| Metric | SPY | CPZ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 18.6% | -0.04% |
| CAGR﹪ | 40.67% | -0.08% |
| Sharpe | 2.32 | -0.22 |
| Prob. Sharpe Ratio | 95.04% | 43.91% |
| Smart Sharpe | 2.3 | -0.2 |
| Sortino | 3.78 | -0.32 |
| Smart Sortino | 3.75 | -0.29 |
| Sortino/√2 | 2.67 | -0.23 |
| Smart Sortino/√2 | 2.65 | -0.21 |
| Omega | 1.54 | 1.01 |
| Max Drawdown | -4.49% | -9.47% |
| Max DD Date | 2026-06-10 | 2026-06-05 |
| Max DD Period Start | 2026-06-03 | 2026-04-21 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 155 |
| Volatility (ann.) | 13.55% | 13.05% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.15 | -0.15 |
| Calmar | 9.05 | -0.01 |
| Skew | 0.1 | 0.42 |
| Kurtosis | 1.12 | 0.39 |
| Ulcer Performance Index | 11.86 | -0.01 |
| Risk-Adjusted Return | 40.67% | -0.08% |
| Risk-Return Ratio | 0.16 | 0.0 |
| Avg. Return | 0.16% | 0.0% |
| Avg. Win | 0.82% | 0.79% |
| Avg. Loss | -0.63% | -0.76% |
| Win/Loss Ratio | 1.3 | 1.03 |
| Profit Ratio | 1.12 | 1.08 |
| Expected Daily | 0.14% | -0.0% |
| Expected Monthly | 2.47% | -0.01% |
| Expected Yearly | 18.6% | -0.04% |
| Kelly Criterion | 18.67% | -3.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.35% |
| Expected Shortfall (cVaR) | -1.77% | -1.52% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.01 |
| Gain/Pain (1M) | 10.92 | 0.06 |
| Payoff Ratio | 1.3 | 1.03 |
| Profit Factor | 1.54 | 1.01 |
| Common Sense Ratio | 2.01 | 1.03 |
| CPC Index | 1.08 | 0.5 |
| Tail Ratio | 1.3 | 1.02 |
| Outlier Win Ratio | 3.21 | 3.51 |
| Outlier Loss Ratio | 3.16 | 2.62 |
| MTD | 1.08% | -1.58% |
| 3M | 3.82% | 3.15% |
| 6M | 18.6% | -0.04% |
| YTD | 18.6% | -0.04% |
| 1Y | 18.6% | -0.04% |
| 3Y (ann.) | 40.67% | -0.08% |
| 5Y (ann.) | 40.67% | -0.08% |
| 10Y (ann.) | 40.67% | -0.08% |
| All-time (ann.) | 40.67% | -0.08% |
| Best Day | 2.91% | 2.57% |
| Worst Day | -2.58% | -1.68% |
| Best Month | 10.51% | 1.93% |
| Worst Month | -1.03% | -3.38% |
| Best Year | 18.6% | -0.04% |
| Worst Year | 18.6% | -0.04% |
| Avg. Drawdown | -1.13% | -4.91% |
| Avg. Drawdown Days | 9 | 58 |
| Recovery Factor | 3.9 | 0.04 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 2.75 | 0.01 |
| Avg. Up Month | 4.41% | 1.8% |
| Avg. Down Month | -0.77% | -1.67% |
| Win Days | 53.97% | 47.54% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.36 |
| Alpha | - | -0.12 |
| Correlation | - | 37.73% |
| Treynor Ratio | - | -0.11% |
| Year | SPY | CPZ | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | -0.04 | -0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-04-21 | 2026-09-22 | -9.47 | 155 |
| 2026-03-24 | 2026-04-08 | -4.13 | 16 |
| 2026-04-15 | 2026-04-16 | -1.14 | 2 |