| Metric | SPY | CBYYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 52.0% |
| Cumulative Return | 78.82% | 45.39% |
| CAGR﹪ | 20.26% | 12.61% |
| Sharpe | 0.99 | 3.11 |
| Prob. Sharpe Ratio | 96.32% | 99.99% |
| Smart Sharpe | 0.93 | 2.95 |
| Sortino | 1.46 | 4.76 |
| Smart Sortino | 1.37 | 4.52 |
| Sortino/√2 | 1.03 | 3.37 |
| Smart Sortino/√2 | 0.97 | 3.19 |
| Omega | 1.27 | 5.01 |
| Max Drawdown | -18.76% | -2.85% |
| Max DD Date | 2025-04-08 | 2024-10-09 |
| Max DD Period Start | 2025-02-20 | 2024-10-08 |
| Max DD Period End | 2025-06-25 | 2024-10-18 |
| Longest DD Days | 126 | 67 |
| Volatility (ann.) | 15.14% | 2.35% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.08 | 4.42 |
| Skew | 0.9 | -1.56 |
| Kurtosis | 20.93 | 87.72 |
| Ulcer Performance Index | 23.92 | 146.99 |
| Risk-Adjusted Return | 20.26% | 24.25% |
| Risk-Return Ratio | 0.08 | 0.32 |
| Avg. Return | 0.05% | 0.09% |
| Avg. Win | 0.6% | 0.13% |
| Avg. Loss | -0.93% | -0.1% |
| Win/Loss Ratio | 0.64 | 1.35 |
| Profit Ratio | 0.77 | 0.02 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.5% | 0.96% |
| Expected Yearly | 15.64% | 9.81% |
| Kelly Criterion | -11.76% | 78.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.49% | -0.2% |
| Expected Shortfall (cVaR) | -2.17% | -0.68% |
| Max Consecutive Wins | 10 | 5 |
| Max Consecutive Losses | 6 | 2 |
| Gain/Pain Ratio | 0.27 | 4.01 |
| Gain/Pain (1M) | 2.22 | 28.93 |
| Payoff Ratio | 0.64 | 1.35 |
| Profit Factor | 1.27 | 5.01 |
| Common Sense Ratio | 1.23 | 14.03 |
| CPC Index | 0.46 | 5.93 |
| Tail Ratio | 0.96 | 2.8 |
| Outlier Win Ratio | 3.22 | 6.08 |
| Outlier Loss Ratio | 3.66 | 1.02 |
| MTD | 1.47% | 0.08% |
| 3M | 1.46% | 4.8% |
| 6M | 6.94% | 7.61% |
| YTD | 13.33% | 9.37% |
| 1Y | 13.43% | 10.46% |
| 3Y (ann.) | 20.78% | 12.68% |
| 5Y (ann.) | 20.26% | 12.61% |
| 10Y (ann.) | 20.26% | 12.61% |
| All-time (ann.) | 20.26% | 12.61% |
| Best Day | 10.5% | 1.87% |
| Worst Day | -5.85% | -2.08% |
| Best Month | 10.51% | 2.67% |
| Worst Month | -5.57% | -1.3% |
| Best Year | 24.89% | 15.69% |
| Worst Year | 7.33% | 3.43% |
| Avg. Drawdown | -1.65% | -0.2% |
| Avg. Drawdown Days | 12 | 4 |
| Recovery Factor | 3.29 | 13.14 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 1.85 | 15.11 |
| Avg. Up Month | 3.4% | 1.13% |
| Avg. Down Month | - | - |
| Win Days | 56.3% | 87.78% |
| Win Month | 66.67% | 97.44% |
| Win Quarter | 78.57% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.0 |
| Alpha | - | 0.12 |
| Correlation | - | -2.59% |
| Treynor Ratio | - | -11311.04% |
| Year | SPY | CBYYX | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 7.33 | 3.43 | 0.47 | - |
| 2024 | 24.89 | 15.69 | 0.63 | - |
| 2025 | 17.72 | 11.09 | 0.63 | - |
| 2026 | 13.33 | 9.37 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-10-08 | 2024-10-18 | -2.85 | 11 |
| 2024-05-06 | 2024-07-11 | -1.57 | 67 |
| 2024-12-20 | 2024-12-20 | -0.28 | 1 |
| 2024-04-19 | 2024-05-02 | -0.19 | 14 |
| 2023-09-11 | 2023-09-22 | -0.18 | 12 |
| 2025-04-25 | 2025-05-06 | -0.18 | 12 |
| 2026-10-13 | 2026-10-15 | -0.17 | 3 |
| 2024-01-26 | 2024-01-26 | -0.10 | 1 |
| 2024-03-28 | 2024-03-28 | -0.09 | 1 |
| 2024-04-04 | 2024-04-08 | -0.09 | 5 |