| Metric | SPY | CSQAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 17.87% | 5.22% |
| CAGR﹪ | 18.02% | 5.27% |
| Sharpe | 1.04 | 0.19 |
| Prob. Sharpe Ratio | 84.73% | 57.52% |
| Smart Sharpe | 1.01 | 0.17 |
| Sortino | 1.51 | 0.26 |
| Smart Sortino | 1.47 | 0.23 |
| Sortino/√2 | 1.07 | 0.18 |
| Smart Sortino/√2 | 1.04 | 0.16 |
| Omega | 1.25 | 1.12 |
| 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 | 2026-09-22 |
| Longest DD Days | 76 | 205 |
| Volatility (ann.) | 12.99% | 7.62% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.03 | 1.07 |
| Skew | -0.15 | -0.69 |
| Kurtosis | 1.05 | 1.51 |
| Ulcer Performance Index | 8.3 | 2.52 |
| Risk-Adjusted Return | 18.02% | 5.85% |
| Risk-Return Ratio | 0.08 | 0.04 |
| Avg. Return | 0.04% | 0.02% |
| Avg. Win | 0.72% | 0.43% |
| Avg. Loss | -0.72% | -0.49% |
| Win/Loss Ratio | 1.0 | 0.88 |
| Profit Ratio | 0.94 | 0.52 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.27% | 0.39% |
| Expected Yearly | 8.57% | 2.58% |
| Kelly Criterion | 7.15% | 3.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.77% |
| Expected Shortfall (cVaR) | -1.72% | -1.16% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.12 |
| Gain/Pain (1M) | 2.6 | 0.71 |
| Payoff Ratio | 1.0 | 0.88 |
| Profit Factor | 1.25 | 1.12 |
| Common Sense Ratio | 1.24 | 1.22 |
| CPC Index | 0.67 | 0.54 |
| Tail Ratio | 0.99 | 1.08 |
| Outlier Win Ratio | 2.88 | 2.8 |
| Outlier Loss Ratio | 3.19 | 3.28 |
| MTD | 1.08% | 0.11% |
| 3M | 3.82% | 1.87% |
| 6M | 19.85% | 3.06% |
| YTD | 14.3% | 4.16% |
| 1Y | 17.87% | 5.22% |
| 3Y (ann.) | 18.02% | 5.27% |
| 5Y (ann.) | 18.02% | 5.27% |
| 10Y (ann.) | 18.02% | 5.27% |
| All-time (ann.) | 18.02% | 5.27% |
| Best Day | 2.91% | 1.16% |
| Worst Day | -2.7% | -2.02% |
| Best Month | 10.51% | 5.79% |
| Worst Month | -4.94% | -4.58% |
| Best Year | 14.3% | 4.16% |
| Worst Year | 3.13% | 1.02% |
| Avg. Drawdown | -1.71% | -1.18% |
| Avg. Drawdown Days | 13 | 27 |
| Recovery Factor | 1.94 | 1.09 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 0.28 |
| Avg. Up Month | 2.34% | 1.04% |
| Avg. Down Month | -2.98% | -2.85% |
| Win Days | 53.6% | 54.91% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.29 |
| Alpha | - | 0.0 |
| Correlation | - | 48.96% |
| Treynor Ratio | - | 18.2% |
| Year | SPY | CSQAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.02 | 0.33 | - |
| 2026 | 14.30 | 4.16 | 0.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-09-22 | -4.92 | 205 |
| 2025-12-23 | 2026-01-27 | -2.23 | 36 |
| 2025-09-30 | 2025-11-07 | -1.65 | 39 |
| 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 |
| 2025-11-11 | 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 |