metric | SPY | CLSE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 17.87% | 32.14% |
| CAGR﹪ | 18.02% | 32.44% |
| Sharpe | 1.04 | 1.85 |
| Prob. Sharpe Ratio | 84.73% | 96.67% |
| Smart Sharpe | 1.01 | 1.76 |
| Sortino | 1.51 | 2.84 |
| Smart Sortino | 1.47 | 2.71 |
| Sortino/√2 | 1.07 | 2.01 |
| Smart Sortino/√2 | 1.04 | 1.92 |
| Omega | 1.25 | 1.42 |
| Max Drawdown | -8.88% | -4.85% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-04-06 |
| Longest DD Days | 76 | 87 |
| Volatility (ann.) | 12.99% | 13.55% |
| R^2 | 0.52 | 0.52 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 2.03 | 6.69 |
| Skew | -0.15 | -0.05 |
| Kurtosis | 1.05 | 0.55 |
| Ulcer Performance Index | 8.3 | 19.83 |
| Risk-Adjusted Return | 18.02% | 32.76% |
| Risk-Return Ratio | 0.08 | 0.13 |
| Avg. Return | 0.07% | 0.12% |
| Avg. Win | 0.7% | 0.77% |
| Avg. Loss | -0.72% | -0.73% |
| Win/Loss Ratio | 0.97 | 1.05 |
| Profit Ratio | 0.94 | 0.7 |
| Expected Daily | 0.07% | 0.11% |
| Expected Monthly | 1.27% | 2.17% |
| Expected Yearly | 8.57% | 14.95% |
| Kelly Criterion | 5.93% | 18.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.29% |
| Expected Shortfall (cVaR) | -1.72% | -1.74% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.42 |
| Gain/Pain (1M) | 2.6 | 11.13 |
| Payoff Ratio | 0.97 | 1.05 |
| Profit Factor | 1.25 | 1.42 |
| Common Sense Ratio | 1.24 | 1.48 |
| CPC Index | 0.65 | 0.87 |
| Tail Ratio | 0.99 | 1.05 |
| Outlier Win Ratio | 2.88 | 3.58 |
| Outlier Loss Ratio | 3.19 | 3.14 |
| MTD | 1.08% | 1.67% |
| 3M | 3.82% | -0.18% |
| 6M | 19.85% | 21.77% |
| YTD | 14.3% | 24.84% |
| 1Y | 17.87% | 32.14% |
| 3Y (ann.) | 18.02% | 32.44% |
| 5Y (ann.) | 18.02% | 32.44% |
| 10Y (ann.) | 18.02% | 32.44% |
| All-time (ann.) | 18.02% | 32.44% |
| Best Day | 2.91% | 2.59% |
| Worst Day | -2.7% | -2.41% |
| Best Month | 10.51% | 11.19% |
| Worst Month | -4.94% | -1.27% |
| Best Year | 14.3% | 24.84% |
| Worst Year | 3.13% | 5.84% |
| Avg. Drawdown | -1.71% | -1.57% |
| Avg. Drawdown Days | 13 | 10 |
| Recovery Factor | 1.94 | 5.94 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 4.23 |
| Avg. Up Month | 3.0% | 4.3% |
| Avg. Down Month | -4.94% | -1.02% |
| Win Days | 53.6% | 58.3% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.75 |
| Alpha | - | 0.16 |
| Correlation | - | 72.35% |
| Treynor Ratio | - | 42.58% |
| Year | SPY | CLSE | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 5.84 | 1.87 | + |
| 2026 | 14.30 | 24.84 | 1.74 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-06 | -4.85 | 40 |
| 2025-11-11 | 2025-11-26 | -4.40 | 16 |
| 2026-06-23 | 2026-09-17 | -3.60 | 87 |
| 2025-10-02 | 2025-10-22 | -3.18 | 21 |
| 2026-06-04 | 2026-06-12 | -3.14 | 9 |
| 2026-02-03 | 2026-02-05 | -2.62 | 3 |
| 2025-12-12 | 2025-12-18 | -2.36 | 7 |
| 2026-05-15 | 2026-05-22 | -1.74 | 8 |
| 2026-02-09 | 2026-02-19 | -1.64 | 11 |
| 2025-12-29 | 2026-01-05 | -1.48 | 8 |