CAPM assumes normal returns. Does Jensen's Alpha even work for options portfolios?

The Capital Asset Pricing Model (CAPM) does assume normally distributed returns when calculating expected performance through beta. Jensen's Alpha then measures excess return above that CAPM-predicted benchmark. For options portfolios however the return distribution is inherently non-normal featuring negative skewness from frequent small wins punctuated by occasional large losses. This asymmetry means standard Jensen's Alpha can understate true skill especially in premium-selling strategies. At VixShield we address this directly through the Unlimited Cash System built around 1DTE SPX Iron Condor Command trades. Our Conservative tier targets a 0.70 credit with an approximate 90 percent win rate across roughly 18 out of 20 trading days. The Balanced tier seeks 1.15 credit while the Aggressive tier aims for 1.60 credit. Strike selection relies on the EDR Expected Daily Range indicator combined with RSAi Rapid Skew AI which scans real-time skew and VIX momentum to optimize wings for the exact premium the market offers at 3:10 PM CST each market day. Because these are defined-risk Set and Forget positions with no stop losses we capture theta decay daily while the ALVH Adaptive Layered VIX Hedge provides multi-timeframe protection. The ALVH layers short 30 DTE medium 110 DTE and long 220 DTE VIX calls in a 4/4/2 ratio per ten Iron Condor contracts cutting drawdowns by 35 to 40 percent in high-volatility periods at an annual cost of only 1 to 2 percent of account value. When volatility spikes as with the current VIX at 17.95 we shift to VIX Risk Scaling holding only Conservative and Balanced tiers while keeping all ALVH layers active. The Temporal Theta Martingale then time-shifts threatened positions forward to 1-7 DTE on EDR above 0.94 percent or VIX above 16 capturing vega expansion before rolling back on VWAP pullbacks to harvest additional theta. This creates an 88 percent loss recovery rate in 2015-2025 backtests without adding capital. Traditional Jensen's Alpha applied to such a portfolio would penalize the negative skewness even as the Sharpe Ratio and especially the Sortino Ratio which focuses solely on downside deviation both show strong risk-adjusted performance. Russell Clark's SPX Mastery methodology therefore supplements Jensen's Alpha with Sortino-focused metrics and internal expectancy calculations tied to the three credit tiers. Position sizing remains capped at 10 percent of account balance per trade preserving capital across regimes. All trading involves substantial risk of loss and is not suitable for all investors. To explore these concepts further and access the full EDR indicator plus live signals join the SPX Mastery Club at vixshield.com.