| Metric | SPY | CSQAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 18.6% | 3.06% |
| CAGR﹪ | 40.67% | 6.22% |
| Sharpe | 2.32 | 0.38 |
| Prob. Sharpe Ratio | 95.04% | 60.36% |
| Smart Sharpe | 2.3 | 0.33 |
| Sortino | 3.78 | 0.51 |
| Smart Sortino | 3.75 | 0.44 |
| Sortino/√2 | 2.67 | 0.36 |
| Smart Sortino/√2 | 2.65 | 0.31 |
| Omega | 1.54 | 1.16 |
| Max Drawdown | -4.49% | -3.92% |
| Max DD Date | 2026-06-10 | 2026-06-24 |
| Max DD Period Start | 2026-06-03 | 2026-05-15 |
| Max DD Period End | 2026-07-31 | 2026-09-09 |
| Longest DD Days | 59 | 118 |
| Volatility (ann.) | 13.55% | 7.14% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.15 | -0.15 |
| Calmar | 9.05 | 1.59 |
| Skew | 0.1 | -0.66 |
| Kurtosis | 1.12 | 1.31 |
| Ulcer Performance Index | 11.86 | 1.9 |
| Risk-Adjusted Return | 40.67% | 6.99% |
| Risk-Return Ratio | 0.16 | 0.06 |
| Avg. Return | 0.11% | 0.03% |
| Avg. Win | 0.83% | 0.41% |
| Avg. Loss | -0.66% | -0.46% |
| Win/Loss Ratio | 1.27 | 0.89 |
| Profit Ratio | 1.12 | 0.5 |
| Expected Daily | 0.14% | 0.02% |
| Expected Monthly | 2.47% | 0.43% |
| Expected Yearly | 18.6% | 3.06% |
| Kelly Criterion | 17.6% | 5.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.71% |
| Expected Shortfall (cVaR) | -1.77% | -1.06% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.16 |
| Gain/Pain (1M) | 10.92 | 1.51 |
| Payoff Ratio | 1.27 | 0.89 |
| Profit Factor | 1.54 | 1.16 |
| Common Sense Ratio | 2.01 | 1.15 |
| CPC Index | 1.05 | 0.57 |
| Tail Ratio | 1.3 | 1.0 |
| Outlier Win Ratio | 3.21 | 2.67 |
| Outlier Loss Ratio | 3.16 | 2.25 |
| MTD | 1.08% | 0.11% |
| 3M | 3.82% | 1.87% |
| 6M | 18.6% | 3.06% |
| YTD | 18.6% | 3.06% |
| 1Y | 18.6% | 3.06% |
| 3Y (ann.) | 40.67% | 6.22% |
| 5Y (ann.) | 40.67% | 6.22% |
| 10Y (ann.) | 40.67% | 6.22% |
| All-time (ann.) | 40.67% | 6.22% |
| Best Day | 2.91% | 0.93% |
| Worst Day | -2.58% | -1.82% |
| Best Month | 10.51% | 3.86% |
| Worst Month | -1.03% | -1.12% |
| Best Year | 18.6% | 3.06% |
| Worst Year | 18.6% | 3.06% |
| Avg. Drawdown | -1.13% | -1.06% |
| Avg. Drawdown Days | 9 | 20 |
| Recovery Factor | 3.9 | 0.8 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.75 | 0.27 |
| Avg. Up Month | 3.57% | 1.31% |
| Avg. Down Month | -0.9% | -0.56% |
| Win Days | 53.97% | 55.36% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.22 |
| Alpha | - | -0.01 |
| Correlation | - | 41.85% |
| Treynor Ratio | - | 13.89% |
| Year | SPY | CSQAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 3.06 | 0.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-15 | 2026-09-09 | -3.92 | 118 |
| 2026-05-06 | 2026-05-08 | -1.24 | 3 |
| 2026-09-14 | 2026-09-22 | -1.13 | 9 |
| 2026-04-14 | 2026-04-23 | -0.80 | 10 |
| 2026-03-26 | 2026-04-06 | -0.70 | 12 |
| 2026-05-01 | 2026-05-04 | -0.34 | 4 |
| 2026-04-09 | 2026-04-09 | -0.23 | 1 |
| 2026-05-12 | 2026-05-12 | -0.11 | 1 |