| Metric | SPY | CBHIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 86.0% |
| Cumulative Return | 17.87% | 12.97% |
| CAGR﹪ | 18.02% | 13.08% |
| Sharpe | 1.04 | 1.72 |
| Prob. Sharpe Ratio | 84.73% | 95.7% |
| Smart Sharpe | 1.01 | 1.71 |
| Sortino | 1.51 | 2.65 |
| Smart Sortino | 1.47 | 2.63 |
| Sortino/√2 | 1.07 | 1.88 |
| Smart Sortino/√2 | 1.04 | 1.86 |
| Omega | 1.25 | 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.) | 12.99% | 4.89% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.03 | 6.3 |
| Skew | -0.15 | -0.01 |
| Kurtosis | 1.05 | -0.13 |
| Ulcer Performance Index | 8.3 | 18.04 |
| Risk-Adjusted Return | 18.02% | 15.21% |
| Risk-Return Ratio | 0.08 | 0.16 |
| Avg. Return | 0.08% | 0.06% |
| Avg. Win | 0.52% | 0.28% |
| Avg. Loss | -0.38% | -0.27% |
| Win/Loss Ratio | 1.4 | 1.05 |
| Profit Ratio | 0.94 | 0.44 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.27% | 0.94% |
| Expected Yearly | 8.57% | 6.29% |
| Kelly Criterion | 20.34% | 20.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.46% |
| Expected Shortfall (cVaR) | -1.72% | -0.58% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.5 |
| Gain/Pain (1M) | 2.6 | 57.14 |
| Payoff Ratio | 1.4 | 1.05 |
| Profit Factor | 1.25 | 1.5 |
| Common Sense Ratio | 1.24 | 1.83 |
| CPC Index | 0.93 | 0.93 |
| Tail Ratio | 0.99 | 1.22 |
| Outlier Win Ratio | 2.88 | 3.32 |
| Outlier Loss Ratio | 3.19 | 2.31 |
| MTD | 1.08% | -0.03% |
| 3M | 3.82% | 1.76% |
| 6M | 19.85% | 4.7% |
| YTD | 14.3% | 11.02% |
| 1Y | 17.87% | 12.97% |
| 3Y (ann.) | 18.02% | 13.08% |
| 5Y (ann.) | 18.02% | 13.08% |
| 10Y (ann.) | 18.02% | 13.08% |
| All-time (ann.) | 18.02% | 13.08% |
| Best Day | 2.91% | 0.86% |
| Worst Day | -2.7% | -0.75% |
| Best Month | 10.51% | 2.37% |
| Worst Month | -4.94% | -0.16% |
| Best Year | 14.3% | 11.02% |
| Worst Year | 3.13% | 1.76% |
| Avg. Drawdown | -1.71% | -0.68% |
| Avg. Drawdown Days | 13 | 12 |
| Recovery Factor | 1.94 | 5.94 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 3.29 |
| Avg. Up Month | 2.94% | 1.06% |
| Avg. Down Month | - | - |
| Win Days | 53.6% | 59.07% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.15 |
| Alpha | - | 0.15 |
| Correlation | - | -39.54% |
| Treynor Ratio | - | -87.1% |
| Year | SPY | CBHIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.76 | 0.56 | - |
| 2026 | 14.30 | 11.02 | 0.77 | - |
| 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 |
| 2025-09-29 | 2025-11-04 | -1.44 | 37 |
| 2026-03-31 | 2026-04-23 | -1.34 | 24 |
| 2026-09-11 | 2026-09-22 | -0.77 | 12 |
| 2026-05-11 | 2026-05-18 | -0.73 | 8 |
| 2026-03-09 | 2026-03-11 | -0.66 | 3 |
| 2026-05-27 | 2026-06-09 | -0.64 | 14 |
| 2026-07-23 | 2026-07-28 | -0.64 | 6 |