| Metric | SPY | CSAIX |
|---|---|---|
| Risk-Free Proxy | BIL daily | BIL daily |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 206.74% | 13.45% |
| CAGR﹪ | 16.76% | 1.76% |
| Sharpe | 0.75 | -0.03 |
| Prob. Sharpe Ratio | 97.77% | 46.45% |
| Smart Sharpe | 0.65 | -0.03 |
| Sortino | 1.06 | -0.04 |
| Smart Sortino | 0.92 | -0.04 |
| Sortino/√2 | 0.75 | -0.03 |
| Smart Sortino/√2 | 0.65 | -0.03 |
| Omega | 1.19 | 1.04 |
| Max Drawdown | -33.72% | -28.73% |
| Max DD Date | 2020-03-23 | 2025-05-12 |
| Max DD Period Start | 2020-02-20 | 2022-10-17 |
| Max DD Period End | 2020-08-07 | 2026-09-03 |
| Longest DD Days | 708 | 1418 |
| Volatility (ann.) | 19.6% | 10.44% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.5 | 0.06 |
| Skew | -0.29 | -0.48 |
| Kurtosis | 13.8 | 6.97 |
| Ulcer Performance Index | 25.84 | 0.99 |
| Risk-Adjusted Return | 16.76% | 1.93% |
| Risk-Return Ratio | 0.06 | 0.01 |
| Avg. Return | 0.07% | 0.01% |
| Avg. Win | 0.67% | 0.45% |
| Avg. Loss | -0.77% | -0.58% |
| Win/Loss Ratio | 0.87 | 0.78 |
| Profit Ratio | 0.77 | 0.55 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.28% | 0.14% |
| Expected Yearly | 15.04% | 1.59% |
| Kelly Criterion | 4.27% | -6.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.07% |
| Expected Shortfall (cVaR) | -3.21% | -1.57% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.19 | 0.04 |
| Gain/Pain (1M) | 1.17 | 0.19 |
| Payoff Ratio | 0.87 | 0.78 |
| Profit Factor | 1.19 | 1.04 |
| Common Sense Ratio | 1.14 | 0.88 |
| CPC Index | 0.57 | 0.43 |
| Tail Ratio | 0.96 | 0.84 |
| Outlier Win Ratio | 3.7 | 3.6 |
| Outlier Loss Ratio | 4.09 | 3.31 |
| 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.) | 16.76% | 1.76% |
| All-time (ann.) | 16.76% | 1.76% |
| Best Day | 10.5% | 5.09% |
| Worst Day | -10.94% | -5.06% |
| Best Month | 12.7% | 7.59% |
| Worst Month | -12.49% | -11.9% |
| Best Year | 28.73% | 21.38% |
| Worst Year | -18.18% | -6.16% |
| Avg. Drawdown | -1.78% | -3.49% |
| Avg. Drawdown Days | 15 | 98 |
| Recovery Factor | 3.74 | 0.58 |
| Ulcer Index | 0.08 | 0.14 |
| Serenity Index | 1.02 | 0.03 |
| Avg. Up Month | 3.91% | 2.05% |
| Avg. Down Month | -2.71% | -2.71% |
| Win Days | 55.41% | 53.66% |
| Win Month | 67.05% | 51.72% |
| Win Quarter | 76.67% | 60.0% |
| Win Year | 87.5% | 50.0% |
| Beta | - | -0.08 |
| Alpha | - | 0.04 |
| Correlation | - | -15.89% |
| Treynor Ratio | - | -158.98% |
| Year | SPY | CSAIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -2.50 | -0.15 | - |
| 2020 | 18.33 | 1.86 | 0.10 | - |
| 2021 | 28.73 | 7.48 | 0.26 | - |
| 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 |
| 2019-09-04 | 2021-02-23 | -14.44 | 539 |
| 2022-06-16 | 2022-09-21 | -7.50 | 98 |
| 2021-06-02 | 2022-02-23 | -6.52 | 267 |
| 2022-09-28 | 2022-10-11 | -3.95 | 14 |
| 2022-03-09 | 2022-03-24 | -3.88 | 16 |
| 2021-02-26 | 2021-04-22 | -3.64 | 56 |
| 2022-03-28 | 2022-04-07 | -2.73 | 11 |
| 2019-07-05 | 2019-07-31 | -2.31 | 27 |
| 2022-05-09 | 2022-06-08 | -2.27 | 31 |