| Metric | SPY | CRIHX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 17.87% | 7.77% |
| CAGR﹪ | 18.02% | 7.84% |
| Sharpe | 1.04 | 0.32 |
| Prob. Sharpe Ratio | 84.73% | 62.67% |
| Smart Sharpe | 1.01 | 0.31 |
| Sortino | 1.51 | 0.47 |
| Smart Sortino | 1.47 | 0.46 |
| Sortino/√2 | 1.07 | 0.33 |
| Smart Sortino/√2 | 1.04 | 0.32 |
| Omega | 1.25 | 1.1 |
| Max Drawdown | -8.88% | -11.79% |
| Max DD Date | 2026-03-30 | 2026-09-01 |
| Max DD Period Start | 2026-01-28 | 2026-07-01 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 88 |
| Volatility (ann.) | 12.99% | 14.06% |
| R^2 | 0.39 | 0.39 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.03 | 0.66 |
| Skew | -0.15 | 0.09 |
| Kurtosis | 1.05 | 0.56 |
| Ulcer Performance Index | 8.3 | 1.66 |
| Risk-Adjusted Return | 18.02% | 8.16% |
| Risk-Return Ratio | 0.08 | 0.04 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.74% | 0.81% |
| Avg. Loss | -0.68% | -0.78% |
| Win/Loss Ratio | 1.08 | 1.05 |
| Profit Ratio | 0.94 | 0.78 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.27% | 0.58% |
| Expected Yearly | 8.57% | 3.81% |
| Kelly Criterion | 10.46% | 6.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.42% |
| Expected Shortfall (cVaR) | -1.72% | -1.84% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.1 |
| Gain/Pain (1M) | 2.6 | 0.49 |
| Payoff Ratio | 1.08 | 1.05 |
| Profit Factor | 1.25 | 1.1 |
| Common Sense Ratio | 1.24 | 1.27 |
| CPC Index | 0.72 | 0.6 |
| Tail Ratio | 0.99 | 1.15 |
| Outlier Win Ratio | 2.88 | 3.31 |
| Outlier Loss Ratio | 3.19 | 2.95 |
| MTD | 1.08% | 2.05% |
| 3M | 3.82% | -6.92% |
| 6M | 19.85% | 8.03% |
| YTD | 14.3% | 5.99% |
| 1Y | 17.87% | 7.77% |
| 3Y (ann.) | 18.02% | 7.84% |
| 5Y (ann.) | 18.02% | 7.84% |
| 10Y (ann.) | 18.02% | 7.84% |
| All-time (ann.) | 18.02% | 7.84% |
| Best Day | 2.91% | 3.14% |
| Worst Day | -2.7% | -2.7% |
| Best Month | 10.51% | 6.8% |
| Worst Month | -4.94% | -6.98% |
| Best Year | 14.3% | 5.99% |
| Worst Year | 3.13% | 1.68% |
| Avg. Drawdown | -1.71% | -2.47% |
| Avg. Drawdown Days | 13 | 15 |
| Recovery Factor | 1.94 | 0.72 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 1.16 | 0.16 |
| Avg. Up Month | 3.0% | 2.52% |
| Avg. Down Month | -4.94% | -5.11% |
| Win Days | 53.6% | 52.3% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.67 |
| Alpha | - | -0.03 |
| Correlation | - | 62.06% |
| Treynor Ratio | - | 11.58% |
| Year | SPY | CRIHX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.68 | 0.54 | - |
| 2026 | 14.30 | 5.99 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-01 | 2026-09-22 | -11.79 | 84 |
| 2026-02-10 | 2026-05-08 | -9.07 | 88 |
| 2025-10-28 | 2025-12-02 | -5.21 | 36 |
| 2025-10-06 | 2025-10-17 | -3.21 | 12 |
| 2026-05-15 | 2026-05-21 | -3.07 | 7 |
| 2025-12-12 | 2026-01-05 | -2.70 | 25 |
| 2026-01-22 | 2026-02-06 | -2.66 | 16 |
| 2026-05-27 | 2026-06-01 | -2.63 | 6 |
| 2026-06-03 | 2026-06-10 | -1.91 | 8 |
| 2026-06-16 | 2026-06-17 | -1.60 | 2 |