| Metric | SPY | CSAIX |
|---|---|---|
| Risk-Free Proxy | BIL daily | BIL daily |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 85.72% | 5.26% |
| CAGR﹪ | 13.29% | 1.04% |
| Sharpe | 0.6 | -0.19 |
| Prob. Sharpe Ratio | 91.14% | 33.65% |
| Smart Sharpe | 0.59 | -0.17 |
| Sortino | 0.87 | -0.25 |
| Smart Sortino | 0.85 | -0.23 |
| Sortino/√2 | 0.61 | -0.18 |
| Smart Sortino/√2 | 0.6 | -0.16 |
| Omega | 1.16 | 1.03 |
| Max Drawdown | -24.5% | -28.73% |
| Max DD Date | 2022-10-12 | 2025-05-12 |
| Max DD Period Start | 2022-01-04 | 2022-10-17 |
| Max DD Period End | 2023-12-12 | 2026-09-03 |
| Longest DD Days | 708 | 1418 |
| Volatility (ann.) | 17.23% | 10.48% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.54 | 0.04 |
| Skew | 0.31 | -0.79 |
| Kurtosis | 8.9 | 6.04 |
| Ulcer Performance Index | 10.12 | 0.34 |
| Risk-Adjusted Return | 13.29% | 1.14% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.64% | 0.46% |
| Avg. Loss | -0.75% | -0.59% |
| Win/Loss Ratio | 0.85 | 0.77 |
| Profit Ratio | 0.82 | 0.55 |
| Expected Daily | 0.05% | 0.0% |
| Expected Monthly | 1.02% | 0.08% |
| Expected Yearly | 10.87% | 0.86% |
| Kelly Criterion | 0.56% | -6.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.08% |
| Expected Shortfall (cVaR) | -2.58% | -1.57% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.16 | 0.03 |
| Gain/Pain (1M) | 0.86 | 0.13 |
| Payoff Ratio | 0.85 | 0.77 |
| Profit Factor | 1.16 | 1.03 |
| Common Sense Ratio | 1.17 | 0.87 |
| CPC Index | 0.53 | 0.42 |
| Tail Ratio | 1.01 | 0.84 |
| Outlier Win Ratio | 3.42 | 3.52 |
| Outlier Loss Ratio | 3.76 | 3.23 |
| MTD | 0.8% | 0.0% |
| 3M | 2.05% | -1.07% |
| 6M | 13.24% | 0.22% |
| YTD | 13.98% | 4.96% |
| 1Y | 22.09% | 11.9% |
| 3Y (ann.) | 24.04% | -3.14% |
| 5Y (ann.) | 13.98% | 0.8% |
| 10Y (ann.) | 13.29% | 1.04% |
| All-time (ann.) | 13.29% | 1.04% |
| Best Day | 10.5% | 4.1% |
| Worst Day | -5.85% | -5.06% |
| Best Month | 10.51% | 7.59% |
| Worst Month | -9.24% | -11.9% |
| Best Year | 26.18% | 21.38% |
| Worst Year | -18.18% | -6.16% |
| Avg. Drawdown | -1.87% | -3.76% |
| Avg. Drawdown Days | 20 | 102 |
| Recovery Factor | 2.83 | 0.27 |
| Ulcer Index | 0.08 | 0.15 |
| Serenity Index | 0.47 | 0.01 |
| Avg. Up Month | 3.51% | 1.77% |
| Avg. Down Month | -2.53% | -3.04% |
| Win Days | 54.17% | 53.49% |
| Win Month | 63.93% | 53.33% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 33.33% |
| Beta | - | -0.05 |
| Alpha | - | 0.02 |
| Correlation | - | -8.3% |
| Treynor Ratio | - | -104.12% |
| Year | SPY | CSAIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.35 | -0.96 | -0.13 | - |
| 2022 | -18.18 | 21.38 | -1.18 | + |
| 2023 | 26.18 | -6.16 | -0.24 | - |
| 2024 | 24.89 | -5.59 | -0.22 | - |
| 2025 | 17.72 | -5.84 | -0.33 | - |
| 2026 | 13.98 | 4.96 | 0.35 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-17 | 2026-09-03 | -28.73 | 1418 |
| 2022-06-16 | 2022-09-21 | -7.50 | 98 |
| 2021-10-19 | 2022-02-11 | -5.34 | 116 |
| 2022-09-28 | 2022-10-11 | -3.95 | 14 |
| 2022-03-09 | 2022-03-24 | -3.88 | 16 |
| 2022-03-28 | 2022-04-07 | -2.73 | 11 |
| 2022-05-09 | 2022-06-08 | -2.27 | 31 |
| 2022-02-25 | 2022-03-01 | -1.53 | 5 |
| 2022-04-20 | 2022-04-27 | -1.52 | 8 |
| 2021-09-30 | 2021-10-07 | -1.37 | 8 |