| Metric | SPY | CPLIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 207.58% | 71.02% |
| CAGR﹪ | 16.68% | 7.65% |
| Sharpe | 0.74 | 0.35 |
| Prob. Sharpe Ratio | 97.6% | 82.7% |
| Smart Sharpe | 0.64 | 0.35 |
| Sortino | 1.04 | 0.52 |
| Smart Sortino | 0.9 | 0.52 |
| Sortino/√2 | 0.74 | 0.37 |
| Smart Sortino/√2 | 0.64 | 0.37 |
| Omega | 1.19 | 1.12 |
| 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.) | 19.56% | 17.12% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.24 |
| Skew | -0.29 | 0.53 |
| Kurtosis | 13.84 | 25.14 |
| Ulcer Performance Index | 26.03 | 10.23 |
| Risk-Adjusted Return | 16.68% | 7.97% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.95% | 0.8% |
| Avg. Loss | -0.97% | -0.79% |
| Win/Loss Ratio | 0.98 | 1.01 |
| Profit Ratio | 0.77 | 0.95 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.28% | 0.61% |
| Expected Yearly | 15.08% | 6.94% |
| Kelly Criterion | 9.83% | -0.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.74% |
| Expected Shortfall (cVaR) | -3.2% | -2.97% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 11 |
| Gain/Pain Ratio | 0.19 | 0.12 |
| Gain/Pain (1M) | 1.17 | 0.73 |
| Payoff Ratio | 0.98 | 1.01 |
| Profit Factor | 1.19 | 1.12 |
| Common Sense Ratio | 1.14 | 1.27 |
| CPC Index | 0.65 | 0.56 |
| Tail Ratio | 0.96 | 1.14 |
| Outlier Win Ratio | 3.69 | 4.72 |
| Outlier Loss Ratio | 4.1 | 4.36 |
| 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.) | 16.68% | 7.65% |
| All-time (ann.) | 16.68% | 7.65% |
| 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 | -1.78% | -2.74% |
| Avg. Drawdown Days | 16 | 43 |
| Recovery Factor | 3.75 | 2.03 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 1.03 | 0.65 |
| Avg. Up Month | 4.48% | 3.46% |
| Avg. Down Month | -4.2% | -3.04% |
| Win Days | 55.26% | 49.77% |
| Win Month | 67.05% | 53.41% |
| Win Quarter | 76.67% | 63.33% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.55 |
| Alpha | - | -0.01 |
| Correlation | - | 63.21% |
| Treynor Ratio | - | 128.34% |
| 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 | 14.30 | 5.45 | 0.38 | - |
| 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 |
| 2021-01-07 | 2021-02-05 | -6.36 | 30 |
| 2025-08-27 | 2026-01-02 | -4.95 | 129 |
| 2026-08-14 | 2026-09-22 | -4.57 | 40 |
| 2024-05-15 | 2024-10-31 | -4.03 | 170 |