| Metric | SPY | CPZ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 86.58% | 10.74% |
| CAGR﹪ | 13.36% | 2.07% |
| Sharpe | 0.59 | -0.03 |
| Prob. Sharpe Ratio | 90.85% | 47.16% |
| Smart Sharpe | 0.58 | -0.03 |
| Sortino | 0.86 | -0.04 |
| Smart Sortino | 0.83 | -0.04 |
| Sortino/√2 | 0.61 | -0.03 |
| Smart Sortino/√2 | 0.59 | -0.03 |
| Omega | 1.16 | 1.04 |
| Max Drawdown | -24.5% | -25.46% |
| Max DD Date | 2022-10-12 | 2022-09-29 |
| Max DD Period Start | 2022-01-04 | 2022-02-25 |
| Max DD Period End | 2023-12-12 | 2024-10-08 |
| Longest DD Days | 708 | 957 |
| Volatility (ann.) | 17.2% | 15.74% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.08 |
| Skew | 0.32 | -0.37 |
| Kurtosis | 8.95 | 3.14 |
| Ulcer Performance Index | 10.24 | 0.93 |
| Risk-Adjusted Return | 13.36% | 2.14% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.05% | 0.01% |
| Avg. Win | 0.89% | 0.82% |
| Avg. Loss | -0.93% | -0.93% |
| Win/Loss Ratio | 0.96 | 0.88 |
| Profit Ratio | 0.83 | 0.8 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.17% |
| Expected Yearly | 10.95% | 1.71% |
| Kelly Criterion | 6.15% | -3.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.62% |
| Expected Shortfall (cVaR) | -2.58% | -2.35% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.04 |
| Gain/Pain (1M) | 0.87 | 0.18 |
| Payoff Ratio | 0.96 | 0.88 |
| Profit Factor | 1.16 | 1.04 |
| Common Sense Ratio | 1.17 | 0.94 |
| CPC Index | 0.6 | 0.47 |
| Tail Ratio | 1.01 | 0.91 |
| Outlier Win Ratio | 3.41 | 3.68 |
| Outlier Loss Ratio | 3.77 | 3.58 |
| MTD | 1.08% | -1.58% |
| 3M | 3.82% | 3.15% |
| 6M | 19.85% | -1.75% |
| YTD | 14.3% | -3.83% |
| 1Y | 17.78% | -12.04% |
| 3Y (ann.) | 24.86% | 9.97% |
| 5Y (ann.) | 13.06% | 1.35% |
| 10Y (ann.) | 13.36% | 2.07% |
| All-time (ann.) | 13.36% | 2.07% |
| Best Day | 10.5% | 3.83% |
| Worst Day | -5.85% | -6.28% |
| Best Month | 10.51% | 10.99% |
| Worst Month | -9.24% | -13.13% |
| Best Year | 26.18% | 15.98% |
| Worst Year | -18.18% | -13.98% |
| Avg. Drawdown | -1.89% | -2.99% |
| Avg. Drawdown Days | 20 | 50 |
| Recovery Factor | 2.85 | 0.64 |
| Ulcer Index | 0.08 | 0.12 |
| Serenity Index | 0.47 | 0.06 |
| Avg. Up Month | 4.41% | 3.25% |
| Avg. Down Month | -3.89% | -4.56% |
| Win Days | 54.04% | 51.77% |
| Win Month | 63.93% | 59.02% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 50.0% |
| Beta | - | 0.41 |
| Alpha | - | -0.03 |
| Correlation | - | 45.35% |
| Treynor Ratio | - | 25.88% |
| Year | SPY | CPZ | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -1.08 | -0.14 | - |
| 2022 | -18.18 | -13.98 | 0.77 | + |
| 2023 | 26.18 | 6.26 | 0.24 | - |
| 2024 | 24.89 | 15.98 | 0.64 | - |
| 2025 | 17.72 | 9.81 | 0.55 | - |
| 2026 | 14.30 | -3.83 | -0.27 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2024-10-08 | -25.46 | 957 |
| 2025-09-23 | 2026-09-22 | -17.95 | 365 |
| 2021-10-21 | 2022-01-10 | -11.13 | 82 |
| 2025-03-21 | 2025-05-02 | -7.15 | 43 |
| 2022-01-14 | 2022-02-07 | -5.86 | 25 |
| 2024-12-04 | 2025-01-08 | -4.59 | 36 |
| 2022-02-10 | 2022-02-23 | -3.26 | 14 |
| 2025-02-05 | 2025-02-28 | -2.49 | 24 |
| 2024-11-12 | 2024-11-27 | -2.39 | 16 |
| 2025-07-21 | 2025-08-06 | -2.36 | 17 |