| Metric | SPY | CLSE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 14.39% | 22.1% |
| CAGR﹪ | 14.51% | 22.29% |
| Sharpe | 0.83 | 1.31 |
| Prob. Sharpe Ratio | 79.61% | 90.28% |
| Smart Sharpe | 0.82 | 1.3 |
| Sortino | 1.22 | 1.95 |
| Smart Sortino | 1.2 | 1.94 |
| Sortino/√2 | 0.86 | 1.38 |
| Smart Sortino/√2 | 0.85 | 1.37 |
| Omega | 1.2 | 1.3 |
| Max Drawdown | -8.88% | -5.89% |
| Max DD Date | 2026-03-30 | 2026-11-02 |
| Max DD Period Start | 2026-01-28 | 2026-10-14 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 86 |
| Volatility (ann.) | 12.86% | 13.28% |
| R^2 | 0.5 | 0.5 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 1.63 | 3.79 |
| Skew | -0.02 | -0.02 |
| Kurtosis | 0.78 | 0.73 |
| Ulcer Performance Index | 6.68 | 12.15 |
| Risk-Adjusted Return | 14.51% | 22.52% |
| Risk-Return Ratio | 0.07 | 0.1 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 0.7% | 0.74% |
| Avg. Loss | -0.74% | -0.75% |
| Win/Loss Ratio | 0.95 | 0.99 |
| Profit Ratio | 1.02 | 0.64 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 1.04% | 1.55% |
| Expected Yearly | 6.95% | 10.5% |
| Kelly Criterion | 1.52% | 16.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.29% |
| Expected Shortfall (cVaR) | -1.66% | -1.74% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.3 |
| Gain/Pain (1M) | 1.83 | 3.04 |
| Payoff Ratio | 0.95 | 0.99 |
| Profit Factor | 1.2 | 1.3 |
| Common Sense Ratio | 1.19 | 1.31 |
| CPC Index | 0.59 | 0.75 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.84 | 3.85 |
| Outlier Loss Ratio | 3.01 | 3.02 |
| MTD | 1.47% | -0.73% |
| 3M | 1.46% | -4.63% |
| 6M | 6.94% | 3.53% |
| YTD | 13.33% | 19.03% |
| 1Y | 14.39% | 22.1% |
| 3Y (ann.) | 14.51% | 22.29% |
| 5Y (ann.) | 14.51% | 22.29% |
| 10Y (ann.) | 14.51% | 22.29% |
| All-time (ann.) | 14.51% | 22.29% |
| Best Day | 2.91% | 2.59% |
| Worst Day | -2.58% | -2.41% |
| Best Month | 10.51% | 11.19% |
| Worst Month | -4.94% | -3.65% |
| Best Year | 13.33% | 19.03% |
| Worst Year | 0.94% | 2.58% |
| Avg. Drawdown | -1.74% | -1.68% |
| Avg. Drawdown Days | 14 | 10 |
| Recovery Factor | 1.61 | 3.54 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 2.26 |
| Avg. Up Month | 3.64% | 5.03% |
| Avg. Down Month | -2.92% | -2.33% |
| Win Days | 52.0% | 58.3% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.73 |
| Alpha | - | 0.1 |
| Correlation | - | 71.02% |
| Treynor Ratio | - | 30.13% |
| Year | SPY | CLSE | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 2.58 | 2.75 | + |
| 2026 | 13.33 | 19.03 | 1.43 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-10-14 | 2026-11-04 | -5.89 | 22 |
| 2026-02-26 | 2026-04-06 | -4.85 | 40 |
| 2025-11-11 | 2025-11-26 | -4.40 | 16 |
| 2026-06-23 | 2026-09-16 | -3.60 | 86 |
| 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 |
| 2026-09-21 | 2026-10-12 | -1.74 | 22 |
| 2026-02-09 | 2026-02-19 | -1.64 | 11 |