| Metric | SPY | CPIEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 18.6% | 11.97% |
| CAGR﹪ | 40.67% | 25.37% |
| Sharpe | 2.32 | 1.52 |
| Prob. Sharpe Ratio | 95.04% | 85.58% |
| Smart Sharpe | 2.3 | 1.49 |
| Sortino | 3.78 | 2.26 |
| Smart Sortino | 3.75 | 2.23 |
| Sortino/√2 | 2.67 | 1.6 |
| Smart Sortino/√2 | 2.65 | 1.58 |
| Omega | 1.54 | 1.34 |
| Max Drawdown | -4.49% | -7.29% |
| Max DD Date | 2026-06-10 | 2026-07-29 |
| Max DD Period Start | 2026-06-03 | 2026-06-16 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 99 |
| Volatility (ann.) | 13.55% | 13.1% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 9.05 | 3.48 |
| Skew | 0.1 | -0.14 |
| Kurtosis | 1.12 | 0.59 |
| Ulcer Performance Index | 11.86 | 4.02 |
| Risk-Adjusted Return | 40.67% | 26.15% |
| Risk-Return Ratio | 0.16 | 0.11 |
| Avg. Return | 0.15% | 0.1% |
| Avg. Win | 0.84% | 0.76% |
| Avg. Loss | -0.69% | -0.77% |
| Win/Loss Ratio | 1.21 | 0.99 |
| Profit Ratio | 1.12 | 0.58 |
| Expected Daily | 0.14% | 0.09% |
| Expected Monthly | 2.47% | 1.63% |
| Expected Yearly | 18.6% | 11.97% |
| Kelly Criterion | 15.99% | 17.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.26% |
| Expected Shortfall (cVaR) | -1.77% | -1.76% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.34 |
| Gain/Pain (1M) | 10.92 | 3.7 |
| Payoff Ratio | 1.21 | 0.99 |
| Profit Factor | 1.54 | 1.34 |
| Common Sense Ratio | 2.01 | 1.43 |
| CPC Index | 1.01 | 0.78 |
| Tail Ratio | 1.3 | 1.07 |
| Outlier Win Ratio | 3.21 | 3.48 |
| Outlier Loss Ratio | 3.16 | 2.46 |
| MTD | 1.08% | 2.69% |
| 3M | 3.82% | -1.12% |
| 6M | 18.6% | 11.97% |
| YTD | 18.6% | 11.97% |
| 1Y | 18.6% | 11.97% |
| 3Y (ann.) | 40.67% | 25.37% |
| 5Y (ann.) | 40.67% | 25.37% |
| 10Y (ann.) | 40.67% | 25.37% |
| All-time (ann.) | 40.67% | 25.37% |
| Best Day | 2.91% | 2.32% |
| Worst Day | -2.58% | -2.68% |
| Best Month | 10.51% | 6.82% |
| Worst Month | -1.03% | -2.85% |
| Best Year | 18.6% | 11.97% |
| Worst Year | 18.6% | 11.97% |
| Avg. Drawdown | -1.13% | -1.63% |
| Avg. Drawdown Days | 9 | 13 |
| Recovery Factor | 3.9 | 1.61 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 2.75 | 0.53 |
| Avg. Up Month | 4.88% | 3.76% |
| Avg. Down Month | -0.9% | -0.22% |
| Win Days | 53.97% | 59.02% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.73 |
| Alpha | - | -0.02 |
| Correlation | - | 75.17% |
| Treynor Ratio | - | 16.47% |
| Year | SPY | CPIEX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 11.97 | 0.64 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-16 | 2026-09-22 | -7.29 | 99 |
| 2026-06-05 | 2026-06-12 | -3.73 | 8 |
| 2026-05-15 | 2026-05-21 | -1.76 | 7 |
| 2026-04-27 | 2026-04-29 | -1.36 | 3 |
| 2026-03-26 | 2026-04-07 | -1.26 | 13 |
| 2026-05-04 | 2026-05-04 | -0.74 | 1 |
| 2026-05-07 | 2026-05-07 | -0.61 | 1 |
| 2026-05-12 | 2026-05-13 | -0.56 | 2 |
| 2026-05-29 | 2026-06-01 | -0.55 | 4 |
| 2026-04-21 | 2026-04-21 | -0.08 | 1 |