| Metric | SPY | CPLIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 204.97% | 70.92% |
| CAGR﹪ | 16.25% | 7.51% |
| Sharpe | 0.72 | 0.34 |
| Prob. Sharpe Ratio | 97.45% | 82.44% |
| Smart Sharpe | 0.63 | 0.34 |
| Sortino | 1.02 | 0.51 |
| Smart Sortino | 0.88 | 0.51 |
| Sortino/√2 | 0.72 | 0.36 |
| Smart Sortino/√2 | 0.62 | 0.36 |
| Omega | 1.18 | 1.11 |
| Max Drawdown | -33.72% | -31.66% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2019-07-24 |
| Max DD Period End | 2020-08-07 | 2020-06-02 |
| Longest DD Days | 708 | 769 |
| Volatility (ann.) | 19.45% | 17.04% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.24 |
| Skew | -0.29 | 0.53 |
| Kurtosis | 13.94 | 25.21 |
| Ulcer Performance Index | 25.91 | 10.27 |
| Risk-Adjusted Return | 16.25% | 7.82% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.95% | 0.79% |
| Avg. Loss | -0.96% | -0.79% |
| Win/Loss Ratio | 0.98 | 1.0 |
| Profit Ratio | 0.78 | 0.94 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.6% |
| Expected Yearly | 14.96% | 6.93% |
| Kelly Criterion | 9.52% | -0.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.73% |
| Expected Shortfall (cVaR) | -3.2% | -2.97% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 11 |
| Gain/Pain Ratio | 0.18 | 0.11 |
| Gain/Pain (1M) | 1.15 | 0.71 |
| Payoff Ratio | 0.98 | 1.0 |
| Profit Factor | 1.18 | 1.11 |
| Common Sense Ratio | 1.13 | 1.26 |
| CPC Index | 0.64 | 0.56 |
| Tail Ratio | 0.96 | 1.13 |
| Outlier Win Ratio | 3.69 | 4.69 |
| Outlier Loss Ratio | 4.12 | 4.35 |
| 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.) | 16.25% | 7.51% |
| All-time (ann.) | 16.25% | 7.51% |
| Best Day | 10.5% | 11.37% |
| Worst Day | -10.94% | -11.0% |
| Best Month | 12.7% | 19.34% |
| Worst Month | -12.49% | -8.92% |
| Best Year | 28.73% | 19.81% |
| Worst Year | -18.18% | -1.66% |
| Avg. Drawdown | -1.79% | -2.77% |
| Avg. Drawdown Days | 16 | 43 |
| Recovery Factor | 3.72 | 2.03 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 1.03 | 0.65 |
| Avg. Up Month | 4.4% | 3.43% |
| Avg. Down Month | -3.9% | -2.92% |
| Win Days | 55.15% | 49.86% |
| Win Month | 65.56% | 53.33% |
| Win Quarter | 77.42% | 64.52% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.55 |
| Alpha | - | -0.01 |
| Correlation | - | 63.27% |
| Treynor Ratio | - | 127.94% |
| Year | SPY | CPLIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -1.66 | -0.10 | - |
| 2020 | 18.33 | 19.81 | 1.08 | + |
| 2021 | 28.73 | 7.52 | 0.26 | - |
| 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 |
|---|---|---|---|
| 2019-07-24 | 2020-06-02 | -31.66 | 315 |
| 2022-02-17 | 2024-03-26 | -18.28 | 769 |
| 2020-06-09 | 2020-11-09 | -16.36 | 154 |
| 2021-06-03 | 2022-02-07 | -12.85 | 250 |
| 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 |
| 2021-01-07 | 2021-02-05 | -6.36 | 30 |
| 2025-08-27 | 2026-01-02 | -4.95 | 129 |
| 2024-05-15 | 2024-10-31 | -4.03 | 170 |