| Metric | SPY | CSAIX |
|---|---|---|
| Risk-Free Proxy | BIL daily | BIL daily |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 19.86% | 10.87% |
| CAGR﹪ | 20.3% | 11.1% |
| Sharpe | 1.21 | 0.63 |
| Prob. Sharpe Ratio | 88.29% | 72.74% |
| Smart Sharpe | 1.19 | 0.61 |
| Sortino | 1.76 | 0.82 |
| Smart Sortino | 1.72 | 0.8 |
| Sortino/√2 | 1.24 | 0.58 |
| Smart Sortino/√2 | 1.21 | 0.56 |
| Omega | 1.28 | 1.18 |
| Max Drawdown | -8.88% | -7.73% |
| Max DD Date | 2026-03-30 | 2026-03-23 |
| Max DD Period Start | 2026-01-28 | 2026-01-30 |
| Max DD Period End | 2026-04-13 | 2026-09-03 |
| Longest DD Days | 76 | 217 |
| Volatility (ann.) | 12.9% | 12.1% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.28 | 1.44 |
| Skew | -0.21 | -1.42 |
| Kurtosis | 1.16 | 8.24 |
| Ulcer Performance Index | 9.34 | 2.94 |
| Risk-Adjusted Return | 20.3% | 12.33% |
| Risk-Return Ratio | 0.09 | 0.06 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.57% | 0.51% |
| Avg. Loss | -0.64% | -0.7% |
| Win/Loss Ratio | 0.9 | 0.72 |
| Profit Ratio | 0.88 | 0.39 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.4% | 0.8% |
| Expected Yearly | 9.48% | 5.29% |
| Kelly Criterion | 4.11% | 3.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.21% |
| Expected Shortfall (cVaR) | -1.72% | -1.81% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.28 | 0.18 |
| Gain/Pain (1M) | 2.85 | 1.95 |
| Payoff Ratio | 0.9 | 0.72 |
| Profit Factor | 1.28 | 1.18 |
| Common Sense Ratio | 1.21 | 1.05 |
| CPC Index | 0.63 | 0.51 |
| Tail Ratio | 0.94 | 0.89 |
| Outlier Win Ratio | 2.93 | 3.49 |
| Outlier Loss Ratio | 3.21 | 3.11 |
| MTD | 0.8% | 0.0% |
| 3M | 2.05% | -1.07% |
| 6M | 13.24% | 0.22% |
| YTD | 13.98% | 4.96% |
| 1Y | 19.86% | 10.87% |
| 3Y (ann.) | 20.3% | 11.1% |
| 5Y (ann.) | 20.3% | 11.1% |
| 10Y (ann.) | 20.3% | 11.1% |
| All-time (ann.) | 20.3% | 11.1% |
| Best Day | 2.91% | 2.52% |
| Worst Day | -2.7% | -5.06% |
| Best Month | 10.51% | 2.98% |
| Worst Month | -4.94% | -3.31% |
| Best Year | 13.98% | 5.63% |
| Worst Year | 5.16% | 4.96% |
| Avg. Drawdown | -1.56% | -1.77% |
| Avg. Drawdown Days | 12 | 28 |
| Recovery Factor | 2.13 | 1.43 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.28 | 0.32 |
| Avg. Up Month | 3.13% | 1.67% |
| Avg. Down Month | -2.98% | -2.38% |
| Win Days | 54.66% | 59.46% |
| Win Month | 76.92% | 75.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.11 |
| Correlation | - | 2.22% |
| Treynor Ratio | - | 522.8% |
| Year | SPY | CSAIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 5.16 | 5.63 | 1.09 | + |
| 2026 | 13.98 | 4.96 | 0.35 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-30 | 2026-09-03 | -7.73 | 217 |
| 2026-01-07 | 2026-01-09 | -2.46 | 3 |
| 2025-11-13 | 2025-12-17 | -2.17 | 35 |
| 2025-10-21 | 2025-11-11 | -1.67 | 22 |
| 2025-12-29 | 2026-01-02 | -1.27 | 5 |
| 2025-10-17 | 2025-10-17 | -1.03 | 1 |
| 2025-10-09 | 2025-10-15 | -0.90 | 7 |
| 2026-01-16 | 2026-01-21 | -0.85 | 6 |
| 2025-09-24 | 2025-09-29 | -0.65 | 6 |
| 2026-01-27 | 2026-01-27 | -0.60 | 1 |