| Metric | SPY | CLSE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 90.19% | 121.44% |
| CAGR﹪ | 14.72% | 18.5% |
| Sharpe | 0.65 | 1.01 |
| Prob. Sharpe Ratio | 92.04% | 98.43% |
| Smart Sharpe | 0.62 | 1.0 |
| Sortino | 0.94 | 1.42 |
| Smart Sortino | 0.9 | 1.4 |
| Sortino/√2 | 0.66 | 1.01 |
| Smart Sortino/√2 | 0.64 | 0.99 |
| Omega | 1.17 | 1.24 |
| Max Drawdown | -22.09% | -16.45% |
| Max DD Date | 2022-10-12 | 2025-04-04 |
| Max DD Period Start | 2022-03-30 | 2025-01-24 |
| Max DD Period End | 2023-07-17 | 2025-07-30 |
| Longest DD Days | 475 | 450 |
| Volatility (ann.) | 17.15% | 13.65% |
| R^2 | 0.51 | 0.51 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.67 | 1.13 |
| Skew | 0.36 | -0.54 |
| Kurtosis | 9.65 | 2.41 |
| Ulcer Performance Index | 12.44 | 24.51 |
| Risk-Adjusted Return | 14.72% | 18.69% |
| Risk-Return Ratio | 0.06 | 0.08 |
| Avg. Return | 0.06% | 0.07% |
| Avg. Win | 0.87% | 0.74% |
| Avg. Loss | -0.93% | -0.76% |
| Win/Loss Ratio | 0.94 | 0.97 |
| Profit Ratio | 0.85 | 0.7 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.11% | 1.38% |
| Expected Yearly | 13.72% | 17.23% |
| Kelly Criterion | 4.84% | 11.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.72% | -1.34% |
| Expected Shortfall (cVaR) | -2.69% | -2.0% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.17 | 0.24 |
| Gain/Pain (1M) | 1.03 | 1.89 |
| Payoff Ratio | 0.94 | 0.97 |
| Profit Factor | 1.17 | 1.24 |
| Common Sense Ratio | 1.22 | 1.3 |
| CPC Index | 0.59 | 0.68 |
| Tail Ratio | 1.04 | 1.05 |
| Outlier Win Ratio | 3.44 | 3.23 |
| Outlier Loss Ratio | 3.89 | 3.42 |
| MTD | 1.47% | -0.73% |
| 3M | 1.46% | -4.63% |
| 6M | 6.94% | 3.53% |
| YTD | 13.33% | 19.03% |
| 1Y | 13.43% | 21.6% |
| 3Y (ann.) | 20.78% | 26.27% |
| 5Y (ann.) | 14.72% | 18.5% |
| 10Y (ann.) | 14.72% | 18.5% |
| All-time (ann.) | 14.72% | 18.5% |
| Best Day | 10.5% | 3.72% |
| Worst Day | -5.85% | -4.64% |
| Best Month | 10.51% | 11.19% |
| Worst Month | -9.24% | -8.12% |
| Best Year | 26.18% | 35.54% |
| Worst Year | -9.53% | -3.04% |
| Avg. Drawdown | -2.0% | -1.95% |
| Avg. Drawdown Days | 19 | 18 |
| Recovery Factor | 3.22 | 5.1 |
| Ulcer Index | 0.07 | 0.05 |
| Serenity Index | 0.64 | 1.3 |
| Avg. Up Month | 3.97% | 3.75% |
| Avg. Down Month | -5.0% | -3.22% |
| Win Days | 53.9% | 56.53% |
| Win Month | 65.52% | 68.97% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 80.0% | 80.0% |
| Beta | - | 0.57 |
| Alpha | - | 0.09 |
| Correlation | - | 71.64% |
| Treynor Ratio | - | 213.06% |
| Year | SPY | CLSE | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -9.53 | -3.04 | 0.32 | + |
| 2023 | 26.18 | 17.54 | 0.67 | - |
| 2024 | 24.89 | 35.54 | 1.43 | + |
| 2025 | 17.72 | 20.44 | 1.15 | + |
| 2026 | 13.33 | 19.03 | 1.43 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-01-24 | 2025-07-30 | -16.45 | 188 |
| 2022-04-21 | 2023-07-14 | -14.28 | 450 |
| 2024-07-11 | 2024-09-18 | -7.41 | 70 |
| 2026-10-14 | 2026-11-04 | -5.89 | 22 |
| 2026-02-26 | 2026-04-06 | -4.85 | 40 |
| 2023-10-12 | 2023-11-08 | -4.78 | 28 |
| 2024-04-08 | 2024-05-07 | -4.66 | 30 |
| 2025-11-11 | 2025-11-26 | -4.40 | 16 |
| 2024-12-09 | 2025-01-17 | -4.20 | 40 |
| 2022-03-28 | 2022-04-19 | -3.66 | 23 |