| Metric | SPY | CBHIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 86.58% | 30.47% |
| CAGR﹪ | 13.36% | 5.49% |
| Sharpe | 0.59 | 0.41 |
| Prob. Sharpe Ratio | 90.85% | 82.21% |
| Smart Sharpe | 0.58 | 0.41 |
| Sortino | 0.86 | 0.6 |
| Smart Sortino | 0.83 | 0.59 |
| Sortino/√2 | 0.61 | 0.42 |
| Smart Sortino/√2 | 0.59 | 0.42 |
| Omega | 1.16 | 1.25 |
| Max Drawdown | -24.5% | -6.84% |
| Max DD Date | 2022-10-12 | 2022-10-07 |
| Max DD Period Start | 2022-01-04 | 2022-02-09 |
| Max DD Period End | 2023-12-12 | 2023-07-26 |
| Longest DD Days | 708 | 533 |
| Volatility (ann.) | 17.2% | 3.94% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.8 |
| Skew | 0.32 | -0.02 |
| Kurtosis | 8.95 | 0.59 |
| Ulcer Performance Index | 10.24 | 15.21 |
| Risk-Adjusted Return | 13.36% | 6.7% |
| Risk-Return Ratio | 0.05 | 0.09 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.72% | 0.23% |
| Avg. Loss | -0.73% | -0.23% |
| Win/Loss Ratio | 0.99 | 1.01 |
| Profit Ratio | 0.83 | 0.41 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.44% |
| Expected Yearly | 10.95% | 4.53% |
| Kelly Criterion | 7.79% | 11.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.39% |
| Expected Shortfall (cVaR) | -2.58% | -0.51% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.25 |
| Gain/Pain (1M) | 0.87 | 1.92 |
| Payoff Ratio | 0.99 | 1.01 |
| Profit Factor | 1.16 | 1.25 |
| Common Sense Ratio | 1.17 | 1.47 |
| CPC Index | 0.62 | 0.7 |
| Tail Ratio | 1.01 | 1.17 |
| Outlier Win Ratio | 3.41 | 3.55 |
| Outlier Loss Ratio | 3.77 | 2.45 |
| MTD | 1.08% | -0.03% |
| 3M | 3.82% | 1.76% |
| 6M | 19.85% | 4.7% |
| YTD | 14.3% | 11.02% |
| 1Y | 17.78% | 12.97% |
| 3Y (ann.) | 24.86% | 6.93% |
| 5Y (ann.) | 13.06% | 5.35% |
| 10Y (ann.) | 13.36% | 5.49% |
| All-time (ann.) | 13.36% | 5.49% |
| Best Day | 10.5% | 0.94% |
| Worst Day | -5.85% | -0.93% |
| Best Month | 10.51% | 2.37% |
| Worst Month | -9.24% | -3.13% |
| Best Year | 26.18% | 11.02% |
| Worst Year | -18.18% | -2.56% |
| Avg. Drawdown | -1.89% | -0.66% |
| Avg. Drawdown Days | 20 | 21 |
| Recovery Factor | 2.85 | 3.95 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.47 | 0.64 |
| Avg. Up Month | 3.86% | 0.83% |
| Avg. Down Month | -6.66% | -1.35% |
| Win Days | 54.04% | 55.58% |
| Win Month | 63.93% | 67.21% |
| Win Quarter | 66.67% | 80.95% |
| Win Year | 83.33% | 83.33% |
| Beta | - | -0.04 |
| Alpha | - | 0.06 |
| Correlation | - | -15.55% |
| Treynor Ratio | - | -856.14% |
| Year | SPY | CBHIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 2.42 | 0.32 | - |
| 2022 | -18.18 | -2.56 | 0.14 | + |
| 2023 | 26.18 | 9.85 | 0.38 | - |
| 2024 | 24.89 | 1.19 | 0.05 | - |
| 2025 | 17.72 | 5.93 | 0.33 | - |
| 2026 | 14.30 | 11.02 | 0.77 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-09 | 2023-07-26 | -6.84 | 533 |
| 2024-01-10 | 2024-09-04 | -3.63 | 239 |
| 2025-08-11 | 2025-11-28 | -2.83 | 110 |
| 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 |
| 2026-03-31 | 2026-04-23 | -1.34 | 24 |
| 2025-04-07 | 2025-04-16 | -1.26 | 10 |
| 2024-11-19 | 2024-12-12 | -1.26 | 24 |
| 2024-12-17 | 2025-01-10 | -1.24 | 25 |