| Metric | SPY | CPIEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 204.97% | 109.53% |
| CAGR﹪ | 16.25% | 10.51% |
| Sharpe | 0.72 | 0.59 |
| Prob. Sharpe Ratio | 97.45% | 94.41% |
| Smart Sharpe | 0.63 | 0.55 |
| Sortino | 1.02 | 0.82 |
| Smart Sortino | 0.88 | 0.77 |
| Sortino/√2 | 0.72 | 0.58 |
| Smart Sortino/√2 | 0.62 | 0.55 |
| Omega | 1.18 | 1.14 |
| Max Drawdown | -33.72% | -40.58% |
| Max DD Date | 2020-03-23 | 2021-02-26 |
| Max DD Period Start | 2020-02-20 | 2019-07-19 |
| Max DD Period End | 2020-08-07 | 2021-12-09 |
| Longest DD Days | 708 | 875 |
| Volatility (ann.) | 19.45% | 13.67% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.48 | 0.26 |
| Skew | -0.29 | -0.43 |
| Kurtosis | 13.94 | 2.23 |
| Ulcer Performance Index | 25.91 | 8.5 |
| Risk-Adjusted Return | 16.25% | 10.83% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.82% | 0.71% |
| Avg. Loss | -0.91% | -0.74% |
| Win/Loss Ratio | 0.9 | 0.95 |
| Profit Ratio | 0.78 | 0.71 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.25% | 0.83% |
| Expected Yearly | 14.96% | 9.69% |
| Kelly Criterion | 5.53% | 6.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.37% |
| Expected Shortfall (cVaR) | -3.2% | -2.05% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.14 |
| Gain/Pain (1M) | 1.15 | 0.89 |
| Payoff Ratio | 0.9 | 0.95 |
| Profit Factor | 1.18 | 1.14 |
| Common Sense Ratio | 1.13 | 1.17 |
| CPC Index | 0.59 | 0.59 |
| Tail Ratio | 0.96 | 1.02 |
| Outlier Win Ratio | 3.69 | 3.56 |
| Outlier Loss Ratio | 4.12 | 3.29 |
| MTD | 1.47% | -0.4% |
| 3M | 1.46% | -1.12% |
| 6M | 6.94% | 1.48% |
| YTD | 13.33% | 7.33% |
| 1Y | 13.43% | 5.38% |
| 3Y (ann.) | 20.78% | 19.1% |
| 5Y (ann.) | 12.86% | 16.01% |
| 10Y (ann.) | 16.25% | 10.51% |
| All-time (ann.) | 16.25% | 10.51% |
| Best Day | 10.5% | 3.18% |
| Worst Day | -10.94% | -4.79% |
| Best Month | 12.7% | 13.16% |
| Worst Month | -12.49% | -9.57% |
| Best Year | 28.73% | 54.08% |
| Worst Year | -18.18% | -29.2% |
| Avg. Drawdown | -1.79% | -2.49% |
| Avg. Drawdown Days | 16 | 34 |
| Recovery Factor | 3.72 | 1.99 |
| Ulcer Index | 0.08 | 0.13 |
| Serenity Index | 1.03 | 0.18 |
| Avg. Up Month | 4.11% | 3.46% |
| Avg. Down Month | -3.69% | -2.45% |
| Win Days | 55.15% | 54.36% |
| Win Month | 65.56% | 60.0% |
| Win Quarter | 77.42% | 67.74% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.26 |
| Alpha | - | 0.06 |
| Correlation | - | 37.61% |
| Treynor Ratio | - | 414.2% |
| Year | SPY | CPIEX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -0.97 | -0.06 | - |
| 2020 | 18.33 | -29.20 | -1.59 | - |
| 2021 | 28.73 | 54.08 | 1.88 | + |
| 2022 | -18.18 | 12.12 | -0.67 | + |
| 2023 | 26.18 | 6.15 | 0.24 | - |
| 2024 | 24.89 | 37.81 | 1.52 | + |
| 2025 | 17.72 | 10.17 | 0.57 | - |
| 2026 | 13.33 | 7.33 | 0.55 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-07-19 | 2021-12-09 | -40.58 | 875 |
| 2022-05-12 | 2023-09-08 | -9.79 | 485 |
| 2022-03-15 | 2022-05-05 | -8.14 | 52 |
| 2024-07-11 | 2024-09-12 | -7.30 | 64 |
| 2026-06-16 | 2026-10-01 | -7.29 | 108 |
| 2025-10-30 | 2026-01-26 | -7.14 | 89 |
| 2026-10-07 | 2026-11-04 | -6.66 | 29 |
| 2025-02-07 | 2025-05-02 | -6.44 | 85 |
| 2024-12-06 | 2025-01-21 | -5.89 | 47 |
| 2026-02-26 | 2026-04-23 | -5.06 | 57 |