| Metric | SPY | CPIEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 17.87% | 12.41% |
| CAGR﹪ | 18.02% | 12.52% |
| Sharpe | 1.04 | 0.67 |
| Prob. Sharpe Ratio | 84.73% | 74.58% |
| Smart Sharpe | 1.01 | 0.65 |
| Sortino | 1.51 | 0.95 |
| Smart Sortino | 1.47 | 0.92 |
| Sortino/√2 | 1.07 | 0.67 |
| Smart Sortino/√2 | 1.04 | 0.65 |
| Omega | 1.25 | 1.17 |
| Max Drawdown | -8.88% | -7.29% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2026-01-28 | 2026-06-16 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 99 |
| Volatility (ann.) | 12.99% | 12.97% |
| R^2 | 0.63 | 0.63 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.03 | 1.72 |
| Skew | -0.15 | -0.23 |
| Kurtosis | 1.05 | 0.85 |
| Ulcer Performance Index | 8.3 | 4.31 |
| Risk-Adjusted Return | 18.02% | 12.9% |
| Risk-Return Ratio | 0.08 | 0.06 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.72% | 0.71% |
| Avg. Loss | -0.74% | -0.76% |
| Win/Loss Ratio | 0.97 | 0.93 |
| Profit Ratio | 0.94 | 0.62 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.27% | 0.9% |
| Expected Yearly | 8.57% | 6.02% |
| Kelly Criterion | 5.91% | 9.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.29% |
| Expected Shortfall (cVaR) | -1.72% | -1.76% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | 0.17 |
| Gain/Pain (1M) | 2.6 | 1.47 |
| Payoff Ratio | 0.97 | 0.93 |
| Profit Factor | 1.25 | 1.17 |
| Common Sense Ratio | 1.24 | 1.14 |
| CPC Index | 0.65 | 0.62 |
| Tail Ratio | 0.99 | 0.97 |
| Outlier Win Ratio | 2.88 | 3.57 |
| Outlier Loss Ratio | 3.19 | 2.75 |
| MTD | 1.08% | 2.69% |
| 3M | 3.82% | -1.12% |
| 6M | 19.85% | 11.92% |
| YTD | 14.3% | 10.8% |
| 1Y | 17.87% | 12.41% |
| 3Y (ann.) | 18.02% | 12.52% |
| 5Y (ann.) | 18.02% | 12.52% |
| 10Y (ann.) | 18.02% | 12.52% |
| All-time (ann.) | 18.02% | 12.52% |
| Best Day | 2.91% | 2.32% |
| Worst Day | -2.7% | -2.95% |
| Best Month | 10.51% | 6.82% |
| Worst Month | -4.94% | -3.73% |
| Best Year | 14.3% | 10.8% |
| Worst Year | 3.13% | 1.45% |
| Avg. Drawdown | -1.71% | -2.3% |
| Avg. Drawdown Days | 13 | 20 |
| Recovery Factor | 1.94 | 1.72 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.16 | 0.61 |
| Avg. Up Month | 2.99% | 2.63% |
| Avg. Down Month | -2.28% | -1.37% |
| Win Days | 53.6% | 56.61% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.79 |
| Alpha | - | -0.01 |
| Correlation | - | 79.49% |
| Treynor Ratio | - | 15.63% |
| Year | SPY | CPIEX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.45 | 0.46 | - |
| 2026 | 14.30 | 10.80 | 0.76 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-16 | 2026-09-22 | -7.29 | 99 |
| 2025-10-30 | 2026-01-26 | -7.14 | 89 |
| 2026-02-26 | 2026-04-23 | -5.06 | 57 |
| 2025-10-09 | 2025-10-28 | -3.87 | 20 |
| 2026-06-05 | 2026-06-12 | -3.73 | 8 |
| 2026-02-03 | 2026-02-24 | -3.15 | 22 |
| 2026-05-15 | 2026-05-21 | -1.76 | 7 |
| 2026-04-27 | 2026-04-29 | -1.36 | 3 |
| 2026-05-04 | 2026-05-04 | -0.74 | 1 |
| 2026-05-07 | 2026-05-07 | -0.61 | 1 |