| Metric | SPY | CMNIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 76.0% |
| Cumulative Return | 6.48% | 2.52% |
| CAGR﹪ | 13.27% | 5.05% |
| Sharpe | 0.78 | 0.85 |
| Prob. Sharpe Ratio | 70.87% | 72.0% |
| Smart Sharpe | 0.75 | 0.79 |
| Sortino | 1.14 | 1.17 |
| Smart Sortino | 1.09 | 1.09 |
| Sortino/√2 | 0.8 | 0.83 |
| Smart Sortino/√2 | 0.77 | 0.77 |
| Omega | 1.19 | 1.67 |
| Max Drawdown | -4.49% | -0.49% |
| Max DD Date | 2026-06-10 | 2026-10-30 |
| Max DD Period Start | 2026-06-03 | 2026-10-30 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 14 |
| Volatility (ann.) | 12.4% | 1.63% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.95 | 10.33 |
| Skew | -0.15 | -0.85 |
| Kurtosis | 0.59 | 3.61 |
| Ulcer Performance Index | 3.89 | 18.44 |
| Risk-Adjusted Return | 13.27% | 6.65% |
| Risk-Return Ratio | 0.07 | 0.19 |
| Avg. Return | 0.09% | 0.03% |
| Avg. Win | 0.73% | 0.11% |
| Avg. Loss | -0.65% | -0.1% |
| Win/Loss Ratio | 1.13 | 1.05 |
| Profit Ratio | 1.15 | 0.28 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 0.9% | 0.36% |
| Expected Yearly | 6.48% | 2.52% |
| Kelly Criterion | 6.37% | 24.88% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.15% |
| Expected Shortfall (cVaR) | -1.63% | -0.34% |
| Max Consecutive Wins | 4 | 7 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.19 | 0.67 |
| Gain/Pain (1M) | 3.26 | 29.4 |
| Payoff Ratio | 1.13 | 1.05 |
| Profit Factor | 1.19 | 1.67 |
| Common Sense Ratio | 1.47 | 2.5 |
| CPC Index | 0.68 | 1.08 |
| Tail Ratio | 1.23 | 1.5 |
| Outlier Win Ratio | 2.66 | 3.08 |
| Outlier Loss Ratio | 3.07 | 1.75 |
| MTD | 1.47% | 0.18% |
| 3M | 1.46% | 0.78% |
| 6M | 6.48% | 2.52% |
| YTD | 6.48% | 2.52% |
| 1Y | 6.48% | 2.52% |
| 3Y (ann.) | 13.27% | 5.05% |
| 5Y (ann.) | 13.27% | 5.05% |
| 10Y (ann.) | 13.27% | 5.05% |
| All-time (ann.) | 13.27% | 5.05% |
| Best Day | 1.8% | 0.25% |
| Worst Day | -2.58% | -0.49% |
| Best Month | 4.52% | 0.69% |
| Worst Month | -1.03% | -0.09% |
| Best Year | 6.48% | 2.52% |
| Worst Year | 6.48% | 2.52% |
| Avg. Drawdown | -1.57% | -0.18% |
| Avg. Drawdown Days | 17 | 5 |
| Recovery Factor | 1.48 | 5.09 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.91 | 5.04 |
| Avg. Up Month | 2.18% | 0.5% |
| Avg. Down Month | -0.33% | -0.09% |
| Win Days | 50.39% | 61.46% |
| Win Month | 57.14% | 85.71% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.07 |
| Alpha | - | 0.04 |
| Correlation | - | 52.23% |
| Treynor Ratio | - | 36.68% |
| Year | SPY | CMNIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 2.52 | 0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-10-30 | 2026-11-04 | -0.49 | 6 |
| 2026-06-17 | 2026-06-25 | -0.37 | 9 |
| 2026-09-28 | 2026-10-02 | -0.31 | 5 |
| 2026-09-08 | 2026-09-18 | -0.27 | 11 |
| 2026-06-08 | 2026-06-12 | -0.25 | 5 |
| 2026-07-17 | 2026-07-30 | -0.25 | 14 |
| 2026-10-13 | 2026-10-23 | -0.25 | 11 |
| 2026-07-06 | 2026-07-08 | -0.12 | 3 |
| 2026-10-08 | 2026-10-09 | -0.12 | 2 |
| 2026-08-17 | 2026-08-20 | -0.12 | 4 |