| Metric | SPY | CLSE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 18.6% | 20.44% |
| CAGR﹪ | 40.67% | 45.05% |
| Sharpe | 2.32 | 2.57 |
| Prob. Sharpe Ratio | 95.04% | 96.63% |
| Smart Sharpe | 2.3 | 2.43 |
| Sortino | 3.78 | 4.22 |
| Smart Sortino | 3.75 | 3.98 |
| Sortino/√2 | 2.67 | 2.98 |
| Smart Sortino/√2 | 2.65 | 2.82 |
| Omega | 1.54 | 1.62 |
| Max Drawdown | -4.49% | -4.19% |
| Max DD Date | 2026-06-10 | 2026-03-30 |
| Max DD Period Start | 2026-06-03 | 2026-03-26 |
| Max DD Period End | 2026-07-31 | 2026-04-01 |
| Longest DD Days | 59 | 86 |
| Volatility (ann.) | 13.55% | 13.41% |
| R^2 | 0.48 | 0.48 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 9.05 | 10.76 |
| Skew | 0.1 | 0.11 |
| Kurtosis | 1.12 | 1.13 |
| Ulcer Performance Index | 11.86 | 12.69 |
| Risk-Adjusted Return | 40.67% | 45.51% |
| Risk-Return Ratio | 0.16 | 0.18 |
| Avg. Return | 0.14% | 0.15% |
| Avg. Win | 0.78% | 0.79% |
| Avg. Loss | -0.66% | -0.67% |
| Win/Loss Ratio | 1.18 | 1.19 |
| Profit Ratio | 1.12 | 0.7 |
| Expected Daily | 0.14% | 0.15% |
| Expected Monthly | 2.47% | 2.69% |
| Expected Yearly | 18.6% | 20.44% |
| Kelly Criterion | 15.09% | 25.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.24% |
| Expected Shortfall (cVaR) | -1.77% | -1.74% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.62 |
| Gain/Pain (1M) | 10.92 | 8.64 |
| Payoff Ratio | 1.18 | 1.19 |
| Profit Factor | 1.54 | 1.62 |
| Common Sense Ratio | 2.01 | 2.44 |
| CPC Index | 0.98 | 1.14 |
| Tail Ratio | 1.3 | 1.51 |
| Outlier Win Ratio | 3.21 | 3.66 |
| Outlier Loss Ratio | 3.16 | 3.29 |
| MTD | 1.08% | 1.67% |
| 3M | 3.82% | -0.18% |
| 6M | 18.6% | 20.44% |
| YTD | 18.6% | 20.44% |
| 1Y | 18.6% | 20.44% |
| 3Y (ann.) | 40.67% | 45.05% |
| 5Y (ann.) | 40.67% | 45.05% |
| 10Y (ann.) | 40.67% | 45.05% |
| All-time (ann.) | 40.67% | 45.05% |
| Best Day | 2.91% | 2.59% |
| Worst Day | -2.58% | -2.41% |
| Best Month | 10.51% | 11.19% |
| Worst Month | -1.03% | -1.27% |
| Best Year | 18.6% | 20.44% |
| Worst Year | 18.6% | 20.44% |
| Avg. Drawdown | -1.13% | -1.43% |
| Avg. Drawdown Days | 9 | 10 |
| Recovery Factor | 3.9 | 4.55 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.75 | 2.95 |
| Avg. Up Month | 5.61% | 6.96% |
| Avg. Down Month | -0.77% | -0.67% |
| Win Days | 53.97% | 59.68% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.68 |
| Alpha | - | 0.14 |
| Correlation | - | 69.04% |
| Treynor Ratio | - | 29.91% |
| Year | SPY | CLSE | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 20.44 | 1.10 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-26 | 2026-04-01 | -4.19 | 7 |
| 2026-06-23 | 2026-09-16 | -3.60 | 86 |
| 2026-06-04 | 2026-06-12 | -3.14 | 9 |
| 2026-05-15 | 2026-05-22 | -1.74 | 8 |
| 2026-05-07 | 2026-05-07 | -1.13 | 1 |
| 2026-06-16 | 2026-06-18 | -1.07 | 3 |
| 2026-09-21 | 2026-09-22 | -0.99 | 2 |
| 2026-04-28 | 2026-04-29 | -0.67 | 2 |
| 2026-04-23 | 2026-04-24 | -0.62 | 2 |
| 2026-04-15 | 2026-04-16 | -0.59 | 2 |