| Metric | SPY | CPZ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 17.87% | -11.88% |
| CAGR﹪ | 18.02% | -11.96% |
| Sharpe | 1.04 | -1.44 |
| Prob. Sharpe Ratio | 84.73% | 7.94% |
| Smart Sharpe | 1.01 | -1.32 |
| Sortino | 1.51 | -1.98 |
| Smart Sortino | 1.47 | -1.82 |
| Sortino/√2 | 1.07 | -1.4 |
| Smart Sortino/√2 | 1.04 | -1.29 |
| Omega | 1.25 | 0.84 |
| Max Drawdown | -8.88% | - |
| Max DD Date | 2026-03-30 | - |
| Max DD Period Start | 2026-01-28 | - |
| Max DD Period End | 2026-04-13 | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 12.99% | 11.15% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 2.03 | -0.7 |
| Skew | -0.15 | 0.38 |
| Kurtosis | 1.05 | 1.01 |
| Ulcer Performance Index | 8.3 | -1.14 |
| Risk-Adjusted Return | 18.02% | -12.46% |
| Risk-Return Ratio | 0.08 | -0.07 |
| Avg. Return | 0.08% | -0.05% |
| Avg. Win | 0.71% | 0.59% |
| Avg. Loss | -0.7% | -0.64% |
| Win/Loss Ratio | 1.02 | 0.92 |
| Profit Ratio | 0.94 | 0.98 |
| Expected Daily | 0.07% | -0.05% |
| Expected Monthly | 1.27% | -0.97% |
| Expected Yearly | 8.57% | -6.13% |
| Kelly Criterion | 7.92% | -12.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.2% |
| Expected Shortfall (cVaR) | -1.72% | -1.44% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | -0.16 |
| Gain/Pain (1M) | 2.6 | -0.54 |
| Payoff Ratio | 1.02 | 0.92 |
| Profit Factor | 1.25 | 0.84 |
| Common Sense Ratio | 1.24 | 0.81 |
| CPC Index | 0.68 | 0.35 |
| Tail Ratio | 0.99 | 0.97 |
| Outlier Win Ratio | 2.88 | 3.64 |
| Outlier Loss Ratio | 3.19 | 2.97 |
| MTD | 1.08% | -1.58% |
| 3M | 3.82% | 3.15% |
| 6M | 19.85% | -1.75% |
| YTD | 14.3% | -3.83% |
| 1Y | 17.87% | -11.88% |
| 3Y (ann.) | 18.02% | -11.96% |
| 5Y (ann.) | 18.02% | -11.96% |
| 10Y (ann.) | 18.02% | -11.96% |
| All-time (ann.) | 18.02% | -11.96% |
| Best Day | 2.91% | 2.57% |
| Worst Day | -2.7% | -1.74% |
| Best Month | 10.51% | 2.17% |
| Worst Month | -4.94% | -8.41% |
| Best Year | 14.3% | -3.83% |
| Worst Year | 3.13% | -8.36% |
| Avg. Drawdown | -1.71% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.94 | 0.71 |
| Ulcer Index | 0.02 | 0.1 |
| Serenity Index | 1.16 | -0.05 |
| Avg. Up Month | 2.98% | 1.31% |
| Avg. Down Month | -4.94% | -8.41% |
| Win Days | 53.6% | 45.83% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 20.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.27 |
| Alpha | - | -0.17 |
| Correlation | - | 31.6% |
| Treynor Ratio | - | -43.79% |
| Year | SPY | CPZ | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -8.36 | -2.68 | - |
| 2026 | 14.30 | -3.83 | -0.27 | - |
| Started | Recovered | Drawdown | Days |
|---|