| Metric | SPY | CPLIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 14.39% | 6.96% |
| CAGR﹪ | 14.51% | 7.02% |
| Sharpe | 0.83 | 0.34 |
| Prob. Sharpe Ratio | 79.61% | 63.24% |
| Smart Sharpe | 0.82 | 0.32 |
| Sortino | 1.22 | 0.51 |
| Smart Sortino | 1.2 | 0.48 |
| Sortino/√2 | 0.86 | 0.36 |
| Smart Sortino/√2 | 0.85 | 0.34 |
| Omega | 1.2 | 1.11 |
| Max Drawdown | -8.88% | -8.73% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-01-28 | 2026-01-13 |
| Max DD Period End | 2026-04-13 | 2026-07-30 |
| Longest DD Days | 76 | 199 |
| Volatility (ann.) | 12.86% | 10.97% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.63 | 0.8 |
| Skew | -0.02 | 0.22 |
| Kurtosis | 0.78 | 0.2 |
| Ulcer Performance Index | 6.68 | 1.75 |
| Risk-Adjusted Return | 14.51% | 7.09% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.72% | 0.59% |
| Avg. Loss | -0.63% | -0.59% |
| Win/Loss Ratio | 1.13 | 1.0 |
| Profit Ratio | 1.02 | 1.11 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.52% |
| Expected Yearly | 6.95% | 3.42% |
| Kelly Criterion | 9.56% | -1.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.11% |
| Expected Shortfall (cVaR) | -1.66% | -1.46% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.2 | 0.11 |
| Gain/Pain (1M) | 1.83 | 0.92 |
| Payoff Ratio | 1.13 | 1.0 |
| Profit Factor | 1.2 | 1.11 |
| Common Sense Ratio | 1.19 | 1.35 |
| CPC Index | 0.71 | 0.55 |
| Tail Ratio | 0.99 | 1.21 |
| Outlier Win Ratio | 2.84 | 2.96 |
| Outlier Loss Ratio | 3.01 | 3.01 |
| MTD | 1.47% | 2.48% |
| 3M | 1.46% | -1.39% |
| 6M | 6.94% | 6.53% |
| YTD | 13.33% | 5.39% |
| 1Y | 14.39% | 6.96% |
| 3Y (ann.) | 14.51% | 7.02% |
| 5Y (ann.) | 14.51% | 7.02% |
| 10Y (ann.) | 14.51% | 7.02% |
| All-time (ann.) | 14.51% | 7.02% |
| Best Day | 2.91% | 2.34% |
| Worst Day | -2.58% | -1.7% |
| Best Month | 10.51% | 4.55% |
| Worst Month | -4.94% | -4.24% |
| Best Year | 13.33% | 5.39% |
| Worst Year | 0.94% | 1.49% |
| Avg. Drawdown | -1.74% | -1.38% |
| Avg. Drawdown Days | 14 | 21 |
| Recovery Factor | 1.61 | 0.84 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.94 | 0.16 |
| Avg. Up Month | 3.07% | 2.07% |
| Avg. Down Month | -1.76% | -1.92% |
| Win Days | 52.0% | 49.19% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.41 |
| Alpha | - | 0.01 |
| Correlation | - | 48.51% |
| Treynor Ratio | - | 16.83% |
| Year | SPY | CPLIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.49 | 1.59 | + |
| 2026 | 13.33 | 5.39 | 0.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-13 | 2026-07-30 | -8.73 | 199 |
| 2026-08-14 | 2026-11-04 | -6.42 | 83 |
| 2025-11-13 | 2025-12-02 | -1.59 | 20 |
| 2025-12-09 | 2025-12-10 | -0.57 | 2 |
| 2026-01-07 | 2026-01-07 | -0.52 | 1 |
| 2026-08-06 | 2026-08-06 | -0.49 | 1 |
| 2025-12-18 | 2025-12-19 | -0.41 | 2 |
| 2025-12-29 | 2025-12-31 | -0.41 | 3 |
| 2025-11-06 | 2025-11-06 | -0.40 | 1 |
| 2025-11-10 | 2025-11-11 | -0.40 | 2 |