| Metric | SPY | CPZ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 14.39% | -5.15% |
| CAGR﹪ | 14.51% | -5.19% |
| Sharpe | 0.83 | -0.69 |
| Prob. Sharpe Ratio | 79.61% | 24.86% |
| Smart Sharpe | 0.82 | -0.66 |
| Sortino | 1.22 | -0.96 |
| Smart Sortino | 1.2 | -0.93 |
| Sortino/√2 | 0.86 | -0.68 |
| Smart Sortino/√2 | 0.85 | -0.66 |
| Omega | 1.2 | 0.94 |
| Max Drawdown | -8.88% | -12.94% |
| Max DD Date | 2026-03-30 | 2026-06-05 |
| Max DD Period Start | 2026-01-28 | 2026-01-13 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 296 |
| Volatility (ann.) | 12.86% | 12.05% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 1.63 | -0.4 |
| Skew | -0.02 | 0.21 |
| Kurtosis | 0.78 | 0.57 |
| Ulcer Performance Index | 6.68 | -0.72 |
| Risk-Adjusted Return | 14.51% | -5.41% |
| Risk-Return Ratio | 0.07 | -0.02 |
| Avg. Return | 0.06% | -0.02% |
| Avg. Win | 0.71% | 0.66% |
| Avg. Loss | -0.69% | -0.71% |
| Win/Loss Ratio | 1.03 | 0.94 |
| Profit Ratio | 1.02 | 0.94 |
| Expected Daily | 0.05% | -0.02% |
| Expected Monthly | 1.04% | -0.41% |
| Expected Yearly | 6.95% | -2.61% |
| Kelly Criterion | 5.55% | -7.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.27% |
| Expected Shortfall (cVaR) | -1.66% | -1.54% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | -0.06 |
| Gain/Pain (1M) | 1.83 | -0.26 |
| Payoff Ratio | 1.03 | 0.94 |
| Profit Factor | 1.2 | 0.94 |
| Common Sense Ratio | 1.19 | 0.91 |
| CPC Index | 0.65 | 0.42 |
| Tail Ratio | 0.99 | 0.97 |
| Outlier Win Ratio | 2.84 | 3.34 |
| Outlier Loss Ratio | 3.01 | 2.84 |
| MTD | 1.47% | 1.83% |
| 3M | 1.46% | -1.14% |
| 6M | 6.94% | -0.68% |
| YTD | 13.33% | -3.89% |
| 1Y | 14.39% | -5.15% |
| 3Y (ann.) | 14.51% | -5.19% |
| 5Y (ann.) | 14.51% | -5.19% |
| 10Y (ann.) | 14.51% | -5.19% |
| All-time (ann.) | 14.51% | -5.19% |
| Best Day | 2.91% | 2.57% |
| Worst Day | -2.58% | -2.07% |
| Best Month | 10.51% | 2.17% |
| Worst Month | -4.94% | -8.41% |
| Best Year | 13.33% | -1.32% |
| Worst Year | 0.94% | -3.89% |
| Avg. Drawdown | -1.74% | -5.53% |
| Avg. Drawdown Days | 14 | 118 |
| Recovery Factor | 1.61 | 0.35 |
| Ulcer Index | 0.02 | 0.07 |
| Serenity Index | 0.94 | -0.04 |
| Avg. Up Month | 3.23% | 1.67% |
| Avg. Down Month | -2.63% | -6.47% |
| Win Days | 52.0% | 47.92% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 20.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.35 |
| Alpha | - | -0.1 |
| Correlation | - | 37.28% |
| Treynor Ratio | - | -14.75% |
| Year | SPY | CPZ | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -1.32 | -1.40 | - |
| 2026 | 13.33 | -3.89 | -0.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-13 | 2026-11-04 | -12.94 | 296 |
| 2025-11-17 | 2026-01-06 | -3.00 | 51 |
| 2025-11-06 | 2025-11-12 | -0.66 | 7 |