| Metric | SPY | CPZ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 74.99% | 7.27% |
| CAGR﹪ | 11.91% | 1.42% |
| Sharpe | 0.52 | -0.07 |
| Prob. Sharpe Ratio | 87.6% | 43.37% |
| Smart Sharpe | 0.5 | -0.07 |
| Sortino | 0.74 | -0.1 |
| Smart Sortino | 0.72 | -0.1 |
| Sortino/√2 | 0.53 | -0.07 |
| Smart Sortino/√2 | 0.51 | -0.07 |
| Omega | 1.14 | 1.03 |
| 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.) | 17.19% | 15.87% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.06 |
| Skew | 0.33 | -0.36 |
| Kurtosis | 8.98 | 2.98 |
| Ulcer Performance Index | 8.86 | 0.62 |
| Risk-Adjusted Return | 11.91% | 1.47% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.05% | 0.01% |
| Avg. Win | 0.89% | 0.83% |
| Avg. Loss | -0.92% | -0.94% |
| Win/Loss Ratio | 0.97 | 0.89 |
| Profit Ratio | 0.86 | 0.8 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.12% |
| Expected Yearly | 9.77% | 1.18% |
| Kelly Criterion | 5.41% | -2.99% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.63% |
| Expected Shortfall (cVaR) | -2.58% | -2.37% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.03 |
| Gain/Pain (1M) | 0.79 | 0.14 |
| Payoff Ratio | 0.97 | 0.89 |
| Profit Factor | 1.14 | 1.03 |
| Common Sense Ratio | 1.15 | 0.93 |
| CPC Index | 0.59 | 0.47 |
| Tail Ratio | 1.0 | 0.91 |
| Outlier Win Ratio | 3.4 | 3.64 |
| Outlier Loss Ratio | 3.8 | 3.54 |
| MTD | 1.47% | 1.83% |
| 3M | 1.46% | -1.14% |
| 6M | 6.94% | -0.68% |
| YTD | 13.33% | -3.89% |
| 1Y | 13.43% | -4.53% |
| 3Y (ann.) | 20.78% | 7.45% |
| 5Y (ann.) | 12.86% | 3.46% |
| 10Y (ann.) | 11.91% | 1.42% |
| All-time (ann.) | 11.91% | 1.42% |
| 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 | -1.94% | -3.31% |
| Avg. Drawdown Days | 21 | 57 |
| Recovery Factor | 2.58 | 0.52 |
| Ulcer Index | 0.08 | 0.12 |
| Serenity Index | 0.43 | 0.05 |
| Avg. Up Month | 4.22% | 3.23% |
| Avg. Down Month | -3.79% | -4.58% |
| Win Days | 53.48% | 51.57% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 50.0% |
| Beta | - | 0.42 |
| Alpha | - | -0.03 |
| Correlation | - | 45.73% |
| Treynor Ratio | - | 17.23% |
| Year | SPY | CPZ | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -4.12 | -2.38 | - |
| 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 | 13.33 | -3.89 | -0.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2024-10-08 | -25.46 | 957 |
| 2025-09-23 | 2026-11-04 | -17.95 | 408 |
| 2021-11-09 | 2022-01-10 | -10.87 | 63 |
| 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 |