| Metric | SPY | CSQAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 86.0% |
| Cumulative Return | 204.97% | 29.61% |
| CAGR﹪ | 16.25% | 3.56% |
| Sharpe | 0.72 | 0.13 |
| Prob. Sharpe Ratio | 97.45% | 63.76% |
| Smart Sharpe | 0.63 | 0.13 |
| Sortino | 1.02 | 0.18 |
| Smart Sortino | 0.88 | 0.17 |
| Sortino/√2 | 0.72 | 0.13 |
| Smart Sortino/√2 | 0.62 | 0.12 |
| Omega | 1.18 | 1.11 |
| Max Drawdown | -33.72% | -7.28% |
| Max DD Date | 2020-03-23 | 2023-05-22 |
| Max DD Period Start | 2020-02-20 | 2023-03-07 |
| Max DD Period End | 2020-08-07 | 2023-11-21 |
| Longest DD Days | 708 | 352 |
| Volatility (ann.) | 19.45% | 6.47% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.49 |
| Skew | -0.29 | -0.4 |
| Kurtosis | 13.94 | 2.88 |
| Ulcer Performance Index | 25.91 | 10.68 |
| Risk-Adjusted Return | 16.25% | 4.14% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.84% | 0.35% |
| Avg. Loss | -0.91% | -0.39% |
| Win/Loss Ratio | 0.93 | 0.89 |
| Profit Ratio | 0.78 | 0.45 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.25% | 0.29% |
| Expected Yearly | 14.96% | 3.29% |
| Kelly Criterion | 6.67% | 2.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.66% |
| Expected Shortfall (cVaR) | -3.2% | -0.97% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.11 |
| Gain/Pain (1M) | 1.15 | 0.6 |
| Payoff Ratio | 0.93 | 0.89 |
| Profit Factor | 1.18 | 1.11 |
| Common Sense Ratio | 1.13 | 1.01 |
| CPC Index | 0.6 | 0.53 |
| Tail Ratio | 0.96 | 0.91 |
| Outlier Win Ratio | 3.69 | 3.92 |
| Outlier Loss Ratio | 4.12 | 3.25 |
| 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.) | 16.25% | 3.56% |
| All-time (ann.) | 16.25% | 3.56% |
| Best Day | 10.5% | 2.02% |
| Worst Day | -10.94% | -2.24% |
| Best Month | 12.7% | 6.19% |
| Worst Month | -12.49% | -4.58% |
| Best Year | 28.73% | 9.94% |
| Worst Year | -18.18% | -1.37% |
| Avg. Drawdown | -1.79% | -1.29% |
| Avg. Drawdown Days | 16 | 48 |
| Recovery Factor | 3.72 | 3.77 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 1.03 | 0.68 |
| Avg. Up Month | 4.31% | 1.31% |
| Avg. Down Month | -2.88% | -1.46% |
| Win Days | 55.15% | 54.06% |
| Win Month | 65.56% | 54.44% |
| Win Quarter | 77.42% | 67.74% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.09 |
| Alpha | - | 0.02 |
| Correlation | - | 26.05% |
| Treynor Ratio | - | 341.87% |
| Year | SPY | CSQAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -1.37 | -0.08 | - |
| 2020 | 18.33 | 6.11 | 0.33 | - |
| 2021 | 28.73 | 9.94 | 0.35 | - |
| 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 |
| 2019-06-21 | 2020-03-31 | -6.25 | 285 |
| 2021-09-17 | 2022-08-30 | -6.02 | 348 |
| 2020-04-23 | 2021-01-06 | -5.91 | 259 |
| 2025-02-19 | 2026-02-05 | -5.27 | 352 |
| 2026-03-02 | 2026-11-04 | -4.92 | 248 |
| 2024-07-11 | 2025-02-03 | -4.32 | 208 |
| 2024-03-22 | 2024-07-01 | -2.61 | 102 |
| 2021-04-27 | 2021-06-01 | -2.04 | 36 |
| 2023-12-13 | 2024-03-05 | -2.02 | 84 |