| Metric | SPY | CPLIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 86.58% | 30.68% |
| CAGR﹪ | 13.36% | 5.53% |
| Sharpe | 0.59 | 0.19 |
| Prob. Sharpe Ratio | 90.85% | 66.53% |
| Smart Sharpe | 0.58 | 0.19 |
| Sortino | 0.86 | 0.28 |
| Smart Sortino | 0.83 | 0.28 |
| Sortino/√2 | 0.61 | 0.2 |
| Smart Sortino/√2 | 0.59 | 0.2 |
| Omega | 1.16 | 1.09 |
| Max Drawdown | -24.5% | -18.28% |
| Max DD Date | 2022-10-12 | 2022-09-26 |
| Max DD Period Start | 2022-01-04 | 2022-02-17 |
| Max DD Period End | 2023-12-12 | 2024-03-26 |
| Longest DD Days | 708 | 769 |
| Volatility (ann.) | 17.2% | 12.12% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.3 |
| Skew | 0.32 | 0.15 |
| Kurtosis | 8.95 | 3.56 |
| Ulcer Performance Index | 10.24 | 4.66 |
| Risk-Adjusted Return | 13.36% | 5.7% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.92% | 0.65% |
| Avg. Loss | -0.9% | -0.64% |
| Win/Loss Ratio | 1.02 | 1.02 |
| Profit Ratio | 0.83 | 0.95 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.44% |
| Expected Yearly | 10.95% | 4.56% |
| Kelly Criterion | 9.1% | 0.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.23% |
| Expected Shortfall (cVaR) | -2.58% | -1.81% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 11 |
| Gain/Pain Ratio | 0.16 | 0.09 |
| Gain/Pain (1M) | 0.87 | 0.55 |
| Payoff Ratio | 1.02 | 1.02 |
| Profit Factor | 1.16 | 1.09 |
| Common Sense Ratio | 1.17 | 1.22 |
| CPC Index | 0.64 | 0.56 |
| Tail Ratio | 1.01 | 1.12 |
| Outlier Win Ratio | 3.41 | 4.29 |
| Outlier Loss Ratio | 3.77 | 3.67 |
| MTD | 1.08% | -0.78% |
| 3M | 3.82% | 5.58% |
| 6M | 19.85% | 10.02% |
| YTD | 14.3% | 5.45% |
| 1Y | 17.78% | 3.26% |
| 3Y (ann.) | 24.86% | 10.73% |
| 5Y (ann.) | 13.06% | 4.89% |
| 10Y (ann.) | 13.36% | 5.53% |
| All-time (ann.) | 13.36% | 5.53% |
| Best Day | 10.5% | 3.9% |
| Worst Day | -5.85% | -3.84% |
| Best Month | 10.51% | 7.39% |
| Worst Month | -9.24% | -7.24% |
| Best Year | 26.18% | 9.88% |
| Worst Year | -18.18% | -3.19% |
| Avg. Drawdown | -1.89% | -1.96% |
| Avg. Drawdown Days | 20 | 41 |
| Recovery Factor | 2.85 | 1.66 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 0.47 | 0.25 |
| Avg. Up Month | 4.33% | 2.68% |
| Avg. Down Month | -4.2% | -2.91% |
| Win Days | 54.04% | 49.88% |
| Win Month | 63.93% | 55.74% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.44 |
| Alpha | - | -0.0 |
| Correlation | - | 62.96% |
| Treynor Ratio | - | 69.17% |
| Year | SPY | CPLIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -3.19 | -0.42 | - |
| 2022 | -18.18 | -0.96 | 0.05 | + |
| 2023 | 26.18 | 8.04 | 0.31 | - |
| 2024 | 24.89 | 8.87 | 0.36 | - |
| 2025 | 17.72 | 9.88 | 0.56 | - |
| 2026 | 14.30 | 5.45 | 0.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-17 | 2024-03-26 | -18.28 | 769 |
| 2021-10-18 | 2022-01-13 | -11.03 | 88 |
| 2026-01-13 | 2026-07-30 | -8.73 | 199 |
| 2025-01-28 | 2025-05-07 | -6.68 | 100 |
| 2025-08-27 | 2026-01-02 | -4.95 | 129 |
| 2026-08-14 | 2026-09-22 | -4.57 | 40 |
| 2024-05-15 | 2024-11-05 | -4.03 | 175 |
| 2024-11-07 | 2025-01-08 | -2.69 | 63 |
| 2022-01-18 | 2022-01-31 | -2.68 | 14 |
| 2022-02-11 | 2022-02-14 | -1.65 | 4 |