| Metric | SPY | CMNIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 78.0% |
| Cumulative Return | 204.97% | 43.27% |
| CAGR﹪ | 16.25% | 4.98% |
| Sharpe | 0.72 | 0.52 |
| Prob. Sharpe Ratio | 97.45% | 91.89% |
| Smart Sharpe | 0.63 | 0.42 |
| Sortino | 1.02 | 0.72 |
| Smart Sortino | 0.88 | 0.58 |
| Sortino/√2 | 0.72 | 0.51 |
| Smart Sortino/√2 | 0.62 | 0.41 |
| Omega | 1.18 | 1.32 |
| Max Drawdown | -33.72% | -8.12% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-21 |
| Max DD Period End | 2020-08-07 | 2020-06-05 |
| Longest DD Days | 708 | 513 |
| Volatility (ann.) | 19.45% | 3.95% |
| R^2 | 0.78 | 0.78 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.61 |
| Skew | -0.29 | -0.82 |
| Kurtosis | 13.94 | 23.98 |
| Ulcer Performance Index | 25.91 | 22.55 |
| Risk-Adjusted Return | 16.25% | 6.38% |
| Risk-Return Ratio | 0.05 | 0.08 |
| Avg. Return | 0.08% | 0.03% |
| Avg. Win | 0.97% | 0.19% |
| Avg. Loss | -1.13% | -0.22% |
| Win/Loss Ratio | 0.86 | 0.88 |
| Profit Ratio | 0.78 | 0.27 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.4% |
| Expected Yearly | 14.96% | 4.6% |
| Kelly Criterion | 2.76% | 14.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.39% |
| Expected Shortfall (cVaR) | -3.2% | -0.75% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.32 |
| Gain/Pain (1M) | 1.15 | 2.2 |
| Payoff Ratio | 0.86 | 0.88 |
| Profit Factor | 1.18 | 1.32 |
| Common Sense Ratio | 1.13 | 1.54 |
| CPC Index | 0.56 | 0.69 |
| Tail Ratio | 0.96 | 1.17 |
| Outlier Win Ratio | 3.69 | 5.59 |
| Outlier Loss Ratio | 4.12 | 3.78 |
| 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.) | 16.25% | 4.98% |
| All-time (ann.) | 16.25% | 4.98% |
| Best Day | 10.5% | 2.04% |
| Worst Day | -10.94% | -2.94% |
| Best Month | 12.7% | 3.22% |
| Worst Month | -12.49% | -2.86% |
| Best Year | 28.73% | 9.17% |
| Worst Year | -18.18% | -4.26% |
| Avg. Drawdown | -1.79% | -0.26% |
| Avg. Drawdown Days | 16 | 8 |
| Recovery Factor | 3.72 | 4.5 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.03 | 0.87 |
| Avg. Up Month | 4.05% | 0.86% |
| Avg. Down Month | -4.9% | -0.8% |
| Win Days | 55.15% | 59.79% |
| Win Month | 65.56% | 76.67% |
| Win Quarter | 77.42% | 87.1% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.18 |
| Alpha | - | 0.02 |
| Correlation | - | 88.13% |
| Treynor Ratio | - | 241.73% |
| Year | SPY | CMNIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 3.08 | 0.19 | - |
| 2020 | 18.33 | 5.35 | 0.29 | - |
| 2021 | 28.73 | 5.02 | 0.17 | - |
| 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 |
|---|---|---|---|
| 2020-02-21 | 2020-06-05 | -8.12 | 106 |
| 2022-01-05 | 2023-06-01 | -7.52 | 513 |
| 2025-03-26 | 2025-04-30 | -2.77 | 36 |
| 2020-06-09 | 2020-07-02 | -1.12 | 24 |
| 2026-03-12 | 2026-04-07 | -1.02 | 27 |
| 2023-10-18 | 2023-11-03 | -0.96 | 17 |
| 2020-10-19 | 2020-11-04 | -0.95 | 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 |