| Metric | SPY | CBYYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 46.0% |
| Cumulative Return | 14.39% | 10.36% |
| CAGR﹪ | 14.51% | 10.45% |
| Sharpe | 0.83 | 5.46 |
| Prob. Sharpe Ratio | 79.61% | 100.0% |
| Smart Sharpe | 0.82 | 4.75 |
| Sortino | 1.22 | 14.49 |
| Smart Sortino | 1.2 | 12.6 |
| Sortino/√2 | 0.86 | 10.24 |
| Smart Sortino/√2 | 0.85 | 8.91 |
| Omega | 1.2 | 9.51 |
| Max Drawdown | -8.88% | -0.17% |
| Max DD Date | 2026-03-30 | 2026-10-13 |
| Max DD Period Start | 2026-01-28 | 2026-10-13 |
| Max DD Period End | 2026-04-13 | 2026-10-15 |
| Longest DD Days | 76 | 10 |
| Volatility (ann.) | 12.86% | 1.14% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.63 | 62.45 |
| Skew | -0.02 | 1.37 |
| Kurtosis | 0.78 | 4.1 |
| Ulcer Performance Index | 6.68 | 360.43 |
| Risk-Adjusted Return | 14.51% | 22.72% |
| Risk-Return Ratio | 0.07 | 0.55 |
| Avg. Return | 0.04% | 0.09% |
| Avg. Win | 0.62% | 0.11% |
| Avg. Loss | -0.74% | -0.1% |
| Win/Loss Ratio | 0.84 | 1.08 |
| Profit Ratio | 1.02 | 0.02 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.76% |
| Expected Yearly | 6.95% | 5.05% |
| Kelly Criterion | -4.82% | 79.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.08% |
| Expected Shortfall (cVaR) | -1.66% | -0.1% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 1 |
| Gain/Pain Ratio | 0.2 | 8.51 |
| Gain/Pain (1M) | 1.83 | - |
| Payoff Ratio | 0.84 | 1.08 |
| Profit Factor | 1.2 | 9.51 |
| Common Sense Ratio | 1.19 | - |
| CPC Index | 0.53 | 9.17 |
| Tail Ratio | 0.99 | - |
| Outlier Win Ratio | 2.84 | 6.54 |
| Outlier Loss Ratio | 3.01 | 0.94 |
| MTD | 1.47% | 0.08% |
| 3M | 1.46% | 4.8% |
| 6M | 6.94% | 7.61% |
| YTD | 13.33% | 9.37% |
| 1Y | 14.39% | 10.36% |
| 3Y (ann.) | 14.51% | 10.45% |
| 5Y (ann.) | 14.51% | 10.45% |
| 10Y (ann.) | 14.51% | 10.45% |
| All-time (ann.) | 14.51% | 10.45% |
| Best Day | 2.91% | 0.35% |
| Worst Day | -2.58% | -0.17% |
| Best Month | 10.51% | 1.92% |
| Worst Month | -4.94% | 0.08% |
| Best Year | 13.33% | 9.37% |
| Worst Year | 0.94% | 0.91% |
| Avg. Drawdown | -1.74% | -0.1% |
| Avg. Drawdown Days | 14 | 3 |
| Recovery Factor | 1.61 | 58.97 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.94 | 240.23 |
| Avg. Up Month | 2.8% | 0.65% |
| Avg. Down Month | - | - |
| Win Days | 52.0% | 89.38% |
| Win Month | 61.54% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.0 |
| Alpha | - | 0.1 |
| Correlation | - | -0.94% |
| Treynor Ratio | - | -12391.3% |
| Year | SPY | CBYYX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.91 | 0.97 | - |
| 2026 | 13.33 | 9.37 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-10-13 | 2026-10-15 | -0.17 | 3 |
| 2026-01-09 | 2026-01-09 | -0.09 | 1 |
| 2026-01-16 | 2026-01-20 | -0.09 | 5 |
| 2026-01-30 | 2026-01-30 | -0.09 | 1 |
| 2026-02-06 | 2026-02-06 | -0.09 | 1 |
| 2026-02-13 | 2026-02-13 | -0.09 | 1 |
| 2026-02-20 | 2026-02-20 | -0.09 | 1 |
| 2026-03-03 | 2026-03-12 | -0.09 | 10 |
| 2026-03-20 | 2026-03-25 | -0.09 | 6 |
| 2026-03-27 | 2026-03-27 | -0.09 | 1 |