| Metric | SPY | CBYYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 52.0% |
| Cumulative Return | 80.35% | 42.01% |
| CAGR﹪ | 21.5% | 12.28% |
| Sharpe | 1.04 | 0.96 |
| Prob. Sharpe Ratio | 96.8% | 92.84% |
| Smart Sharpe | 0.98 | 0.59 |
| Sortino | 1.54 | 1.37 |
| Smart Sortino | 1.44 | 0.84 |
| Sortino/√2 | 1.09 | 0.97 |
| Smart Sortino/√2 | 1.02 | 0.6 |
| Omega | 1.29 | 3.01 |
| Max Drawdown | -18.76% | -8.72% |
| Max DD Date | 2025-04-08 | 2023-12-08 |
| Max DD Period Start | 2025-02-20 | 2023-12-08 |
| Max DD Period End | 2025-06-25 | 2024-08-30 |
| Longest DD Days | 126 | 267 |
| Volatility (ann.) | 15.28% | 7.48% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.15 | 1.41 |
| Skew | 0.91 | -0.3 |
| Kurtosis | 20.98 | 308.23 |
| Ulcer Performance Index | 24.01 | 16.39 |
| Risk-Adjusted Return | 21.5% | 23.62% |
| Risk-Return Ratio | 0.09 | 0.1 |
| Avg. Return | 0.06% | 0.09% |
| Avg. Win | 0.6% | 0.18% |
| Avg. Loss | -0.98% | -0.1% |
| Win/Loss Ratio | 0.61 | 1.85 |
| Profit Ratio | 0.76 | 0.01 |
| Expected Daily | 0.08% | 0.05% |
| Expected Monthly | 1.61% | 0.95% |
| Expected Yearly | 15.89% | 9.17% |
| Kelly Criterion | -14.09% | 80.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.5% | -0.73% |
| Expected Shortfall (cVaR) | -2.18% | -3.15% |
| Max Consecutive Wins | 10 | 5 |
| Max Consecutive Losses | 6 | 2 |
| Gain/Pain Ratio | 0.29 | 2.01 |
| Gain/Pain (1M) | 2.35 | 27.71 |
| Payoff Ratio | 0.61 | 1.85 |
| Profit Factor | 1.29 | 3.01 |
| Common Sense Ratio | 1.25 | 8.51 |
| CPC Index | 0.45 | 4.88 |
| Tail Ratio | 0.97 | 2.83 |
| Outlier Win Ratio | 3.22 | 5.79 |
| Outlier Loss Ratio | 3.73 | 0.76 |
| MTD | 1.08% | 1.28% |
| 3M | 3.82% | 4.78% |
| 6M | 19.85% | 6.48% |
| YTD | 14.3% | 7.64% |
| 1Y | 17.78% | 10.48% |
| 3Y (ann.) | 24.86% | 12.18% |
| 5Y (ann.) | 21.5% | 12.28% |
| 10Y (ann.) | 21.5% | 12.28% |
| All-time (ann.) | 21.5% | 12.28% |
| Best Day | 10.5% | 8.72% |
| Worst Day | -5.85% | -8.72% |
| Best Month | 10.51% | 2.67% |
| Worst Month | -5.57% | -1.3% |
| Best Year | 24.89% | 15.69% |
| Worst Year | 7.33% | 2.65% |
| Avg. Drawdown | -1.63% | -0.42% |
| Avg. Drawdown Days | 12 | 10 |
| Recovery Factor | 3.33 | 4.12 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 1.86 | 0.97 |
| Avg. Up Month | 3.34% | 1.21% |
| Avg. Down Month | - | - |
| Win Days | 56.62% | 87.56% |
| Win Month | 70.27% | 94.59% |
| Win Quarter | 76.92% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.0 |
| Alpha | - | 0.12 |
| Correlation | - | 0.09% |
| Treynor Ratio | - | 93684.43% |
| Year | SPY | CBYYX | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 7.33 | 2.65 | 0.36 | - |
| 2024 | 24.89 | 15.69 | 0.63 | - |
| 2025 | 17.72 | 11.09 | 0.63 | - |
| 2026 | 14.30 | 7.64 | 0.53 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-12-08 | 2024-08-30 | -8.72 | 267 |
| 2024-10-08 | 2024-10-18 | -2.85 | 11 |
| 2024-12-20 | 2024-12-20 | -0.28 | 1 |
| 2023-09-11 | 2023-09-18 | -0.18 | 8 |
| 2025-04-25 | 2025-05-06 | -0.18 | 12 |
| 2024-12-27 | 2024-12-27 | -0.09 | 1 |
| 2025-01-02 | 2025-01-02 | -0.09 | 1 |
| 2025-01-13 | 2025-01-13 | -0.09 | 1 |
| 2025-01-16 | 2025-01-17 | -0.09 | 2 |
| 2025-01-31 | 2025-01-31 | -0.09 | 1 |