| Metric | SPY | CSQAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 85.0% |
| Cumulative Return | 86.58% | 12.82% |
| CAGR﹪ | 13.36% | 2.45% |
| Sharpe | 0.59 | -0.18 |
| Prob. Sharpe Ratio | 90.85% | 34.39% |
| Smart Sharpe | 0.58 | -0.17 |
| Sortino | 0.86 | -0.24 |
| Smart Sortino | 0.83 | -0.22 |
| Sortino/√2 | 0.61 | -0.17 |
| Smart Sortino/√2 | 0.59 | -0.16 |
| Omega | 1.16 | 1.07 |
| 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.) | 17.2% | 6.46% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.34 |
| Skew | 0.32 | -0.53 |
| Kurtosis | 8.95 | 3.11 |
| Ulcer Performance Index | 10.24 | 4.51 |
| Risk-Adjusted Return | 13.36% | 2.89% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.03% | 0.01% |
| Avg. Win | 0.81% | 0.35% |
| Avg. Loss | -0.9% | -0.39% |
| Win/Loss Ratio | 0.9 | 0.89 |
| Profit Ratio | 0.83 | 0.46 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.2% |
| Expected Yearly | 10.95% | 2.03% |
| Kelly Criterion | 2.78% | 0.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.66% |
| Expected Shortfall (cVaR) | -2.58% | -0.99% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.16 | 0.07 |
| Gain/Pain (1M) | 0.87 | 0.4 |
| Payoff Ratio | 0.9 | 0.89 |
| Profit Factor | 1.16 | 1.07 |
| Common Sense Ratio | 1.17 | 0.96 |
| CPC Index | 0.56 | 0.51 |
| Tail Ratio | 1.01 | 0.9 |
| Outlier Win Ratio | 3.41 | 3.7 |
| Outlier Loss Ratio | 3.77 | 3.36 |
| MTD | 1.08% | 0.11% |
| 3M | 3.82% | 1.87% |
| 6M | 19.85% | 3.06% |
| YTD | 14.3% | 4.16% |
| 1Y | 17.78% | 4.98% |
| 3Y (ann.) | 24.86% | 2.52% |
| 5Y (ann.) | 13.06% | 2.87% |
| 10Y (ann.) | 13.36% | 2.45% |
| All-time (ann.) | 13.36% | 2.45% |
| 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% | -0.53% |
| Avg. Drawdown | -1.89% | -1.41% |
| Avg. Drawdown Days | 20 | 52 |
| Recovery Factor | 2.85 | 1.8 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.47 | 0.3 |
| Avg. Up Month | 3.88% | 1.19% |
| Avg. Down Month | -2.84% | -1.64% |
| Win Days | 54.04% | 53.33% |
| Win Month | 63.93% | 55.74% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.12 |
| Alpha | - | 0.01 |
| Correlation | - | 31.06% |
| Treynor Ratio | - | 109.86% |
| Year | SPY | CSQAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -0.53 | -0.07 | - |
| 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 | 14.30 | 4.16 | 0.29 | - |
| 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 | 2026-09-22 | -4.92 | 205 |
| 2024-08-01 | 2025-02-03 | -4.32 | 187 |
| 2024-03-22 | 2024-07-01 | -2.61 | 102 |
| 2021-09-27 | 2021-11-18 | -2.28 | 53 |
| 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 |