| Metric | SPY | CMNIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 79.0% |
| Cumulative Return | 74.99% | 25.93% |
| CAGR﹪ | 11.91% | 4.75% |
| Sharpe | 0.52 | 0.24 |
| Prob. Sharpe Ratio | 87.6% | 70.52% |
| Smart Sharpe | 0.5 | 0.23 |
| Sortino | 0.74 | 0.34 |
| Smart Sortino | 0.72 | 0.33 |
| Sortino/√2 | 0.53 | 0.24 |
| Smart Sortino/√2 | 0.51 | 0.23 |
| Omega | 1.14 | 1.31 |
| 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.) | 17.19% | 3.46% |
| R^2 | 0.72 | 0.72 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.63 |
| Skew | 0.33 | -0.06 |
| Kurtosis | 8.98 | 11.51 |
| Ulcer Performance Index | 8.86 | 11.88 |
| Risk-Adjusted Return | 11.91% | 6.01% |
| Risk-Return Ratio | 0.05 | 0.09 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.94% | 0.19% |
| Avg. Loss | -1.06% | -0.2% |
| Win/Loss Ratio | 0.89 | 0.92 |
| Profit Ratio | 0.86 | 0.3 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.38% |
| Expected Yearly | 9.77% | 3.92% |
| Kelly Criterion | 1.21% | 14.33% |
| 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 | 0.14 | 0.31 |
| Gain/Pain (1M) | 0.79 | 1.92 |
| Payoff Ratio | 0.89 | 0.92 |
| Profit Factor | 1.14 | 1.31 |
| Common Sense Ratio | 1.15 | 1.58 |
| CPC Index | 0.54 | 0.71 |
| Tail Ratio | 1.0 | 1.2 |
| Outlier Win Ratio | 3.4 | 5.11 |
| Outlier Loss Ratio | 3.8 | 3.72 |
| MTD | 1.47% | 0.18% |
| 3M | 1.46% | 0.78% |
| 6M | 6.94% | 2.52% |
| YTD | 13.33% | 4.66% |
| 1Y | 13.43% | 5.26% |
| 3Y (ann.) | 20.78% | 6.8% |
| 5Y (ann.) | 12.86% | 4.94% |
| 10Y (ann.) | 11.91% | 4.75% |
| All-time (ann.) | 11.91% | 4.75% |
| 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 | -1.94% | -0.25% |
| Avg. Drawdown Days | 21 | 9 |
| Recovery Factor | 2.58 | 3.1 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.43 | 0.42 |
| Avg. Up Month | 3.87% | 0.89% |
| Avg. Down Month | -4.76% | -0.77% |
| Win Days | 53.48% | 58.88% |
| Win Month | 62.3% | 73.77% |
| Win Quarter | 71.43% | 85.71% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.17 |
| Alpha | - | 0.03 |
| Correlation | - | 85.12% |
| Treynor Ratio | - | 151.14% |
| Year | SPY | CMNIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.25 | 0.14 | - |
| 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 | 13.33 | 4.66 | 0.35 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2023-06-01 | -7.52 | 513 |
| 2025-03-26 | 2025-04-30 | -2.77 | 36 |
| 2026-02-27 | 2026-04-07 | -1.02 | 40 |
| 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 |
| 2026-10-30 | 2026-11-04 | -0.49 | 6 |
| 2023-07-03 | 2023-07-12 | -0.41 | 10 |