| Metric | SPY | CMNIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 79.0% |
| Cumulative Return | 86.58% | 27.1% |
| CAGR﹪ | 13.36% | 4.94% |
| Sharpe | 0.59 | 0.31 |
| Prob. Sharpe Ratio | 90.85% | 75.83% |
| Smart Sharpe | 0.58 | 0.3 |
| Sortino | 0.86 | 0.44 |
| Smart Sortino | 0.83 | 0.42 |
| Sortino/√2 | 0.61 | 0.31 |
| Smart Sortino/√2 | 0.59 | 0.3 |
| Omega | 1.16 | 1.33 |
| Max Drawdown | -24.5% | -7.52% |
| Max DD Date | 2022-10-12 | 2022-06-17 |
| Max DD Period Start | 2022-01-04 | 2022-01-05 |
| Max DD Period End | 2023-12-12 | 2023-06-01 |
| Longest DD Days | 708 | 513 |
| Volatility (ann.) | 17.2% | 3.46% |
| R^2 | 0.73 | 0.73 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.66 |
| Skew | 0.32 | -0.06 |
| Kurtosis | 8.95 | 11.51 |
| Ulcer Performance Index | 10.24 | 12.42 |
| Risk-Adjusted Return | 13.36% | 6.25% |
| Risk-Return Ratio | 0.05 | 0.09 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.94% | 0.19% |
| Avg. Loss | -1.07% | -0.2% |
| Win/Loss Ratio | 0.88 | 0.92 |
| Profit Ratio | 0.83 | 0.3 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.39% |
| Expected Yearly | 10.95% | 4.08% |
| Kelly Criterion | 1.77% | 14.6% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.34% |
| Expected Shortfall (cVaR) | -2.58% | -0.57% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.33 |
| Gain/Pain (1M) | 0.87 | 2.02 |
| Payoff Ratio | 0.88 | 0.92 |
| Profit Factor | 1.16 | 1.33 |
| Common Sense Ratio | 1.17 | 1.61 |
| CPC Index | 0.55 | 0.72 |
| Tail Ratio | 1.01 | 1.21 |
| Outlier Win Ratio | 3.41 | 5.08 |
| Outlier Loss Ratio | 3.77 | 3.73 |
| MTD | 1.08% | 0.22% |
| 3M | 3.82% | 1.59% |
| 6M | 19.85% | 4.21% |
| YTD | 14.3% | 4.47% |
| 1Y | 17.78% | 6.08% |
| 3Y (ann.) | 24.86% | 7.26% |
| 5Y (ann.) | 13.06% | 4.87% |
| 10Y (ann.) | 13.36% | 4.94% |
| All-time (ann.) | 13.36% | 4.94% |
| Best Day | 10.5% | 2.04% |
| Worst Day | -5.85% | -1.47% |
| Best Month | 10.51% | 2.45% |
| Worst Month | -9.24% | -2.86% |
| Best Year | 26.18% | 9.17% |
| Worst Year | -18.18% | -4.26% |
| Avg. Drawdown | -1.89% | -0.24% |
| Avg. Drawdown Days | 20 | 9 |
| Recovery Factor | 2.85 | 3.23 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.47 | 0.43 |
| Avg. Up Month | 3.94% | 0.9% |
| Avg. Down Month | -4.82% | -0.76% |
| Win Days | 54.04% | 59.05% |
| Win Month | 63.93% | 73.77% |
| Win Quarter | 66.67% | 80.95% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.17 |
| Alpha | - | 0.02 |
| Correlation | - | 85.3% |
| Treynor Ratio | - | 157.8% |
| Year | SPY | CMNIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 1.37 | 0.18 | - |
| 2022 | -18.18 | -4.26 | 0.23 | + |
| 2023 | 26.18 | 9.17 | 0.35 | - |
| 2024 | 24.89 | 7.43 | 0.30 | - |
| 2025 | 17.72 | 6.89 | 0.39 | - |
| 2026 | 14.30 | 4.47 | 0.31 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2023-06-01 | -7.52 | 513 |
| 2025-03-26 | 2025-04-25 | -2.77 | 31 |
| 2026-03-06 | 2026-04-07 | -1.02 | 33 |
| 2023-10-18 | 2023-11-03 | -0.96 | 17 |
| 2025-03-03 | 2025-03-21 | -0.86 | 19 |
| 2024-08-02 | 2024-08-13 | -0.82 | 12 |
| 2021-11-24 | 2021-12-22 | -0.69 | 29 |
| 2024-04-12 | 2024-04-26 | -0.62 | 15 |
| 2023-07-03 | 2023-07-12 | -0.41 | 10 |
| 2023-09-19 | 2023-10-06 | -0.41 | 18 |