| Metric | SPY | CSQAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 85.0% |
| Cumulative Return | 74.99% | 14.53% |
| CAGR﹪ | 11.91% | 2.77% |
| Sharpe | 0.52 | -0.14 |
| Prob. Sharpe Ratio | 87.6% | 37.5% |
| Smart Sharpe | 0.5 | -0.13 |
| Sortino | 0.74 | -0.19 |
| Smart Sortino | 0.72 | -0.18 |
| Sortino/√2 | 0.53 | -0.14 |
| Smart Sortino/√2 | 0.51 | -0.13 |
| Omega | 1.14 | 1.08 |
| Max Drawdown | -24.5% | -7.28% |
| Max DD Date | 2022-10-12 | 2023-05-22 |
| Max DD Period Start | 2022-01-04 | 2023-03-07 |
| Max DD Period End | 2023-12-12 | 2023-11-21 |
| Longest DD Days | 708 | 352 |
| Volatility (ann.) | 17.19% | 6.46% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.38 |
| Skew | 0.33 | -0.52 |
| Kurtosis | 8.98 | 3.06 |
| Ulcer Performance Index | 8.86 | 5.12 |
| Risk-Adjusted Return | 11.91% | 3.26% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.03% | 0.01% |
| Avg. Win | 0.8% | 0.35% |
| Avg. Loss | -0.89% | -0.39% |
| Win/Loss Ratio | 0.9 | 0.89 |
| Profit Ratio | 0.86 | 0.46 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.22% |
| Expected Yearly | 9.77% | 2.29% |
| Kelly Criterion | 1.97% | 1.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.66% |
| Expected Shortfall (cVaR) | -2.58% | -0.98% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.14 | 0.08 |
| Gain/Pain (1M) | 0.79 | 0.45 |
| Payoff Ratio | 0.9 | 0.89 |
| Profit Factor | 1.14 | 1.08 |
| Common Sense Ratio | 1.15 | 0.95 |
| CPC Index | 0.55 | 0.52 |
| Tail Ratio | 1.0 | 0.88 |
| Outlier Win Ratio | 3.4 | 3.69 |
| Outlier Loss Ratio | 3.8 | 3.26 |
| MTD | 1.47% | -1.36% |
| 3M | 1.46% | 0.11% |
| 6M | 6.94% | -1.11% |
| YTD | 13.33% | 3.45% |
| 1Y | 13.43% | 4.88% |
| 3Y (ann.) | 20.78% | 1.62% |
| 5Y (ann.) | 12.86% | 2.22% |
| 10Y (ann.) | 11.91% | 2.77% |
| All-time (ann.) | 11.91% | 2.77% |
| Best Day | 10.5% | 2.02% |
| Worst Day | -5.85% | -2.24% |
| Best Month | 10.51% | 5.79% |
| Worst Month | -9.24% | -4.58% |
| Best Year | 26.18% | 5.52% |
| Worst Year | -18.18% | 0.72% |
| Avg. Drawdown | -1.94% | -1.4% |
| Avg. Drawdown Days | 21 | 55 |
| Recovery Factor | 2.58 | 2.01 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.43 | 0.34 |
| Avg. Up Month | 4.02% | 1.25% |
| Avg. Down Month | -2.52% | -1.48% |
| Win Days | 53.48% | 53.38% |
| Win Month | 62.3% | 55.74% |
| Win Quarter | 71.43% | 61.9% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.11 |
| Alpha | - | 0.02 |
| Correlation | - | 30.01% |
| Treynor Ratio | - | 128.85% |
| Year | SPY | CSQAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 1.68 | 0.97 | - |
| 2022 | -18.18 | 5.52 | -0.30 | + |
| 2023 | 26.18 | 1.73 | 0.07 | - |
| 2024 | 24.89 | 0.72 | 0.03 | - |
| 2025 | 17.72 | 0.72 | 0.04 | - |
| 2026 | 13.33 | 3.45 | 0.26 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-03-07 | 2023-11-21 | -7.28 | 260 |
| 2021-12-06 | 2022-08-23 | -5.63 | 261 |
| 2025-02-19 | 2026-02-05 | -5.27 | 352 |
| 2026-03-02 | 2026-11-04 | -4.92 | 248 |
| 2024-07-05 | 2025-02-03 | -4.32 | 214 |
| 2024-03-22 | 2024-07-01 | -2.61 | 102 |
| 2023-12-13 | 2024-03-05 | -2.02 | 84 |
| 2022-09-23 | 2022-10-19 | -1.53 | 27 |
| 2022-12-12 | 2023-02-02 | -1.26 | 53 |
| 2021-12-01 | 2021-12-01 | -1.24 | 1 |