| Metric | SPY | CBHIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 14.39% | 13.3% |
| CAGR﹪ | 14.51% | 13.42% |
| Sharpe | 0.83 | 1.79 |
| Prob. Sharpe Ratio | 79.61% | 96.25% |
| Smart Sharpe | 0.82 | 1.78 |
| Sortino | 1.22 | 2.74 |
| Smart Sortino | 1.2 | 2.72 |
| Sortino/√2 | 0.86 | 1.94 |
| Smart Sortino/√2 | 0.85 | 1.92 |
| Omega | 1.2 | 1.5 |
| Max Drawdown | -8.88% | -2.08% |
| Max DD Date | 2026-03-30 | 2026-07-06 |
| Max DD Period Start | 2026-01-28 | 2026-06-15 |
| Max DD Period End | 2026-04-13 | 2026-07-16 |
| Longest DD Days | 76 | 48 |
| Volatility (ann.) | 12.86% | 5.05% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.63 | 6.47 |
| Skew | -0.02 | -0.07 |
| Kurtosis | 0.78 | -0.24 |
| Ulcer Performance Index | 6.68 | 18.53 |
| Risk-Adjusted Return | 14.51% | 15.42% |
| Risk-Return Ratio | 0.07 | 0.16 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.55% | 0.27% |
| Avg. Loss | -0.4% | -0.23% |
| Win/Loss Ratio | 1.35 | 1.15 |
| Profit Ratio | 1.02 | 0.44 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.04% | 0.97% |
| Expected Yearly | 6.95% | 6.44% |
| Kelly Criterion | 16.5% | 23.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.47% |
| Expected Shortfall (cVaR) | -1.66% | -0.58% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.5 |
| Gain/Pain (1M) | 1.83 | 10.22 |
| Payoff Ratio | 1.35 | 1.15 |
| Profit Factor | 1.2 | 1.5 |
| Common Sense Ratio | 1.19 | 1.57 |
| CPC Index | 0.84 | 1.02 |
| Tail Ratio | 0.99 | 1.05 |
| Outlier Win Ratio | 2.84 | 3.22 |
| Outlier Loss Ratio | 3.01 | 2.23 |
| MTD | 1.47% | -0.53% |
| 3M | 1.46% | 1.51% |
| 6M | 6.94% | 3.45% |
| YTD | 13.33% | 11.95% |
| 1Y | 14.39% | 13.3% |
| 3Y (ann.) | 14.51% | 13.42% |
| 5Y (ann.) | 14.51% | 13.42% |
| 10Y (ann.) | 14.51% | 13.42% |
| All-time (ann.) | 14.51% | 13.42% |
| Best Day | 2.91% | 0.86% |
| Worst Day | -2.58% | -0.75% |
| Best Month | 10.51% | 2.37% |
| Worst Month | -4.94% | -0.67% |
| Best Year | 13.33% | 11.95% |
| Worst Year | 0.94% | 1.21% |
| Avg. Drawdown | -1.74% | -0.72% |
| Avg. Drawdown Days | 14 | 12 |
| Recovery Factor | 1.61 | 6.08 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 3.38 |
| Avg. Up Month | 3.47% | 1.12% |
| Avg. Down Month | -0.33% | -0.67% |
| Win Days | 52.0% | 59.26% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.16 |
| Alpha | - | 0.15 |
| Correlation | - | -42.02% |
| Treynor Ratio | - | -80.66% |
| Year | SPY | CBHIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.21 | 1.29 | + |
| 2026 | 13.33 | 11.95 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-15 | 2026-07-16 | -2.08 | 32 |
| 2026-07-30 | 2026-09-04 | -1.80 | 37 |
| 2025-12-04 | 2026-01-20 | -1.53 | 48 |
| 2026-09-11 | 2026-10-13 | -1.41 | 33 |
| 2026-03-31 | 2026-04-23 | -1.34 | 24 |
| 2026-10-26 | 2026-11-04 | -1.26 | 10 |
| 2026-05-11 | 2026-05-18 | -0.73 | 8 |
| 2026-03-09 | 2026-03-12 | -0.66 | 4 |
| 2026-05-21 | 2026-06-09 | -0.64 | 20 |
| 2026-07-23 | 2026-07-28 | -0.64 | 6 |