| Metric | SPY | CPLIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 74.99% | 26.17% |
| CAGR﹪ | 11.91% | 4.79% |
| Sharpe | 0.52 | 0.13 |
| Prob. Sharpe Ratio | 87.6% | 61.22% |
| Smart Sharpe | 0.5 | 0.13 |
| Sortino | 0.74 | 0.18 |
| Smart Sortino | 0.72 | 0.18 |
| Sortino/√2 | 0.53 | 0.13 |
| Smart Sortino/√2 | 0.51 | 0.13 |
| Omega | 1.14 | 1.08 |
| 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.) | 17.19% | 12.01% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.26 |
| Skew | 0.33 | 0.08 |
| Kurtosis | 8.98 | 3.54 |
| Ulcer Performance Index | 8.86 | 3.97 |
| Risk-Adjusted Return | 11.91% | 4.93% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.92% | 0.64% |
| Avg. Loss | -0.89% | -0.64% |
| Win/Loss Ratio | 1.03 | 1.0 |
| Profit Ratio | 0.86 | 0.93 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.38% |
| Expected Yearly | 9.77% | 3.95% |
| Kelly Criterion | 8.16% | 0.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.22% |
| Expected Shortfall (cVaR) | -2.58% | -1.8% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 11 |
| Gain/Pain Ratio | 0.14 | 0.08 |
| Gain/Pain (1M) | 0.79 | 0.44 |
| Payoff Ratio | 1.03 | 1.0 |
| Profit Factor | 1.14 | 1.08 |
| Common Sense Ratio | 1.15 | 1.18 |
| CPC Index | 0.63 | 0.54 |
| Tail Ratio | 1.0 | 1.09 |
| Outlier Win Ratio | 3.4 | 3.93 |
| Outlier Loss Ratio | 3.8 | 3.64 |
| MTD | 1.47% | 2.48% |
| 3M | 1.46% | -1.39% |
| 6M | 6.94% | 6.53% |
| YTD | 13.33% | 5.39% |
| 1Y | 13.43% | 6.36% |
| 3Y (ann.) | 20.78% | 9.03% |
| 5Y (ann.) | 12.86% | 6.93% |
| 10Y (ann.) | 11.91% | 4.79% |
| All-time (ann.) | 11.91% | 4.79% |
| Best Day | 10.5% | 3.9% |
| Worst Day | -5.85% | -3.84% |
| Best Month | 10.51% | 7.39% |
| Worst Month | -9.24% | -8.95% |
| Best Year | 26.18% | 9.88% |
| Worst Year | -18.18% | -6.48% |
| Avg. Drawdown | -1.94% | -2.0% |
| Avg. Drawdown Days | 21 | 42 |
| Recovery Factor | 2.58 | 1.47 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 0.43 | 0.21 |
| Avg. Up Month | 4.23% | 2.67% |
| Avg. Down Month | -3.9% | -2.96% |
| Win Days | 53.48% | 50.12% |
| Win Month | 62.3% | 55.74% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.45 |
| Alpha | - | -0.0 |
| Correlation | - | 64.05% |
| Treynor Ratio | - | 58.46% |
| Year | SPY | CPLIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -6.48 | -3.75 | - |
| 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 | 13.33 | 5.39 | 0.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-17 | 2024-03-26 | -18.28 | 769 |
| 2021-11-09 | 2022-01-10 | -10.37 | 63 |
| 2026-01-13 | 2026-07-30 | -8.73 | 199 |
| 2025-01-28 | 2025-05-07 | -6.68 | 100 |
| 2026-08-14 | 2026-11-04 | -6.42 | 83 |
| 2025-08-27 | 2026-01-02 | -4.95 | 129 |
| 2024-05-15 | 2024-10-31 | -4.03 | 170 |
| 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 |