| Metric | SPY | CPZ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 169.83% | 28.75% |
| CAGR﹪ | 15.43% | 3.72% |
| Sharpe | 0.68 | 0.15 |
| Prob. Sharpe Ratio | 96.12% | 65.4% |
| Smart Sharpe | 0.58 | 0.13 |
| Sortino | 0.95 | 0.2 |
| Smart Sortino | 0.82 | 0.18 |
| Sortino/√2 | 0.67 | 0.14 |
| Smart Sortino/√2 | 0.58 | 0.13 |
| Omega | 1.17 | 1.06 |
| Max Drawdown | -33.72% | -51.43% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2019-12-23 |
| Max DD Period End | 2020-08-07 | 2021-02-16 |
| Longest DD Days | 708 | 957 |
| Volatility (ann.) | 19.84% | 23.42% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.46 | 0.07 |
| Skew | -0.26 | -1.88 |
| Kurtosis | 13.68 | 46.96 |
| Ulcer Performance Index | 20.8 | 2.29 |
| Risk-Adjusted Return | 15.43% | 3.84% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.95% | 1.01% |
| Avg. Loss | -1.03% | -1.14% |
| Win/Loss Ratio | 0.92 | 0.88 |
| Profit Ratio | 0.78 | 0.8 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.17% | 0.3% |
| Expected Yearly | 13.21% | 3.21% |
| Kelly Criterion | 6.07% | -2.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.99% | -2.4% |
| Expected Shortfall (cVaR) | -3.26% | -4.33% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.17 | 0.06 |
| Gain/Pain (1M) | 1.05 | 0.35 |
| Payoff Ratio | 0.92 | 0.88 |
| Profit Factor | 1.17 | 1.06 |
| Common Sense Ratio | 1.14 | 1.11 |
| CPC Index | 0.59 | 0.49 |
| Tail Ratio | 0.97 | 1.04 |
| Outlier Win Ratio | 3.73 | 4.25 |
| Outlier Loss Ratio | 4.07 | 3.65 |
| 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.) | 15.43% | 3.72% |
| All-time (ann.) | 15.43% | 3.72% |
| Best Day | 10.5% | 15.77% |
| Worst Day | -10.94% | -20.13% |
| Best Month | 12.7% | 22.41% |
| Worst Month | -12.49% | -20.25% |
| Best Year | 28.73% | 21.23% |
| Worst Year | -18.18% | -13.98% |
| Avg. Drawdown | -1.88% | -3.64% |
| Avg. Drawdown Days | 16 | 48 |
| Recovery Factor | 3.35 | 0.87 |
| Ulcer Index | 0.08 | 0.13 |
| Serenity Index | 0.9 | 0.19 |
| Avg. Up Month | 4.54% | 3.83% |
| Avg. Down Month | -3.93% | -4.92% |
| Win Days | 54.97% | 52.04% |
| Win Month | 64.71% | 57.65% |
| Win Quarter | 75.86% | 55.17% |
| Win Year | 87.5% | 50.0% |
| Beta | - | 0.62 |
| Alpha | - | -0.04 |
| Correlation | - | 52.86% |
| Treynor Ratio | - | 46.05% |
| Year | SPY | CPZ | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 2.98 | -1.64 | -0.55 | - |
| 2020 | 18.33 | -3.49 | -0.19 | - |
| 2021 | 28.73 | 21.23 | 0.74 | - |
| 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 |
|---|---|---|---|
| 2019-12-23 | 2021-02-16 | -51.43 | 422 |
| 2022-02-25 | 2024-10-08 | -25.46 | 957 |
| 2025-09-23 | 2026-11-04 | -17.95 | 408 |
| 2021-10-21 | 2022-01-10 | -11.13 | 82 |
| 2021-06-14 | 2021-10-11 | -7.50 | 120 |
| 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 |
| 2021-02-25 | 2021-03-04 | -4.04 | 8 |
| 2022-02-10 | 2022-02-23 | -3.26 | 14 |