| Metric | SPY | CSQAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 14.39% | 4.75% |
| CAGR﹪ | 14.51% | 4.79% |
| Sharpe | 0.83 | 0.17 |
| Prob. Sharpe Ratio | 79.61% | 56.74% |
| Smart Sharpe | 0.82 | 0.15 |
| Sortino | 1.22 | 0.23 |
| Smart Sortino | 1.2 | 0.21 |
| Sortino/√2 | 0.86 | 0.16 |
| Smart Sortino/√2 | 0.85 | 0.15 |
| Omega | 1.2 | 1.11 |
| Max Drawdown | -8.88% | -4.92% |
| Max DD Date | 2026-03-30 | 2026-03-26 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 248 |
| Volatility (ann.) | 12.86% | 7.65% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.63 | 0.97 |
| Skew | -0.02 | -0.7 |
| Kurtosis | 0.78 | 1.45 |
| Ulcer Performance Index | 6.68 | 2.22 |
| Risk-Adjusted Return | 14.51% | 5.33% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.04% | 0.02% |
| Avg. Win | 0.72% | 0.42% |
| Avg. Loss | -0.7% | -0.5% |
| Win/Loss Ratio | 1.02 | 0.85 |
| Profit Ratio | 1.02 | 0.48 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.04% | 0.36% |
| Expected Yearly | 6.95% | 2.35% |
| Kelly Criterion | 4.98% | 3.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.77% |
| Expected Shortfall (cVaR) | -1.66% | -1.11% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.11 |
| Gain/Pain (1M) | 1.83 | 0.55 |
| Payoff Ratio | 1.02 | 0.85 |
| Profit Factor | 1.2 | 1.11 |
| Common Sense Ratio | 1.19 | 1.13 |
| CPC Index | 0.64 | 0.53 |
| Tail Ratio | 0.99 | 1.02 |
| Outlier Win Ratio | 2.84 | 2.84 |
| Outlier Loss Ratio | 3.01 | 3.18 |
| MTD | 1.47% | -1.36% |
| 3M | 1.46% | 0.11% |
| 6M | 6.94% | -1.11% |
| YTD | 13.33% | 3.45% |
| 1Y | 14.39% | 4.75% |
| 3Y (ann.) | 14.51% | 4.79% |
| 5Y (ann.) | 14.51% | 4.79% |
| 10Y (ann.) | 14.51% | 4.79% |
| All-time (ann.) | 14.51% | 4.79% |
| Best Day | 2.91% | 1.16% |
| Worst Day | -2.58% | -2.02% |
| Best Month | 10.51% | 5.79% |
| Worst Month | -4.94% | -4.58% |
| Best Year | 13.33% | 3.45% |
| Worst Year | 0.94% | 1.26% |
| Avg. Drawdown | -1.74% | -1.17% |
| Avg. Drawdown Days | 14 | 30 |
| Recovery Factor | 1.61 | 1.0 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 0.25 |
| Avg. Up Month | 3.11% | 1.38% |
| Avg. Down Month | -2.1% | -2.09% |
| Win Days | 52.0% | 55.61% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.26 |
| Alpha | - | 0.01 |
| Correlation | - | 43.78% |
| Treynor Ratio | - | 18.26% |
| Year | SPY | CSQAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.26 | 1.34 | + |
| 2026 | 13.33 | 3.45 | 0.26 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-11-04 | -4.92 | 248 |
| 2025-12-23 | 2026-01-27 | -2.23 | 36 |
| 2026-01-30 | 2026-02-03 | -1.51 | 5 |
| 2025-11-13 | 2025-11-25 | -1.29 | 13 |
| 2025-11-28 | 2025-12-19 | -1.05 | 22 |
| 2025-11-06 | 2025-11-06 | -0.48 | 1 |
| 2025-11-11 | 2025-11-11 | -0.35 | 1 |
| 2026-02-17 | 2026-02-17 | -0.34 | 1 |
| 2026-02-10 | 2026-02-10 | -0.23 | 1 |
| 2026-02-12 | 2026-02-12 | -0.23 | 1 |